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Frazzini, Andrea; Pedersen, Lasse Heje - In: Journal of Financial Economics 111 (2014) 1, pp. 1-25

-beta assets, produces significant positive risk-adjusted returns. (3) When funding constraints tighten, the return of the BAB … factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …

Persistent link: https://www.econbiz.de/10010718732

Global, local, and contagious investor sentiment

Baker, Malcolm; Wurgler, Jeffrey; Yuan, Yu - In: Journal of Financial Economics 104 (2012) 2, pp. 272-287

We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of...

Persistent link: https://www.econbiz.de/10010571674

The option to stock volume ratio and future returns

Johnson, Travis L.; So, Eric C. - In: Journal of Financial Economics 106 (2012) 2, pp. 262-286

We examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket asymmetric information model, equity short-sale costs result in a negative relation between relative option volume and future firm value. In our empirical tests, firms in the...

Persistent link: https://www.econbiz.de/10010593832

Asset pricing: A tale of two days

Savor, Pavel; Wilson, Mungo - In: Journal of Financial Economics 113 (2014) 2, pp. 171-201

portfolios, and even for bonds and currencies, suggesting that beta is after all an important measure of systematic risk …. Furthermore, a robust risk–return trade-off exists on announcement days. Expected variance is positively related to future …

Persistent link: https://www.econbiz.de/10010784903

A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?

So, Eric C. - In: Journal of Financial Economics 108 (2013) 3, pp. 615-640

I provide evidence that investors overweight analyst forecasts by demonstrating that prices do not fully reflect predictable components of analyst errors, which conflicts with conclusions in prior research. I highlight estimation bias in traditional approaches and develop a new approach that...

Persistent link: https://www.econbiz.de/10010665566

Momentum has its moments

Barroso, Pedro; Santa-Clara, Pedro - In: Journal of Financial Economics 116 (2015) 1, pp. 111-120

kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually … eliminates crashes and nearly doubles the Sharpe ratio of the momentum strategy. Risk-managed momentum is a much greater puzzle …

Persistent link: https://www.econbiz.de/10011263126

CAPM for estimating the cost of equity capital: Interpreting the empirical evidence

Da, Zhi; Guo, Re-Jin; Jagannathan, Ravi - In: Journal of Financial Economics 103 (2012) 1, pp. 204-220

We argue that the empirical evidence against the capital asset pricing model (CAPM) based on stock returns does not … returns on stocks need not satisfy the CAPM even when expected returns of projects do. We provide empirical support for our … arguments by developing a method for estimating firms' project CAPM betas and project returns. Our findings justify the …

Persistent link: https://www.econbiz.de/10010702354

Pinning in the S&P 500 futures

Golez, Benjamin; Jackwerth, Jens Carsten - In: Journal of Financial Economics 106 (2012) 3, pp. 566-585

We show that Standard & Poor's (S&P) 500 futures are pulled toward the at-the-money strike price on days when serial options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price right before the expiration of options on the S&P 500...

Persistent link: https://www.econbiz.de/10010587978

Predictability of currency carry trades and asset pricing implications

Bakshi, Gurdip; Panayotov, George - In: Journal of Financial Economics 110 (2013) 1, pp. 139-163

currency returns and the mimicking portfolio for the innovations in currency volatility as risk factors, imposes on the …

Persistent link: https://www.econbiz.de/10010702377

Does option trading convey stock price information?

Hu, Jianfeng - In: Journal of Financial Economics 111 (2014) 3, pp. 625-645

After executing option orders, options market makers turn to the stock market to hedge away the underlying stock exposure. As a result, the stock exposure imbalance in option transactions translates into an imbalance in stock transactions. This paper decomposes the total stock order imbalance...

Persistent link: https://www.econbiz.de/10010743556