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Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries

Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

Persistent link: https://www.econbiz.de/10014307488

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063

Volatility Risk and Stock Return Predictability on Global Financial Crises

Kongsilp, Worawuth - 2016

This paper investigates the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE)...

Persistent link: https://www.econbiz.de/10012999962

Forecasting Stock Returns in Good and Bad Times : The Role of Market States

Huang, Dashan - 2017

This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample...

Persistent link: https://www.econbiz.de/10012974764

Forecasting Stock Returns Under Economic Constraints

Pettenuzzo, Davide - 2014

We propose a new approach to imposing economic constraints on forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We consider two...

Persistent link: https://www.econbiz.de/10013064939

International tail risk and world fear

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

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 risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

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

Volatility Spreads and Expected Stock Returns

Bali, Turan G. - 2012

This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant...

Persistent link: https://www.econbiz.de/10013116882

Predictability of earnings and its impact on stock returns : evidence from India

Kundu, Sayantan; Banerjee, Aditya - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

estimation with fixed and random effects is applied to examine the impact of quarterly earnings announcements on stock returns …

Persistent link: https://www.econbiz.de/10013183853

Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models

Lopez-Lira, Alejandro; Tang, Yuehua - 2023

We examine the potential of ChatGPT, and other large language models, in predicting stock market returns using sentiment analysis of news headlines. We use ChatGPT to indicate whether a given headline is good, bad, or irrelevant news for firms' stock prices. We then compute a numerical score and...

Persistent link: https://www.econbiz.de/10014351271

Oil Price Exposure, Earnings Announcements, and Stock Return Predictability

Moore, Jordan - 2020

We provide evidence that equity investors with limited attention are slow to incorporate how current oil price changes affect future earnings announcements. A cross-sectional equity trading strategy that exploits this inefficiency yields an annualized Sharpe Ratio of 0.57. Stock prices respond...

Persistent link: https://www.econbiz.de/10012852476

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