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Idiosyncratic Volatility and Firm-Specific News : Beyond Limited Arbitrage

DeLisle, Jared - 2016

idiosyncratic volatility is from its function as a limit arbitrage. Our evidence incorporating firm specific news is inconsistent … news volatility (volatility contemporaneous to news announcements) should be stronger than that of non-news volatility … (volatility without an identified news announcement). We find the opposite. Non-news volatility has robust negative price and …

Persistent link: https://www.econbiz.de/10013003459

Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns

Truong, Cameron - 2015

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …

Persistent link: https://www.econbiz.de/10013009762

Investor Attention to News on Financial Integration and Currency Returns

Filippou, Ilias; T. Nguyen, My; Taylor, Mark P. - 2023

In this paper, we examine the economic value of a text-based measure of financial integration. Our attention measure of financial integration is a strong positive predictor of currency excess returns. Specifically, the financial integration measure is positively priced in the cross-section of...

Persistent link: https://www.econbiz.de/10014254455

Equity returns of distressed equity issuers

Park, James L. - In: Finance research letters 14 (2015), pp. 93-103

Persistent link: https://www.econbiz.de/10011552645

Net equity issuance effect in the UK

Zhou, Hang; Armitage, Seth; Michou, Maria - In: The European journal of finance 25 (2019) 15, pp. 1420-1439

Persistent link: https://www.econbiz.de/10012207110

Earnings Announcement Beta and Accrual of Risk Premium

Chen, Jingjing; Chen, Linda H.; Jiang, George J. - 2021

Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be consistently priced in stocks. However, we find that stocks with high earnings announcement risk earn significantly higher returns only during months when firms have earnings or...

Persistent link: https://www.econbiz.de/10013237378

How news affects sectoral stock prices through earnings expectations and risk premia

Hvid, Anna Kirstine; Kristiansen, Kristian Loft - 2020

A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...

Persistent link: https://www.econbiz.de/10012316963

Validating Implied Cost of Capital With Realized Returns by Using Alternative Measures of Cash-Flow News

Ketterer, Simeon; Dionysiou, Dionysia; Eierle, Brigitte; … - 2023

We outline analytically that when testing different implied cost of capital (ICC) measures for validation by employing the Vuolteenaho (2002) framework, the cash-flow news in the validation framework should be defined in a way that considers the model specific assumed sequence of future cash...

Persistent link: https://www.econbiz.de/10014349898

Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?

Abhakorn, Pongrapeeporn - 2016

We propose a multivariate test based on no-arbitrage conditions under the stochastic discount factor approach, which compares cross-sectional variation in equity returns to the cross-sectional variation in their conditional covariance with the discount factors. Using the multivariate generalized...

Persistent link: https://www.econbiz.de/10013000288

Size, value, and momentum in Polish equity returns : Local or international factors?

Zaremba, Adam - 2017

In this paper, I test the performance of the CAPM, Fama-French three-factor and Carhart four-factor models on the Polish market. I use stock level data from April 2001 to January 2014. I find strong evidence for the value and momentum effects, but only weak evidence for the size premium. I form...

Persistent link: https://www.econbiz.de/10012973497