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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

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

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

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

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

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

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

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

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

Volatility Spreads and Earnings Announcement Returns

Atilgan, Yigit - 2015

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors … is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during … major information events. This paper investigates whether the predictability of equity returns by volatility spreads is …

Persistent link: https://www.econbiz.de/10013039227