Similar Search Results

Asset Pricing in the Dark : The Cross Section of OTC Stocks

Ang, Andrew - 2013

. Compared to premiums in listed markets, the OTC illiquidity premium is several times higher, the size, value, and volatility … premiums are similar, and the momentum premium is three times lower. The OTC illiquidity, size, value, and volatility premiums …

Persistent link: https://www.econbiz.de/10013093551

Asset Pricing in the Dark : The Cross Section of OTC Stocks

Ang, Andrew - 2013

Persistent link: https://www.econbiz.de/10013094101

Is IPO Underperformance a Peso Problem?

Ang, Andrew; Gu, Li; Hochberg, Yael V. - National Bureau of Economic Research (NBER) - 2006

Recent studies suggest that the underperformance of IPOs in the post-1970 sample may be a small sample effect or %u201CPeso%u201D problem. That is, IPO underperformance may result from observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance...

Persistent link: https://www.econbiz.de/10005040621

Is IPO Underperformance a Peso Problem?

Ang, Andrew - 2016

Recent studies suggest that the underperformance of IPO's in the post-1970 sample may be a small sample effect or Peso problem. That is, IPO underperformance may be due to observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance that captures...

Persistent link: https://www.econbiz.de/10012707234

International asset allocation with time-varying correlations

Ang, Andrew; Bekaert, Geert - 1999

Persistent link: https://www.econbiz.de/10001379604

Asymmetric correlations of equity portfolios

Ang, Andrew; Chen, Joseph - In: Journal of financial economics 63 (2002) 3, pp. 443-494

Persistent link: https://www.econbiz.de/10001661703

The cross-section of volatility and expected returns

Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, … - 2004

Persistent link: https://www.econbiz.de/10002418876

The cross-section of volatility and expected returns

Zhang, Xiaoyan; Ang, Andrew; Hodrick, Robert J.; Xing, … - 2004

Persistent link: https://www.econbiz.de/10002073591

High Idiosyncratic Volatility and Low Returns : International and Further U.S. Evidence

Ang, Andrew - 2011

Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 … developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility …, and higher moments. There is strong covariation in the low returns to high-idiosyncratic-volatility stocks across …

Persistent link: https://www.econbiz.de/10013119401

High idiosyncratic volatility and low returns : international and further US evidence

Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, … - In: Journal of financial economics 91 (2009) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10003813173