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Growth Options and Related Stock Market Anomalies : Profitability, Distress, Lotteryness, and Volatility
Bali, Turan G. - 2019
profitability, distress, lotteryness, and volatility anomalies, influencing their returns via the channel of idiosyncratic skewness …
Persistent link: https://www.econbiz.de/10012901824
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Stochastic Idiosyncratic Cash Flow Risk and Real Options : Implications for Stock Returns
Bhamra, Harjoat Singh - 2016
Stocks with high idiosyncratic volatility perform poorly relative to low idiosyncratic volatility stocks. We offer a … volatility (the positive contemporaneous relation between firm-level stock returns and idiosyncratic volatility). Our approach is … idiosyncratic volatility rises, driving down the firm's systematic risk and hence its expected return - firms with higher …
Persistent link: https://www.econbiz.de/10013007739
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Volatility risks and growth options
Ai, Hengjie; Kiku, Dana - In: Management science : journal of the Institute for … 62 (2016) 3, pp. 741-763
Persistent link: https://www.econbiz.de/10011453540
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...
Persistent link: https://www.econbiz.de/10013026463
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Revealing Downturns
Schmalz, Martin C. - 2018
prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …
Persistent link: https://www.econbiz.de/10012938636
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Return and Dividend Expectations in the Cross-Section of Prices
Douglas, Reed - 2022
I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...
Persistent link: https://www.econbiz.de/10014236440
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What Drives Stock Prices along Business Cycles?
Mai, Dat - 2022
This paper applies a Bayesian break method to studying the empirical time-varying relations between stock price ratios and subjective expectations across the market and 30 industry portfolios monthly from 1976 to 2020. Cash flow expectations unconditionally explain 80% of price variations since...
Persistent link: https://www.econbiz.de/10013293691
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Reits' growth options and asset pricing dynamics across time
Tan, Cheng Wee; Tırtıroğlu, Doğan; Tırtıroğlu, Ercan - 2013
Our paper makes two empirical contributions on REITs' asset pricing over three sequential and mutually exclusive time periods. The first yields the beta estimates of (i) assets, (ii) growth options and (iii) assets-in-place, embedded in the valuations of REITs. We develop a new approach to...
Persistent link: https://www.econbiz.de/10009703617
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Implied Volatility Spreads and Expected Market Returns
Atilgan, Yigit - 2015
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 … extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance …
Persistent link: https://www.econbiz.de/10013037279