Open AccessPosted Content
The Cross-Section of Volatility and Expected Returns
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
Volatility of Aggregate Volatility and Hedge Fund Returns
TL;DR: This article investigated empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time, and found that VOV exposure is a significant determinant of hedge fund returns.
Journal ArticleDOI
Downside Beta and Equity Returns around the World
TL;DR: In this paper, the authors investigated the relation between downside beta and stock returns in a global context using more than 170 million daily return observations, and they showed that downside beta does not explain the cross-sectional differences in future and contemporaneous returns in an international setting.
Journal ArticleDOI
Real Option Component of Cash Holdings, Business Cycle, and Stock Returns
TL;DR: The authors hypothesize that there exists a real option component of aggregate corporate cash holdings, serving both functions of precautionary saving and exercising growth options, and the empirical results show that this component increases when the real GDP declines while decreasing when real GDP increases, suggesting investors prefer to hold firms with higher cash holdings when the economy is bad.
Journal ArticleDOI
Multifactor Risk Models and Heterotic CAPM
Zura Kakushadze,Willie Yu +1 more
TL;DR: In this article, a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/or industry factors.
Journal ArticleDOI
Public R&D Spending and Cross-Sectional Stock Returns
TL;DR: This paper examined how cross-sectional stock returns are influenced by research and development (R&D) spending funded by the public sector, which accounts for a substantial portion of total U.S. investments in innovation.
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.