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Is there a value premium in cryptoasset markets?
Liebi, Luca J. - In: Economic modelling 109 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013348228
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Investor Network : Implications for Information Diffusion and Asset Prices
San-Lin, Chung - 2018
centralization in investor networks. Consistent with the theory of investor information networks, we find that central investors …
Persistent link: https://www.econbiz.de/10012936661
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Common risk factors in equity markets
Atanasov, Victoria - 2014 - This version: May 26, 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
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An analysis of the relation between return and beta for portfolios of Turkish equities
Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8
the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …
Persistent link: https://www.econbiz.de/10011450716
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The Cross-Section of Equity Returns and Assets’ Fundamental Cash-Flow Risk
Galsband, Victoria - 2011
The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets' discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that...
Persistent link: https://www.econbiz.de/10013132049
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Short Selling, Regulatory Flip/Flops and Uncertainty : Implications for Asset Pricing and Asset Allocation
Batur, Onay - 2014
After seventy years with no changes to short sale regulation, the United States Securities and Exchange Commission intervened three times with regulatory action from July 2007 through October 2008. The Commission first loosened restrictions on short sales by repealing the “Uptick Rule” in...
Persistent link: https://www.econbiz.de/10013065451
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Betting Against Other Betas
Murray, Scott - 2020
Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...
Persistent link: https://www.econbiz.de/10012841238
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Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108
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Betting Against Betting Against Beta
Novy-Marx, Robert - 2019
-standard beta estimation procedure drive results presented as evidence supporting its underlying theory …
Persistent link: https://www.econbiz.de/10012896825
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Understanding the Performance of Components in Betting Against Beta
Han, Xing - 2019
firm size and stock correlation. Excluding micro-cap stocks, the performance of BAC shrinks more than that of BAB. Overall …
Persistent link: https://www.econbiz.de/10012897375