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The Decomposition of Jump Risks in Individual Stock Returns
Xiao, Xiao - 2018
: the systematic and idiosyncratic jumps and the systematic and idiosyncratic diffusive volatility. By considering a general …
Persistent link: https://www.econbiz.de/10012934761
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Time-varying risk and the relation between idiosyncratic risk and stock return
Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16
This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...
Persistent link: https://www.econbiz.de/10012628441
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Asset Pricing with Heterogeneous Agents and Long-Run Risk
Pohl, Walt - 2020
volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in …
Persistent link: https://www.econbiz.de/10012853501
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Value or Growth? Pricing of Idiosyncratic Cash-Flow Risk with Heterogeneous Beliefs
Gallmeyer, Michael F. - 2015
We study a continuous-time pure exchange economy where idiosyncratic cash flow risks are priced via investors' heterogeneous beliefs. Investors perceive idiosyncratic cash flow risks differently through heterogeneous subjective mean growth rates on a firm's cash flow. This impacts equilibrium...
Persistent link: https://www.econbiz.de/10013019887
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Effect of Price Inefficiency on Idiosyncratic Risk and Stock Returns
Qin, Nan - 2013
This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If …
Persistent link: https://www.econbiz.de/10013076721
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The Low Risk Anomaly Revisited on High-Frequency Data
Boudt, Kris - 2015
Under the CAPM assumptions, the market capitalization weighted portfolio is mean-variance efficient. In real world applications it has been shown by various authors that low risk portfolios outperform the market capitalization weighted portfolio. We revisit this anomaly using high-frequency data...
Persistent link: https://www.econbiz.de/10013030547
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Tax Policy Uncertainty and Stock Return Volatility
Brown, Jennifer L. - 2017
This study finds that stock return volatility is higher during periods of high tax policy uncertainty (TPU), even after … return volatility is more pronounced where firms are characterized by greater variability in tax outcomes. We adopt a broad … participants. We also document that the effects of TPU are concentrated in systematic volatility. Overall our results suggest that …
Persistent link: https://www.econbiz.de/10012973819
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What Do Asset Prices Have to Say About Risk Appetite and Uncertainty?
Bekaert, Geert - 2015
Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the variance premium and the credit spread while controlling for the conditional variance, expectations about the macroeconomic...
Persistent link: https://www.econbiz.de/10013020862
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Global Bad and Good Uncertainties and Their Impact on Macro Aggregates and Stock Returns
Semenischev, Michael - 2016
This paper estimates global bad and good uncertainties from monthly data on industrial production from a large set of countries. Bad and good uncertainties have opposite effects on macro aggregates and stock returns. An increase in bad uncertainty adversely impacts both, while an increase in...
Persistent link: https://www.econbiz.de/10013000053
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549