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Momentum, Risk, and Underreaction
Rachwalski, Mark - 2012
Momentum profits can be explained by exposure to risks omitted from common factor models (distress risk, idiosyncratic risk, and covariance with corporate bonds) and underreaction to innovations in these risks. Momentum strategies tend to go long risky stocks with high expected returns....
Persistent link: https://www.econbiz.de/10013104921
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International Diversification, SFAS 131, and Post-Earnings Announcement Drift
Kang, Tony - 2017
Using 1990 through 2013 data of U.S. firms with foreign operations, we show that (1) the serial correlation of analyst forecast errors increases to the degree that firms diversify internationally, (2) post-earnings-announcement drift (PEAD) based on analyst forecast errors increases to the...
Persistent link: https://www.econbiz.de/10012968824
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Sentiment in Financial News and the Application of Portfolio Management
Lu, Ralph - 2013
of the market returns. However, the investors' fear gauge of the volatility index decreases when the lagged term of ANCI …
Persistent link: https://www.econbiz.de/10013084067
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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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Idiosyncratic Volatility, Return Reversals and Momentum : Australian Evidence
Grant, Andrew R. - 2010
This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the … Australian market. We confirm that stocks with high idiosyncratic volatility earn low average returns over the next month. Unlike … examine whether the momentum effect is persistent in stocks with high idiosyncratic volatility. We find that stocks with high …
Persistent link: https://www.econbiz.de/10013138969
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …
Persistent link: https://www.econbiz.de/10012842392
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Maximization of Portfolio Returns with Volatilities. Application of Monte Carlo Method
Gonzalez Garda, Sergio Andres - 2017
After the crisis of 2008 that affected the United States, financial analysts began to see stock markets with low confidence due to the lack of fidelity of deterministic models in general. Statistical methods, which use past information to predict the future have always been used. It is a fact...
Persistent link: https://www.econbiz.de/10012941421
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Over or Under? Momentum, Idiosyncratic Volatility and Overreaction
Heidari, Mahdi - 2015
remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction …
Persistent link: https://www.econbiz.de/10013012436
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Another Look at Value and Momentum : Volatility Spillovers
Grobys, Klaus - 2020
This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period … 1926-2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies …. Moreover, we find that the intensity of the volatility spillovers may change substantially in very short periods of time and …
Persistent link: https://www.econbiz.de/10012854544
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Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation
Rachwalski, Mark - 2020
Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced idiosyncratic risk and temporary underreaction to idiosyncratic...
Persistent link: https://www.econbiz.de/10012857267