Open AccessPosted Content
The Cross-Section of Volatility and Expected Returns
Reads0
Chats0
TLDR
This paper examined the pricing of aggregate volatility risk in the cross-section of stock returns and found that stocks with high sensitivities to innovations in aggregate volatility have low average returns, and that stock with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low return.Abstract:
We examine the pricing of aggregate volatility risk in the cross-section of stock returns Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns In addition, we find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average returns This phenomenon cannot be explained by exposure to aggregate volatility risk Size, book-to-market, momentum, and liquidity effects cannot account for either the low average returns earned by stocks with high exposure to systematic volatility risk or for the low average returns of stocks with high idiosyncratic volatilityread more
Citations
More filters
Journal ArticleDOI
The Cross-Section of German Stock Returns: New Data and New Evidence
TL;DR: In this paper, the authors introduce a new data set that comprises factor returns and returns of portfolios that are single and double-sorted, and use this data set to perform asset-pricing tests for the german equity market.
Journal ArticleDOI
Independent Director Reputation Incentives and Stock Price Informativeness
TL;DR: In this paper, the authors examined whether the reputation incentives of independent directors increase the incorporation of firm-specific information into stock prices and found that the proportion of directors who deem their directorships to be more important based on firm market capitalization is associated with higher firm specific information content in stock prices.
Journal ArticleDOI
Model-Free Volatility Indexes in the Financial Literature: A Review
TL;DR: The authors describes the primary uses of the VIX index in the financial literature, offering for the first time a joint view of its successes and failures in key financial areas, and offers an entre for researchers who consider VIX as a proxy for volatility and/or risk.
Journal ArticleDOI
Flight-to-Liquidity, Market Uncertainty, and the Actions of Mutual Fund Investors
TL;DR: In this paper, the authors explore institutional investor trading decisions during crisis periods and provide evidence that the flight-to-liquidity premium is at least partially driven by mutual fund flows.
Journal ArticleDOI
The Joint Dynamics of Equity Market Factors
TL;DR: In this paper, the authors studied the joint distributional dynamics of the four equity market factors from Fama and French (1993) and Carhart (1997) and found that the linear factor correlations are small and even negative, while the extreme correlations are large and positive.
References
More filters
Posted Content
The Capital Asset Pricing Model: Some Empirical Tests
TL;DR: In this paper, the authors present some additional tests of the mean-variance formulation of the asset pricing model, which avoid some of the problems of earlier studies and provide additional insights into the nature of the structure of security returns.
Posted Content
No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
TL;DR: In this paper, the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns is modified to allow for volatility feedback effect, which amplifies large negative stock returns and dampens large positive returns, making stock returns negatively skewed and increasing the potential for large crashes.
Journal ArticleDOI
The Impact of Jumps in Volatility and Returns
TL;DR: In this article, the authors examined a class of continuous-time models that incorporate jumps in returns and volatility, in addition to diffusive stochastic volatility, and developed a likelihood-based estimation strategy and provided estimates of model parameters, spot volatility, jump times and jump sizes using both S&P 500 and Nasdaq 100 index returns.
Posted Content
Intertemporal Asset Pricing Without Consumption Data
TL;DR: In this article, a new way to generalize the insights of static asset pricing theory to a multi-period setting is proposed, which uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model.
Journal ArticleDOI
Liquidity Risk and Expected Stock Returns
TL;DR: This article investigated whether market-wide liquidity is a state variable important for asset pricing and found that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity.