Economic Tracking Portfolios

By O. Lamont. 2001

270 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d126801f3231b2b795bf41b322ccf51fa2caf929

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Citations in the corpus

Long-Run Stockholder Consumption Risk and Asset Returns (2009, methodology): “While we also report cross-sectionalR2s and pricing errors, we show that these diagnostics can be misleading.”
Temperature shocks and the cost of equity capital: Implications for climate change perceptions (2017, methodology): “The unconditional mean of the tracking portfolio returns )( tRbE represents the factor risk premium (see Lamont, 2001, Vassalou, 2003, and Kapadia, 2011); in our application the factor risk premium of the temperature shock factor.”
Forecasting Professional Forecasters (2009, unknown): “, Breeden, Gibbons, and Litzenberger 1989, or more recently Lamont 2001 and Christoffersen, Ghysels, and Swanson 2002). Lamont (2001) in particular, constructed tracking portfolios for future economic variables, and used only the unexpected component of returns (not total returns) in constructing th”
The Cross-Section of Volatility and Expected Returns (2006, methodology): “To find the component of market volatility innovations that is reflected in equity returns, we construct a factor to mimic innovations in market volatility following Breeden, Gibbons, and Litzenberger (1989) and Lamont (2001).”
Asset Pricing Models and Financial Market Anomalies (2006, unknown): “Recently, Lamont (2001) has proposed to extend this regression framework by including variables that can forecast future returns on the test assets.”
Time-Varying Liquidity Risk and the Cross Section of Stock Returns (2008, unknown): “To this end, we first construct a mimicking portfolio [Breeden, Gibbons, and Litzenberger (1989) and Lamont (2001)] for the liquidity factor.”
Hedging Climate Change News (2019, unknown): “…Among the many prominent papers in this literature are Fama and MacBeth (1973), Chen et al. (1986), Huberman et al. (1987), Breeden et al. (1989), Lamont (2001), Balduzzi and Robotti (2008), Lönn and Schot1The literature on cross-sectional regressions like Fama-MacBeth typically focuses on…”
Macroeconomic risks and characteristic-based factor models (2010, methodology): “Hence, we adopt an approach initially proposed by Breeden et al. (1989) and later refined by Lamont (2001) and Vassalou (2003), and create a mimicking portfolio capturing changes in one-year ahead industrial production growth expectations.”