Similar Search Results

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

Implied Equity Premium and Market Beta

Chow, Victor; Gu, Jiahao; Wang, Zhan - 2021

* that mimics realized outcomes on the implied market index adjusted for volatility-asymmetry …

Persistent link: https://www.econbiz.de/10013242103

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

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

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011751173

The Nonlinear High-Volatility Phenomenon in Beta and Size Equity Premia

Bansal, Naresh - 2020

small-cap stocks (versus large-cap stocks) is reliably earned only after the expected stock-market volatility breaches an … persistently evident over months t+1 to t+6 following a volatility-threshold breach in month t-1. Conversely, this nonlinear risk … habit-consumption utility, intermediary asset pricing, and stochastic-volatility asset pricing are likely contributing …

Persistent link: https://www.econbiz.de/10012855105

The risk-reversal premium

Hull, Blair; Sinclair, Euan - In: The journal of investment strategies 11 (2022) 1, pp. 59-75

Persistent link: https://www.econbiz.de/10014335810

Volatility, Distress Risk, and the Cross Section of Returns

Sabbaghi, Omid - 2015

Persistent link: https://www.econbiz.de/10013023281

Default Risk, Idiosyncratic Coskewness and Equity Returns

Chabi-Yo, Fousseni - 2010

In this paper, we intend to explain an empirical finding that distressed stocks delivered anomalously low returns (Campbell et. al. (2008)). We show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on idiosyncratic coskewness betas,...

Persistent link: https://www.econbiz.de/10013146648

Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

Persistent link: https://www.econbiz.de/10011539896