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Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation
Miyamoto, Kenji - 2018
The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is … hand, the volatility is one of the compositions of equity cost, which is indifferent to the equity return. Theoretically …
Persistent link: https://www.econbiz.de/10012907181
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Analysing assets' performance inside a portfolio : from crossed beta to the net risk premium ratio
Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-23
This paper is focused on enlarging the performance inside a portfolio that provides the Treynor ratio by relating portfolio weights with performance indicators. Intuition suggests that the higher the weight of an asset, the higher should be its expected performance. These weights, and the...
Persistent link: https://www.econbiz.de/10011877322
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Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium
Wang, Tong - 2022
This paper develops a new approach to explain why risk factors constructed from option returns are priced in the stock market. We decompose an option- based factor into three main components and identify the one responsible for the beta-return relationship. Applying this method to the bear risk...
Persistent link: https://www.econbiz.de/10013305706
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Volatility Spreads and Expected Stock Returns
Bali, Turan G. - 2012
predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …
Persistent link: https://www.econbiz.de/10013116882
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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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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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Does Idiosyncratic Volatility Proxy for a Missing Risk Factor? Evidence Using Portfolios as Test Assets
Gempesaw, David; Kassa, Haim; Zykaj, Blerina Bela - 2021
One of the main explanations for the idiosyncratic volatility (IVOL) puzzle (i.e., the negative relation between lagged …
Persistent link: https://www.econbiz.de/10013235185
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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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Procyclical asset management and bond risk premia
Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2021
We use unique institutional securities holdings data to examine the trading behaviour of delegated institutional capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they actively move into higher yielding, longer duration and lower...
Persistent link: https://www.econbiz.de/10012485994
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Procyclical asset management and bond risk premia
Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020
Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...
Persistent link: https://www.econbiz.de/10012250652