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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 … the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1 ….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

Stock pledged loans and market crash risk : evidence from China

Li, Feng; Qian, Jun; Wang, Haofei; Zhu, Julie Lei - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-26

Stock pledged loans have become prevalent among large shareholders of listed firms in China. The largest shareholder pledges a greater fraction of her holdings as collateral for credit when the firm is in growth industries, less profitable, not state owned, and has higher leverage. Stock...

Persistent link: https://www.econbiz.de/10014514168

Crash Sensitivity and the Cross-Section of Expected Stock Returns

Chabi-Yo, Fousseni - 2017

This paper examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD have higher average future returns than stocks with...

Persistent link: https://www.econbiz.de/10012975434

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...

Persistent link: https://www.econbiz.de/10012585546

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

. We find that stocks with a high exposure to joint crashes of the market and the momentum factor bear a risk premium which …

Persistent link: https://www.econbiz.de/10011993538

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013

based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm …

Persistent link: https://www.econbiz.de/10010326212

Private Information, Human Capital, andOptimal “Home Bias” in Financial Markets

Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2011

By allowing for imperfectly informed markets and the role of private information, we offer newinsights about observed deviations of portfolio concentrations in domestic relative to foreignrisky assets, or “home bias”, from what standard finance models predict. Our model ascribesthe...

Persistent link: https://www.econbiz.de/10009522205

Financial markets’ appetite for risk –and the challenge of assessing itsevolution by risk appetite indicators

Uhlenbrock, Birgit - Deutsche Bundesbank <Frankfurt, Main> / … - 2009

Assessments of investors’ risk appetite/aversion stance via indicators often yields resultswhich seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding howsuch indicators work therefore seems essential for further improvements. The presentpaper seeks to contribute to this...

Persistent link: https://www.econbiz.de/10005866168

Financial marketś appetite for risk : and the challenge of assessing its evolution by risk appetite indicators

Uhlenbrock, Birgit - 2009

Assessments of investors’ risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

Persistent link: https://www.econbiz.de/10003857724

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