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(Presentation Slides) Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns
Daniel, Kent D. - 2018
Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are...
Persistent link: https://www.econbiz.de/10012918741
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Cybersecurity risk
Florackis, Chris; Louca, Christodoulos; Michaely, Roni; … - 2020 - This version: December 3rd 2020
Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether cybersecurity risk is priced in the cross-section of stock returns....
Persistent link: https://www.econbiz.de/10012419704
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Asset Pricing Anomalies – Liquidity Risk Spreaders or Liquidity Risk Hedgers?
Virk, Nader - 2020
A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …
Persistent link: https://www.econbiz.de/10012847658
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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
The primary objective of the study is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main sample was divided into two subperiods to insulate the...
Persistent link: https://www.econbiz.de/10012131511
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Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market
Xuan Vinh Vo; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25
This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and conditional alpha sub-samples in Vietnam stock market covering the period from January 2008 to December 2018. We test the IVOL effect on stock returns employing Fama-Macbeth...
Persistent link: https://www.econbiz.de/10012219258
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Expected Returns and Risk in the Stock Market
Brennan, Michael J. - 2019
We present new evidence on the predictability of aggregate market returns by developing two new prediction models, one risk-based, and the other purely statistical. The pricing kernel model expresses the expected return as the covariance of the market return with a pricing kernel that is a...
Persistent link: https://www.econbiz.de/10012893237
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Momentum Returns and Information Uncertainty : Evidence from China
Cheema, Muhammad A. - 2017
A recent theory of information uncertainty (IU) postulates a negative (positive) relationship between IU and future returns (momentum returns). We extend this theory by showing that its predictions could be conditioned by differences in behavioral biases induced by culture. We find that greater...
Persistent link: https://www.econbiz.de/10012974567
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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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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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Economic Policy Uncertainty and Stock Market Returns
Sum, Vichet - 2013
This paper investigates how stock market returns respond to economic policy uncertainty shocks. Based on the vector autoregression (VAR) analysis of the monthly changes in economic policy uncertainty index in the United States and CRSP value-weighted index from 1985:M2 to 2012:M6, the results...
Persistent link: https://www.econbiz.de/10013090887