Narrow search
Showing 1 - 10 of 37
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Anomalies abroad : beyond data mining
Lu, Xiaomeng; Stambaugh, Robert F.; Yuan, Yu - 2017
Persistent link: https://www.econbiz.de/10011741422
Cover Image
Absolving beta of volatility's effects
Liu, Jianan; Stambaugh, Robert F.; Yan, Yu - 2016 - This Version: November 14, 2016
Persistent link: https://www.econbiz.de/10011843913
Cover Image
Anomalies abroad : beyond data mining
Lu, Xiaomeng; Stambaugh, Robert F.; Yuan, Yu - 2017
Persistent link: https://www.econbiz.de/10011847399
Cover Image
Arbitrage asymmetry and the idiosyncratic volatility puzzle
Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - 2012
Persistent link: https://www.econbiz.de/10009680904
Cover Image
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
Cover Image
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/10012460100
Cover Image
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