Showing 1 - 10 of 21
This paper demonstrates that the low volatility anomaly exists in Australian stock returns. Consistent with previous literature on other countries, low realized volatility stocks earn superior risk-adjusted returns than high realized volatility stocks. Our key findings show value-weighted...
Persistent link: https://www.econbiz.de/10012932567
Generating one-month-ahead systematic (beta) risk forecasts is common place in financial management. This paper evaluates the accuracy of these beta forecasts in three return measurement settings; monthly, daily and 30 minutes. It is found that the popular Fama-MacBeth beta from 5 years of...
Persistent link: https://www.econbiz.de/10013063045
Persistent link: https://www.econbiz.de/10011944110
This study provides empirical support for recent theoretical models that allow for time-varying rare disaster risk. Using a unique database of 447 international political crises during the period 1918–2006, we create a crisis index that shows substantial variation over time. We show that...
Persistent link: https://www.econbiz.de/10013146697
We propose a flow-based explanation for two long-standing anomalies in empirical finance – Sell in May and the January effect. We find that mutual fund flows exhibit similar seasonal patterns as stock returns. After controlling for fund flows both calendar effects become insignificant. We...
Persistent link: https://www.econbiz.de/10014239493
Persistent link: https://www.econbiz.de/10003869993
Persistent link: https://www.econbiz.de/10010509594
We conduct comprehensive analyses of the return characteristics of stock portfolios sorted by idiosyncratic volatility. We show that the relationship between idiosyncratic volatility and expected stock returns depends on whether the portfolio is composed of stocks with extreme performance and...
Persistent link: https://www.econbiz.de/10013106108
We demonstrate the estimation biases that arise when stock returns from 12 month prior and 2 month prior are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the...
Persistent link: https://www.econbiz.de/10013044865
The empirical evidence on the cross-sectional relation between idiosyncratic risk and expected stock returns is mixed. We demonstrate that the omission of the previous month's stock returns can lead to a negatively biased estimate of the relation. The magnitude of the omitted variable bias...
Persistent link: https://www.econbiz.de/10013148646