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Asymmetric News and Asset Pricing
Suijs, Jeroen - 2011
This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...
Persistent link: https://www.econbiz.de/10013119323
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Information Shocks and the Cross-section of Expected Returns
Savaser, Tanseli; Tiniç, Murat - 2022
This paper examines the risk premium associated with the information shocks in equity markets. For all stocks traded in Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as the unanticipated information asymmetry by focusing on the changes in the proportion of...
Persistent link: https://www.econbiz.de/10013404748
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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
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Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement
Phin, Andrew - 2018
Using high frequency data, we develop an event study method to test for level shifts in beta and measure abnormal returns for events that produce such level shifts. Using this method, we estimate abnormal returns for the Troubled Asset Relief Program (TARP) announcement and find that its...
Persistent link: https://www.econbiz.de/10012938344
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Asymmetric News Repetition and the Cross-Section of Stock Returns
Li, Ruicong - 2021
This paper studies the implications of disclosure repetitiveness on firm performance, information processing costs, and future stock returns. I propose a compression-based method to measure disclosure repetitiveness, which is assumption-free with respect to the underlying language models. I then...
Persistent link: https://www.econbiz.de/10013313217
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Level shifts in beta, spurious abnormal returns and the TARP announcement
Phin, Andrew; Prono, Todd; Reeves, Jonathan J.; Saxena, … - 2018
Using high frequency data, we develop an event study method to test for level shifts in beta and measure abnormal returns for events that produce such level shifts. Using this method, we estimate abnormal returns for the Troubled Asset Relief Program (TARP) announcement and find that its...
Persistent link: https://www.econbiz.de/10012016622
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When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns
Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020
Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...
Persistent link: https://www.econbiz.de/10014352071
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A note on the impact of portfolio overlapping in tests of the Fama and French three-factor model
Wallmeier, Martin; Tauscher, Kathrin - 2012 - First draft, Oct. 2012
In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test...
Persistent link: https://www.econbiz.de/10009664476
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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …
Persistent link: https://www.econbiz.de/10011539896
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Is Idiosyncratic Volatility Really Priced?
Bergbrant, Mikael C. - 2011
idiosyncratic risk and finds a strong positive relation between expected idiosyncratic volatility and returns, suggesting missing … systematic risk factors or inefficient markets. We document that this positive relation between idiosyncratic volatility and … returns only exists for small firms which are difficult to arbitrage. The relation between idiosyncratic volatility and …
Persistent link: https://www.econbiz.de/10013128511