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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

Momentum Crashes and Variations to Market Liquidity

Butt, Hilal Anwar - 2019

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

Persistent link: https://www.econbiz.de/10012895183

The cross-section of stock returns in an early stock market

Ye, Qing; Turner, John D. - 2014

Using a new dataset which contains monthly data on 1,015 stocks traded on the London Stock Exchange between 1825 and 1870, we investigate the cross section of stock returns in this early capital market. Unique features of this market allow us to evaluate the veracity of several popular...

Persistent link: https://www.econbiz.de/10010362246

Idiosyncratic Risk and Stock Returns : A Quantile Regression Approach

Aziz, Tariq - 2016

study demonstrates that idiosyncratic volatility and stock returns relation is quantile dependent. The relation between … idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at … idiosyncratic volatility and the stock returns relation in the literature …

Persistent link: https://www.econbiz.de/10012996902

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

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...

Persistent link: https://www.econbiz.de/10011751251

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

Does Beta Explain Global Equity Market Volatility - Some Empirical Evidence

Kurach, Radosław - 2013

this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

Persistent link: https://www.econbiz.de/10013079478

The Effect of Shocks to Intermediary Equity on Stock Returns

Ayala, Andres - 2016

model is able to match key asset pricing moments like the equity premium and the volatility of stock returns …

Persistent link: https://www.econbiz.de/10012990742

Asymmetric spillover and quantile linkage between the United States and ASEAN+6 stock returns under uncertainty

Surachai Chancharat; Nongnit Chancharat - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-13

This study examines the spillover and connectedness network among the United States and the Association of Southeast Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic and the conflict between Russia and Ukraine. The...

Persistent link: https://www.econbiz.de/10015071478