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Pederzoli, Paola - 2018

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

Persistent link: https://www.econbiz.de/10011899675

REIT Crash Risk and Institutional Investors

An, Heng - 2016

This paper examines the relationship between the stock crash risk of REITs and different types of institutional … (bank trusts) is negatively (positively) related to REIT crash risk. In addition, the trading of investment behavior, we … find that REIT crash risk is positively related to the trading of transient institutional investors, which trade frequently …

Persistent link: https://www.econbiz.de/10012981822

Momentum and crash sensitivity

Ruenzi, Stefan; Weigert, Florian - 2017 - This version: December 2017

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …

Persistent link: https://www.econbiz.de/10011906204

The Dynamic Relation Between Options Trading, Short Selling, and Aggregate Stock Returns

DeLisle, Jared - 2015

We examine the information contained in option trading and short selling using a dynamic VAR model. First, we address whether options and shorts are complements or substitutes. Contrary to existing event studies around option listing introductions, we show short selling and options trading are...

Persistent link: https://www.econbiz.de/10013036556

Does Feedback Trading Drive Returns of Cross-Listed Shares?

Chen, Jing - 2017

This paper examines the role of cross-listing in stock return dynamics with particular reference to feedback trading based on a sample of five most frequently traded cross-listed shares. We find that a long-run equilibrium relationship among the cross-listed share prices exists, but find no...

Persistent link: https://www.econbiz.de/10012954690

News Content, Investor Misreaction, and Stock Return Predictability

Hadzic, Muris - 2015

Using a large dataset of news releases, we study instances of investors' mistaken reaction, or misreaction, to news. We define misreaction as stock prices moving in the direction opposite to the news when it is released. We find that news tone predicts returns in the cross-section only upon the...

Persistent link: https://www.econbiz.de/10013016562

Over or Under? Momentum, Idiosyncratic Volatility and Overreaction

Heidari, Mahdi - 2015

Several studies have attributed the high excess returns of the momentum strategy in the equity market to investor behavioral biases. However, whether momentum effects occur because of investor underreaction or because of investor overreaction remains a question. Using a simple model to...

Persistent link: https://www.econbiz.de/10013012436

Investor Sentiment and Market Skewness Pricing

Yaakoubi, Soumaya - 2022

This paper provides new evidence on the pricing of market skewness risk by incorporating investor sentiment in the … low sentiment periods separately. We find that market skewness risk carries a negative premium that cannot be explained … away by known risk factors when sentiment is low. In contrast, the results are not conducive to a risk explanation when …

Persistent link: https://www.econbiz.de/10013298295

Predicting Momentum

Ma, Siyuan - 2022

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...

Persistent link: https://www.econbiz.de/10013404733

Investor Sentiment and Paradigm Shifts in Equity Return Forecasting

Chu, Liya; He, Xue-zhong; Li, Kai; Tu, Jun - 2022

This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (behavioral-based non-fundamental) predictors and market returns. We find that although fundamental variables can...

Persistent link: https://www.econbiz.de/10013405087