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The Momentum Effect in Country-Level Stock Market Anomalies
Zaremba, Adam - 2019
The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before....
Persistent link: https://www.econbiz.de/10012904212
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Sentiment Versus Liquidity Pricing Effects in the Cross-Section of UK Stock Returns
O'Sullivan, Niall - 2019
This study examines the asset pricing role of ‘sentiment risk' in stock returns in the case of the UK stock market. We define sentiment risk as the sensitivity of stock returns to investor sentiment in financial markets. We incorporate a broad range of financial market variables in measuring...
Persistent link: https://www.econbiz.de/10012890282
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A Lottery Demand-Based Explanation of the Beta Anomaly
Bali, Turan G. - 2016
The low (high) abnormal returns of stocks with high (low) beta - the beta anomaly - is one of the most persistent anomalies in empirical asset pricing research. This paper demonstrates that investors' demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is...
Persistent link: https://www.econbiz.de/10013006629
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Excess Volatility and Momentum Effect in the Cross-Section of Stock Returns
Wang, Yuming - 2014
In this note we document interactive relations between the excess volatility and the momentum effect in the cross-section of stock returns over the sample periods of 1963-1989, 1990-2010 and 1963-2010, along the line explored lately in Wang and Ma (2014). The nature of interactive relations...
Persistent link: https://www.econbiz.de/10013052869
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Testing the CAPM Under Asymmetric Information
Guéniche, Alain; Burlacu, Radu; Jimenez-Garcès, Sonia G. - 2022
portfolio is not a relevant benchmark for testing the CAPM. Each investor appraises expected returns and builds his optimal … benchmark to consider for the conditional CAPM(s)? Many CAPM empirical tests consider future realized returns as proxies for … correct benchmark for testing the CAPM from the perspective of this investor. Our empirical results provide a more optimistic …
Persistent link: https://www.econbiz.de/10013292834
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Stability in the ISE : Betas for Stocks and Portfolios
Oran, Adil - 2010
In this paper we examine the characteristics and stability of individual stock and portfolio betas of stocks listed in the Istanbul Stock Exchange (ISE) using samples of 500 individual stocks and 500 portfolios of 10 stocks each. We begin with a methodology similar to the basic event study...
Persistent link: https://www.econbiz.de/10013147415
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Credit rating downgrade risk on equity returns
Brakatsoulas, Periklis; Kukacka, Jiri - 2020
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012242861
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Size, value, and momentum in Polish equity returns : local or international factors?
Zaremba, Adam; Konieczka, Przemysław - In: International journal of management and economics 53 (2017) 3, pp. 26-47
This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart … models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios …
Persistent link: https://www.econbiz.de/10012026674
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Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries
Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168
significantly and negatively related to idiosyncratic risk during the period examined. Consistent with the arbitrage asymmetry, this … significant than that of their counterpart firms. Finally, the results prove that the arbitrage score factor is a significant …
Persistent link: https://www.econbiz.de/10014307488
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Arbitrage Comovement
Shim, John J. - 2019
I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement … but by their portfolio weights, causing securities to comove with the ETF based on a measure I call arbitrage sensitivity … – a combination of portfolio weight and price impact sensitivity – rather than fundamental exposures. Arbitrage …
Persistent link: https://www.econbiz.de/10012897330