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Riskiness Measures and Expected Returns
Bali, Turan G. - 2012
Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …
Persistent link: https://www.econbiz.de/10013114947
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World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets
Bali, Turan G. - 2012
This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and …
Persistent link: https://www.econbiz.de/10013116715
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Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITSs
Cakici, Nusret - 2014
REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample … models. Overall, we document a negative relation between idiosyncratic risk and cross-sectional expected returns and …
Persistent link: https://www.econbiz.de/10013056735
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The Magic Formula : Value, Profitability, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2017
Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...
Persistent link: https://www.econbiz.de/10012958130
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Overreaction and the Cross-Section of Returns : International Evidence
Blackburn, Douglas W. - 2017
Theory has linked price momentum with price reversals (Barberis, Shleifer, and Vishny (1998), Daniel, Hirshleifer, and Subrahmanyam (1998), and Hong and Stein (1999)). The models generally rely on behavioral descriptions of irrational investors who push prices beyond their fundamental value thus...
Persistent link: https://www.econbiz.de/10012968974
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Salience Theory and the Cross-Section of Stock Returns : International and Further Evidence
Cakici, Nusret; Zaremba, Adam - 2021
demonstrate that the salience effect prevails globally and is augmented by country-specific idiosyncratic risk. However, it …
Persistent link: https://www.econbiz.de/10013248297
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Yield Curve Shifts and the Cross-Section of Global Equity Returns
Zaremba, Adam; Cakici, Nusret; Bianchi, Robert J.; … - 2021
Interest rate changes typically affect the value of equities. However, the slow movement of investment capital may delay the transmission of this information from interest rate markets to stocks. Using a century of data from sixty countries, we demonstrate that yield curve shifts predict future...
Persistent link: https://www.econbiz.de/10013244504
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012022063
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A New Approach to Measuring Riskiness in the Equity Market : Implications for the Risk Premium
Bali, Turan G. - 2013
positive link between aggregate riskiness and market risk premium remains intact after controlling for the S&P500 index option … characterized by high aggregate risk aversion and high expected returns …
Persistent link: https://www.econbiz.de/10013091047
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A New Approach to Measuring Riskiness in the Equity Market : Implications for the Risk Premium
Bali, Turan G. - 2013
-varying riskiness and expected market returns. The significantly positive link between aggregate riskiness and market risk premium … showing that aggregate riskiness is higher during economic downturns characterized by high aggregate risk aversion and high …
Persistent link: https://www.econbiz.de/10013091172