Showing 1 - 10 of 42
We propose a simple methodology to evaluate a large number of potential explanations for the negative relation between idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing explanations explain less than 10% of the...
Persistent link: https://www.econbiz.de/10009699414
We study the effects of political uncertainty on commodity markets from both theoretical and empirical perspectives. Consistent with our theoretical predictions, commodity prices and inventories decline by 6.6% and 5.7%, respectively, and convenience yields increase by 1.9% in the quarter...
Persistent link: https://www.econbiz.de/10011968947
We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and Huang (2012), we apply a decomposition methodology to...
Persistent link: https://www.econbiz.de/10011772268
Persistent link: https://www.econbiz.de/10011590682
Persistent link: https://www.econbiz.de/10003600239
Persistent link: https://www.econbiz.de/10001601468
Persistent link: https://www.econbiz.de/10001786264
Persistent link: https://www.econbiz.de/10002659953
Persistent link: https://www.econbiz.de/10002883183
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10012968364