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The information content of investors' expectations for risk and return

Berry, Thomas D.; Gamble, Keith Jacks - In: The quarterly journal of finance 3 (2013) 3/4, pp. 1-23

Persistent link: https://www.econbiz.de/10010389083

Volatility Uncertainty and the Cross-Section of Option Returns

Cao, Jie - 2019

This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … future delta-hedged equity option returns. We find that delta-hedged option returns consistently decrease in uncertainty of … option dealers charge a higher premium for single-name options with high uncertainty of volatility, because these stock …

Persistent link: https://www.econbiz.de/10012899316

Low risk and high return : how emotions shape expectations on the stock market

Kempf, Alexander; Niessen, Alexandra; Merkle, Christoph - 2009

This experimental paper investigates the impact of emotions on risk and return estimates of stocks. Participants rate well-known blue-chip firms on an emotional scale and forecast risk and return of the firms' stock. We find that positive emotions lead to a prediction of high return and low...

Persistent link: https://www.econbiz.de/10003919373

Low risk and high return : affective attitudes and stock market expectations

Kempf, Alexander; Merkle, Christoph; Niessen-Ruenzi, … - 2012 - This version: June 2012

This experimental study investigates the impact of affective attitudes on risk and return estimates of stocks. Participants rate well-known blue-chip firms on an affective scale and forecast risk and return of the firms' stock. We find that positive affective attitudes lead to a prediction of...

Persistent link: https://www.econbiz.de/10009705492

Which Uncertainty Measures Matter for the Cross-section of Corporate Bond returns? Evidence from the U.S. during 1973 - 2020

Lee, Kiryoung - 2022

I examine which economic uncertainty measures matter for the cross-section of corporate bond returns using 40 corporate … bond portfolios for a long period from 1973 to 2020. Out of a comprehensive list of 24 economic uncertainty measures, I … find that tax policy uncertainty is the most significant both economically and statistically. I also find that measures …

Persistent link: https://www.econbiz.de/10013406847

Geopolitical Risk on Stock Returns : Evidence from Inter-Korea Geopolitics

Jung, SeungHo; Lee, Jongmin; Lee, Seohyun - 2022

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed...

Persistent link: https://www.econbiz.de/10013306737

On Thin Ice : Risk, Return and Crash

Rötheli, Tobias F. - 2017

This paper describes results from a new experiment studying determinants and effects of economic risk-taking. In each session four subjects choose three slots for ice fishing on their portion of a frozen lake. The farther out on the lake the higher are the returns but also the higher is the risk...

Persistent link: https://www.econbiz.de/10012968931

What is Risk? How Investors Perceive Risk in Return Distributions

Zeisberger, Stefan - 2021

Most textbook finance literature assumes risk to be the standard deviation of returns (volatility), which is not only used by academics but also financial advisors, regulators and more. This paper comprehensively examines whether volatility is consistent with investors’ actual perception of...

Persistent link: https://www.econbiz.de/10013246351

Managerial overconfidence and firm profitability

Kim, Hyun Ah; Choi, Seung Uk; Choi, Wooseok - In: Asia-Pacific journal of accounting & economics : … 29 (2022) 1, pp. 129-153

Persistent link: https://www.econbiz.de/10012820821

The intertemporal mechanics of European stock price momentum

Stork, Philip - In: Studies in economics and finance 28 (2011) 3, pp. 217-232

Persistent link: https://www.econbiz.de/10009426775