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This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant...
Persistent link: https://www.econbiz.de/10013116882
The low (high) abnormal returns of stocks with high (low) beta - the beta anomaly - is one of the most persistent anomalies in empirical asset pricing research. This paper demonstrates that investors' demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is...
Persistent link: https://www.econbiz.de/10013006629
We investigate the impact of potential information hiding or disclosure delay originated from private subsidiaries on the future returns of their public parent firms. We find a significantly positive link between private subsidiaries' information disclosure (PSID) and the cross-section of future...
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This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate stock market. We provide evidence for a significantly negative link between volatility spreads and expected returns at the daily and weekly frequencies. We argue that this link is...
Persistent link: https://www.econbiz.de/10013037279
This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate stock market. We provide evidence for a signi ficantly negative link between volatility spreads and expected returns at the daily and weekly frequencies. We argue that this link is...
Persistent link: https://www.econbiz.de/10013038211