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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
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Illiquidity Premium and Stylized Equity Returns
Hassan, Arshad - 2011
low liquidity stocks. Traditional Capital Asset Pricing Model (CAPM) is found to be valid as market factor is significant … power of conventional CAPM. These results are in line with the findings of Hwang and Lu (2007) for the UK market and Eun and … investment, financing and valuation of financial instruments. The results are important, in the sense, that they can facilitate …
Persistent link: https://www.econbiz.de/10013122150
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Interest-Rate Risk Factor and Stock Returns : A Time-Varying Factor-Loadings Model
Huang, Peng - 2018
We extend the Fama–French three-factor model to include a risk factor that proxies for interest-rate risk faced by firms in an attempt to reduce the pricing errors that the three-factor model cannot explain. These pricing errors are observed especially in small size and low book-to-market...
Persistent link: https://www.econbiz.de/10012931064
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Equilibrium asset pricing and the cross section of expected returns
Vanden, Joel M. - In: Annals of finance 17 (2021) 2, pp. 153-186
Persistent link: https://www.econbiz.de/10012585513
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Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns
Ogden, Joseph P. - 2010
Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...
Persistent link: https://www.econbiz.de/10013147129
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The common factor in idiosyncratic volatility : quantitative asset pricing implications
Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - In: Journal of financial economics 119 (2016) 2, pp. 249-283
Persistent link: https://www.econbiz.de/10011589843
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Implied volatility and the cross section of stock returns in the UK
Poshakwale, Sunil S.; Chandorkar, Pankaj; Agarwal, Vineet - In: Research in international business and finance 48 (2019), pp. 271-286
Persistent link: https://www.econbiz.de/10012135913
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Attitudes towards ambiguous information and stock returns
Zhang, Ziyun - In: Cogent economics & finance 7 (2019) 1, pp. 1-33
This study examines whether investors’ attitudes toward ambiguity can explain cross-sectional stock returns by investigating the relationship between future stock returns and option-implied volatilities as well as implied third moments. We find that investors’ attitudes toward different...
Persistent link: https://www.econbiz.de/10014232777
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Productivity, risk, and expected stock returns : in memory of Simon Benninga
Taussig, Roi D. - In: The journal of corporate accounting & finance 34 (2023) 2, pp. 104-108
Persistent link: https://www.econbiz.de/10014279488
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Detecting profitability and investment risk premiums in the French stock market
Chakroun, Amal Zaghouani; Hmaied, Dorra Mezzez - In: Research in finance 35 (2019), pp. 71-104
Persistent link: https://www.econbiz.de/10012228103