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
Turnover: Liquidity or Uncertainty?
TL;DR: This article showed that turnover is unrelated to several alternative measures of liquidity and liquidity risk and that liquidity risk factors cannot explain why higher turnover predicts lower future returns, and that the negative relation between turnover and future returns is stronger for firms with high market-to-book or bad credit rating and these regularities are also explained by the aggregate volatility risk factor.
Journal ArticleDOI
Diversity of Empirical Design - Review of Studies on the Cross-Section of Common Stocks
TL;DR: In this paper, a wide range of international papers to give an overview of methodological variations applied by researchers, including the Capital Asset Pricing Model (CAPM), three-and four-factor pricing models, and risk mimicking factors.
Journal ArticleDOI
Portfolio Selection: An Extreme Value Approach
TL;DR: Lower tail dependence (chi) as mentioned in this paper is a measure of the probability that a portfolio will suffer large losses given that the market does, which is important information for risk-averse investors.
Journal ArticleDOI
Realization Utility with Reference-Dependent Preferences
TL;DR: The authors developed a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment and generated both voluntarily realized gains and losses.
Posted Content
Investor Sentiment, Financial Report Quality and Stock Price Crash Risk: Role of Short-Sales Constraints
Yugang Yin,Rongfu Tian +1 more
TL;DR: Li et al. as mentioned in this paper used firm-year observations of Chinese firms between 2003 and 2013 and empirically investigated the association between investor sentiment and stock crash risk with respect to short-sales constraint conditions.
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.