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Systematic vs. Idiosyncratic Liquidity : Cross-section of Stock Returns
Ince, Baris - 2020
other hand, investors tend to underreact to idiosyncratic (il)liquidity. Hence, stocks with positive (negative …) idiosyncratic liquidity generate positive (negative) subsequent returns. More specifically, high-low idiosyncratic liquidity …-driven irrational investors are the main drivers of underreaction to idiosyncratic liquidity component …
Persistent link: https://www.econbiz.de/10012829036
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …
Persistent link: https://www.econbiz.de/10012175486
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...
Persistent link: https://www.econbiz.de/10011410917
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Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns
Branger, Nicole - 2019
We show that the widely documented negative relation between idiosyncratic volatility (IVOL) and expected returns can …
Persistent link: https://www.econbiz.de/10012901631
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Excess Volatility and Momentum Effect in the Cross-Section of Stock Returns
Wang, Yuming - 2014
In this note we document interactive relations between the excess volatility and the momentum effect in the cross … profitable strategy is to buy the loser portfolio with the greatest excess volatility and sell the loser or winner portfolio with … the least excess volatility for all the three periods. But there are profitable strategies of buying a winner portfolio …
Persistent link: https://www.econbiz.de/10013052869
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Quantile risk-return trade-off
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14
We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...
Persistent link: https://www.econbiz.de/10012587977
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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
regressions are used to study this relation as we control for beta, size, book-to-market ratio, momentum and liquidity. From a …
Persistent link: https://www.econbiz.de/10012628441
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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
Persistent link: https://www.econbiz.de/10012617667
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618