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Asset Pricing Under Prior-Induced Beta Uncertainty
Hu, Shuting (Sophia) - 2018
We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate differences in perceived risk exposures, and thereby...
Persistent link: https://www.econbiz.de/10012935196
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Income Smoothing, Information Uncertainty, Stock Returns, and Cost of Equity
Chen, Linda H. - 2018
This paper examines the effect of income smoothing on information uncertainty, stock returns, and cost of equity. I … announcement. In addition, I show that income smoothing reduces firms' implied cost of equity or expected returns. The result is …
Persistent link: https://www.econbiz.de/10012938674
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Accounting-Based Downside Risk, Cost of Capital, and the Macroeconomy
Konchitchki, Yaniv - 2015
We hypothesize that earnings downside risk, capturing the expectation for future downward operating performance, contains distinct information about firm risk and varies with cost of capital in the cross section of firms. Consistent with the validity of the earnings downside risk measure, we...
Persistent link: https://www.econbiz.de/10013020544
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Identifying Portfolio-Based Systematic Risk Factors in Equity Markets
Grobys, Klaus - 2016
Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality...
Persistent link: https://www.econbiz.de/10013003083
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When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns
Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020
Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find …
Persistent link: https://www.econbiz.de/10014352071
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(Presentation Slides) Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns
Daniel, Kent D. - 2018
. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns …
Persistent link: https://www.econbiz.de/10012918741
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Credit rating downgrade risk on equity returns
Brakatsoulas, Periklis; Kukacka, Jiri - 2020
across several estimation methods. Panel Granger causality test results indicate that there indeed is a Granger …
Persistent link: https://www.econbiz.de/10012242861
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Asset Pricing with Disagreement and Uncertainty about the Length of Business Cycles
Andrei, Daniel - 2020
We study an economy with incomplete information in which two agents are uncertain and disagree about the length of business cycles. That is, the agents do not question whether the economy is growing or not, but instead continuously estimate how long economic cycles will last — i.e., they learn...
Persistent link: https://www.econbiz.de/10012853740
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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
arrival for both the firm and aggregate equity markets, and we find evidence supporting this view. Our most convincing … information about aggregate equity markets. We test whether insider purchases at these firms relate to news regarding aggregate … primarily informs equity markets about future market-level cash flows and earnings. We find similar evidence in other settings …
Persistent link: https://www.econbiz.de/10012900702
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
Federal Reserve Tapering on Turkish stock markets. The daily stock market data were collected from the Electronic Data …
Persistent link: https://www.econbiz.de/10012131511