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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
Persistent link: https://www.econbiz.de/10012175486
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Disentangling anomalies : risk versus mispricing
Birru, Justin; Mohrschladt, Hannes; Young, Trevor - 2020
Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower … exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … models can be recovered by accounting for time-varying common mispricing …
Persistent link: https://www.econbiz.de/10012388392
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Common risk factors in equity markets
Atanasov, Victoria - 2014 - This version: May 26, 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
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When Risk and Return are Not Enough : The Role of Loss Aversion in Private Investors' Choice of Mutual Fund Fee Structures
Ehm, Christian - 2014
performance fees even though these funds may be more expensive. According to agency theory, performance fees could incentivize … Prospect Theory preferences can help explain the emergence of certain financial products beyond other "classical" explanations …
Persistent link: https://www.econbiz.de/10013064139
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Changes in risk and asset prices
Schlesinger, Harris; Gollier, Christian - 2001
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...
Persistent link: https://www.econbiz.de/10011398103
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Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?
Maiti, Moinak - In: Future Business Journal 5 (2019) 5, pp. 1-12
The present study focused on one of the important South Asian nations-Sri Lanka-to examine the role of idiosyncratic volatility in asset prices. A four-factor model with idiosyncratic volatility was designed for capturing the market, size, value and idiosyncratic risk yields better than Fama and...
Persistent link: https://www.econbiz.de/10012137461
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Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk
Grobys, Klaus - 2017
This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases,...
Persistent link: https://www.econbiz.de/10012964844
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Synthetic leverage and fund risk-taking
Fricke, Daniel - 2021
Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...
Persistent link: https://www.econbiz.de/10012489580
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Asset Pricing with Heterogeneous Agents and Long-Run Risk
Pohl, Walt - 2020
This paper shows that belief differences have strong effects on asset prices in consumption-based asset-pricing models with long-run risks. Belief heterogeneity leads to time-varying consumption and wealth shares of the agents. This time variation can resolve several asset-pricing puzzles,...
Persistent link: https://www.econbiz.de/10012853501
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Flight-to-Liquidity, Market Uncertainty, and the Actions of Mutual Fund Investors
Ben-Rephael, Azi - 2017
We explore the trading decisions of equity mutual funds during ten periods of extreme market uncertainty. We find that mutual funds reduced their aggregate holdings of illiquid stocks. Exploring the drivers behind this result reveals that this is mainly driven by larger withdrawals from funds...
Persistent link: https://www.econbiz.de/10012975130