Time-variation in expected returns
Article Abstract:
The stochastic nature of expected returns on common stock is described, using weekly returns of ten sized-based portfolios from 1962-1985. The expected returns are predicted to follow an autoregressive process. The Kalman filter technique is used to predict returns and to show that constancy is rejected for the portfolios. A major fraction of return variances are attributed to the variation through time in short-horizon expected returns. The relationship between the relative time-variation in expected returns and the size rankings of portfolios is monotonic in nature. The relative variation in expected returns experiences systematic changes between five year subperiods. Even though each portfolio's past returns are the bases for forecasts made on the autoregressive model, the information in other potential predictor variables is subsumed.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1988
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Buyer-supplier performance: the role of asset specificity, reciprocal investments and relational exchange
Article Abstract:
A negative relationship exists between buyer-supplier performance and an original equipment manufacturer's (OEM) investment in specific assets. Data obtained from 393 manufacturing firms show that OEM-specific assets decrease OEM satisfaction and increase transaction costs. Such effects of OEM-specific assets become conditional in the existence of significant interaction terms. Data also reveal that the relationship between OEM-specific assets and performance can be positively affected by reciprocal investments.
Publication Name: British Journal of Management
Subject: Business, general
ISSN: 1045-3172
Year: 1999
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