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Cash-Flow Risk, Discount Risk, and the Value Premium
Santos, Tano - 2006
with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM …
Persistent link: https://www.econbiz.de/10012783344
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Maxing Out : Stocks as Lotteries and the Cross-Section of Expected Returns
Bali, Turan G. - 2009
between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …
Persistent link: https://www.econbiz.de/10012764338
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Regression Discontinuity and the Price Effects of Stock Market Indexing
Chang, Yen-Cheng - 2013
Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner...
Persistent link: https://www.econbiz.de/10013077962
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The Constrained Asset Share Estimation (Case) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles M. - 2010
We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the … reasonably the price of risk, and, in some cases, the MVE model is valuable in explaining expected equity returns. Unlike with …
Persistent link: https://www.econbiz.de/10012763456
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Momentum Crashes
Daniel, Kent D. - 2015
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10013032704
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The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets
Giovannini, Alberto - 2010
Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time … variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are …
Persistent link: https://www.econbiz.de/10013141091
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
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Betting Against Beta
Frazzini, Andrea - 2010
of high-beta assets produces significant risk-adjusted returns. When funding constraints tighten, betas are compressed …
Persistent link: https://www.econbiz.de/10013135232
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Size Anomalies in U.S. Bank Stock Returns : A Fiscal Explanation
Gandhi, Priyank - 2015
The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk … factor in the component of bank returns that is orthogonal to the standard risk factors, including small-minus-big, which has … the right covariance with bank returns to explain the average risk-adjusted returns. This factor measures size …
Persistent link: https://www.econbiz.de/10013038431
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Portfolio Concentration and the Performance of Individual Investors
Ivkovich, Zoran - 2010
total risk are larger and the Sharpe ratios of their stock portfolios are lower …
Persistent link: https://www.econbiz.de/10012762588