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Characterizing investor expectations for assets with varying risk

Gaus, Eric; Sinha, Arunima - In: Research in international business and finance 39 (2017), pp. 990-999

Persistent link: https://www.econbiz.de/10011912425

Stock investments for old-age : less return, more risk, and unexpected timing

Ulbricht, Dirk - 2013

Returns merely based on one purchasing price of an asset are uninformative for people regularly contributing to their old-age provision. Here, each purchase has an influence on the outcome. Still, they are commonly used in finance literature, giving an overly optimistic view of expected...

Persistent link: https://www.econbiz.de/10010189923

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

Operational Risk and Equity Prices

Shafer, Michael - 2018

We use an empirical model to categorize firms into portfolios based on operational risk. Using these portfolios, we show that a strategy of buying firms in the highest decile of operational risk and shorting firms in the lowest decile of operational risk earned a positive but insignificant...

Persistent link: https://www.econbiz.de/10012940363

Households expectations and investing in safe and risky financial assets

Dajcman, Silvo - In: Finance a úvěr 70 (2020) 5, pp. 431-460

Persistent link: https://www.econbiz.de/10012483361

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

The financial origins of non-fundamental risk

Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R - 2021

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...

Persistent link: https://www.econbiz.de/10012705247

Low-beta investment strategies

Korn, Olaf; Kuntz, Laura-Chloé - 2016 - This version: October 2016

This paper compares several investment strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the...

Persistent link: https://www.econbiz.de/10011553310

Measuring Risk Appetite from Financial Assets' Excess Returns

Gatumel, Mathieu - 2015

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the cross-sectional average of the individual probabilities...

Persistent link: https://www.econbiz.de/10013034992

Stochastic Idiosyncratic Cash Flow Risk and Real Options : Implications for Stock Returns

Bhamra, Harjoat Singh - 2016

Stocks with high idiosyncratic volatility perform poorly relative to low idiosyncratic volatility stocks. We offer a novel explanation of this anomaly based on real options, which is consistent with earlier findings on idiosyncratic volatility (the positive contemporaneous relation between...

Persistent link: https://www.econbiz.de/10013007739

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