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Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation
Rachwalski, Mark - 2020
Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced idiosyncratic risk and temporary underreaction to idiosyncratic...
Persistent link: https://www.econbiz.de/10012857267
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Idiosyncratic Volatility and the Cross-Section of Anomaly Returns : Is Risk Your Ally?
Zaremba, Adam - 2018
) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0 …
Persistent link: https://www.econbiz.de/10012913480
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Climate Sin Stocks : stock price reactions to global climate strikes
Stefano, Ramelli; Elisa, Ossola; Michela, Rancan - 2020
The first Global Climate Strike on March 15, 2019 has represented a historical turn in climate activism. We investigate the cross-section of European stock price reactions to this event. Looking at a large sample of European firms, we find that the unanticipated success of this event caused a...
Persistent link: https://www.econbiz.de/10012299288
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Sentiment and uncertainty
Birru, Justin; Young, Trevor - 2020
Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four...
Persistent link: https://www.econbiz.de/10012216707
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Corporate acquisitions and firm-level uncertainty : domestic versus cross-border deals
Bai, Ye; Girma, Sourafel; Riaño, Alejandro - 2020
exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …
Persistent link: https://www.econbiz.de/10012158166
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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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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
volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …
Persistent link: https://www.econbiz.de/10012131511
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Idiosyncratic risk and expected returns in frontier markets : evidence from GCC
Bley, Jorg; Saad, Mohsen M. - In: Journal of international financial markets, … 22 (2012) 3, pp. 538-554
Persistent link: https://www.econbiz.de/10009623547
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Stock returns and risk : evidence from quantile
Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...
Persistent link: https://www.econbiz.de/10011555867
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Risk and return in the Chinese stock market : does equity return dispersion proxy risk?
Chen, Chun-Da; Demirer, Rıza; Jategaonkar, Shrikant P. - In: Pacific-Basin finance journal 33 (2015), pp. 23-37
Persistent link: https://www.econbiz.de/10011474042