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Information Choice, Uncertainty, and Expected Returns
Cao, Charles; Gempesaw, David; Simin, Timothy T. - 2023
information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset …. High learning index stocks have lower future returns and risk compared to low learning index stocks. Analysis of a … information environment surrounding earnings announcements reinforce our interpretation of the learning index. Our findings …
Persistent link: https://www.econbiz.de/10014355075
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The Information Risk Drivers - 15 Years of Analysis to Support a Risk Premia Modelling
Mantovani, Guido Max - 2012
Information risk is an endogenous element of the market dynamics that can be independent from contingent levels of market efficiency. Being structural, it may require to be remunerated by a specific risk premia or by returns from specific portfolio strategies. Drivers of information risk are...
Persistent link: https://www.econbiz.de/10013116526
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The Effect of Information Quality on Liquidity Risk
Ng, Jeffrey - 2013
I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is the sensitivity of stock returns to unexpected changes in market liquidity; recent asset pricing literature has emphasized the importance of this systematic risk. I find that...
Persistent link: https://www.econbiz.de/10013093674
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Return and risk-return ratio based momentum strategies : a fresh perspective
Chia Rui Ming Daryl; Lim Kai Jie Shawn; Chan Ho Yan Sabrina - In: Journal of finance and investment analysis 2 (2013) 1, pp. 1-13
In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk-return ratio based security selection criterion in an untested market – the KOSPI 200 over June 2006 to June 2012. Besides conventional risk-return ratios such as the Sharpe...
Persistent link: https://www.econbiz.de/10009746069
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Do Arbitrageurs Really Avoid High Idiosyncratic Risk Stocks?
Ben-David, Itzhak - 2011
It is widely believed that stocks with high idiosyncratic risk exhibit stronger anomalies because arbitrageurs avoid holding these stocks due to diversification concerns, allowing deviations of prices from fundamental values. In this paper we test this proposition using hedge fund holding data....
Persistent link: https://www.econbiz.de/10013133780
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Is Sentiment Risk Priced by Stock Market?
Beer, Francisca - 2012
This study tests if the financial markets price the investor's sentiment risk. We construct portfolios based upon the stock returns' exposure to sentiment. Our results show that the portfolio returns are positively correlated with the exposure of stocks to sentiment. The strategy that consists...
Persistent link: https://www.econbiz.de/10013114751
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Return and Risk-Return Ratio Based Momentum Strategies : A Fresh Perspective
Rui Ming Daryl, Chia - 2013
In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk-return ratio based security selection criterion in an untested market – the KOSPI 200 over June 2006 to June 2012. Besides conventional risk-return ratios such as the Sharpe...
Persistent link: https://www.econbiz.de/10013089269
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A New Approach to Measuring Riskiness in the Equity Market : Implications for the Risk Premium
Bali, Turan G. - 2013
We introduce a new approach to measuring riskiness in the equity market. We propose option implied and physical measures of riskiness and investigate their performance in predicting future market returns. The predictive regressions indicate a positive and significant relation between...
Persistent link: https://www.econbiz.de/10013091047
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A New Approach to Measuring Riskiness in the Equity Market : Implications for the Risk Premium
Bali, Turan G. - 2013
We propose options' implied and physical measures of riskiness and investigate their performance in predicting future returns on the U.S. equity market. The predictive regressions indicate a positive and significant relation between time-varying riskiness and expected market returns. The...
Persistent link: https://www.econbiz.de/10013091172
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Can Implied Volatility Comovements Capture More Than Volatility Risk? Evidence from Insider Trades and Aggregate Equity Returns
Bushman, Robert M. - 2019
The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm's investors. We take a different stance and conjecture that...
Persistent link: https://www.econbiz.de/10012900702