Similar Search Results

Pasaribu, Rowland Bismark - 2017

This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...

Persistent link: https://www.econbiz.de/10012942864

Priced Firm-Specific Risk and Accounting Information

Johnstone, David - 2017

There is a strand of CAPM based analytical research in accounting that uncovers a little known CAPM corollary, namely … that the firm's cost of capital is a joint effect of its payoff risk and payoff mean. The CAPM equilibrium mechanism has … origins of this finding to Fama and Lintner's original CAPM derivation. Although surprising, the role of the mean, and more …

Persistent link: https://www.econbiz.de/10012944467

An Intertemporal Risk Factor Model

Chabi-Yo, Fousseni - 2020

Current factor models do not identify risks that matter to investors. To address this issue, we provide a factor model implementation of the ICAPM, which captures market risk and intertemporal risk (i.e., changes in long-term expected returns and volatility). We build our intertemporal risk...

Persistent link: https://www.econbiz.de/10012824154

Fire Sale Risk and Expected Stock Returns

Aragon, George O. - 2020

We measure a stock's exposure to fire sale risk through its ownership links to equity mutual funds that experience outflows during periods of systematic outflows from the fund industry. We find that more exposed stocks earn higher average returns: a portfolio that buys (shorts) stocks with the...

Persistent link: https://www.econbiz.de/10012826876

Macro-Finance and Factor Timing : Time-Varying Factor Risk and Price of Risk Premiums

de Oliveira Souza, Thiago - 2019

This paper documents empirically that increases in the book-to-market spread predict larger market premiums in sample and larger size, value, and investment premiums (also) out of sample. In addition, increases in the investment (or profitability) spread exclusively predict larger investment (or...

Persistent link: https://www.econbiz.de/10012870700

Funding Shortfall Risk and Asset Prices in General Equilibrium

Hasan, Majid - 2017

Institutional investors, such as pensions and insurers, are typically constrained to hold enough wealth to be able to make their contractually promised payments to fund beneficiaries. This creates an additional risk in the economy, namely the risk of funding shortfall. We seek to explore the...

Persistent link: https://www.econbiz.de/10012969149

Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns

Bakshi, Gurdip - 2017

We show that a model featuring an average commodity factor, a carry factor, and a momentum factor is capable of describing the cross-sectional variation of commodity returns. More parsimonious one- and two-factor models that feature only the average and/or carry factors are rejected. To provide...

Persistent link: https://www.econbiz.de/10012971927

Risk and Return of Short-Duration Equity Investments

Cejnek, Georg - 2017

We analyze short-duration equity investments using traded claims on index dividends. We show that investment strategies with constant short maturity outperform a systematic long position in the underlying equity index on a risk-adjusted basis and in absolute terms. Furthermore, we find higher...

Persistent link: https://www.econbiz.de/10012973632

Adjusted Betas under Reference-Day Risk

Gonzalez, Marcelo - 2017

Our paper analyzes the performance of different methods to adjust beta. Specifically, we compare the standard OLS regression method with the Blume and the t-distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the...

Persistent link: https://www.econbiz.de/10012974702

Financial Distress Risk Innovations and the Distress Risk-Return Relation

Liu, Xiaochun - 2017

We examine the puzzling negative relation between financial distress risk and the cross-section of expected returns. We find that the negative relation is most pronounced for up to six months after portfolio formation but after that, high distress stocks eventually earn persistently high...

Persistent link: https://www.econbiz.de/10012975215