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Absolving beta of volatility's effects
Liu, Jianan; Stambaugh, Robert F.; Yuan, Yu - In: Journal of financial economics 128 (2018) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10011969100
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Absolving Beta of Volatility's Effects
Liu, Jianan - 2020
The beta anomaly — negative (positive) alpha on stocks with high (low) beta — arises from beta's positive correlation with idiosyncratic volatility (IVOL). The relation between IVOL and alpha is positive among underpriced stocks but negative and stronger among overpriced stocks (Stambaugh,...
Persistent link: https://www.econbiz.de/10012855177
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Evolutionary finance for multi-asset investors
Schnetzer, Michael; Hens, Thorsten - 2022
Standard strategic asset allocation procedures usually neglect market interaction. However, returns are not generated in a vacuum but are the result of the market's price discovery mechanism which is driven by investors' investment strategies. Evolutionary finance accounts for this and...
Persistent link: https://www.econbiz.de/10012800946
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Value around the world
Caliskan, Nilufer; Hens, Thorsten - 2013
We show that in a consumption-based asset-pricing model with hyperbolic discounting leading to dynamically inconsistent time preferences value premium increases nonlin-early with the degree of discounting and thus affects cross section of returns. To test our model empirically, we relate the...
Persistent link: https://www.econbiz.de/10009751115
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An Evolutionary Explanation of the Value Premium Puzzle
Hens, Thorsten - 2010
As early as 1934 Graham and Dodd conjectured that excess returns from value investment originate from a tendency of stock prices to converge towards a fundamental value. This paper confirms their insights within the evolutionary finance model of Evstigneev, Hens and Schenk-Hoppé (Economic...
Persistent link: https://www.econbiz.de/10013139921
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Mispricing Factors
Stambaugh, Robert F. - 2020
A four-factor model with two “mispricing” factors, in addition to market and size factors, accommodates a large set of anomalies better than notable four- and five-factor alternative models. Moreover, our size factor reveals a small-firm premium nearly twice usual estimates. The mispricing...
Persistent link: https://www.econbiz.de/10012856154
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Arbitrage asymmetry and the idiosyncratic volatility puzzle
Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - 2012
Persistent link: https://www.econbiz.de/10009680904
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Arbitrage asymmetry and the idiosyncratic volatility puzzle
Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - In: The journal of finance : the journal of the American … 70 (2015) 5, pp. 1903-1948
Persistent link: https://www.econbiz.de/10011408672
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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Stambaugh, Robert F. - 2012
Short selling, as compared to purchasing, faces greater risks and other potential impediments. This arbitrage asymmetry …
Persistent link: https://www.econbiz.de/10013097661
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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Stambaugh, Robert F. - 2020
Many investors purchase stock but are reluctant or unable to sell short. Combining this arbitrage asymmetry with the … arbitrage risk represented by idiosyncratic volatility (IVOL) explains the negative relation between IVOL and average return … determined by combining 11 return anomalies. Consistent with arbitrage asymmetry, the negative relation among overpriced stocks …
Persistent link: https://www.econbiz.de/10012857186