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Unraveling the value premium : a reward for risk or mispricing?
Serur, Claudio E.; Siri, Julián R.; Serur, Juan Andrés; … - 2019
A value investing strategy consists of purchasing stocks relatively undervalued to their funda-mental values and selling those relatively overvalued. Finding this kind of companies has been one of the most challenging goals for investors throughout the history. The main objective of this paper...
Persistent link: https://www.econbiz.de/10012125294
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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....
Persistent link: https://www.econbiz.de/10012175486
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The acceleration effect and gamma factor in asset pricing
Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive … returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the … momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration …
Persistent link: https://www.econbiz.de/10011411974
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Predictability and the cross-section of expected returns : a challenge for asset pricing models
Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020 - This version: August 28, 2020
Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...
Persistent link: https://www.econbiz.de/10012271368
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The Cross-Section of Equity Returns and Assets’ Fundamental Cash-Flow Risk
Galsband, Victoria - 2011
The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets' discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that...
Persistent link: https://www.econbiz.de/10013132049
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Time Variation in Life Expectancy, Optimal Portfolio Choice and the Cross-Section of Asset Returns
Maurer, Thomas Andreas - 2015
according to the CAPM …
Persistent link: https://www.econbiz.de/10013039157
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The Cross-Section of Factor Returns
Blitz, David - 2023
cyclicality, establish a low-beta effect at the level of factors, and confirm the existence of seasonal and momentum effects in …
Persistent link: https://www.econbiz.de/10014354575
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Betting Against Other Betas
Murray, Scott - 2020
Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...
Persistent link: https://www.econbiz.de/10012841238
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Chapter 16 Are financial assets priced locally or globally?
Karolyi, G. Andrew; Stulz, René M. - 2003
We review the international finance literature to assess the extent to which international factors affect financial asset demands and prices. International asset-pricing models with mean-variance investors predict that an asset's risk premium depends on its covariance with the world market...
Persistent link: https://www.econbiz.de/10014023855
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The Cross Section of Stock Returns in an Artificial Stock Market
van Cappelle, Tjeerd; Pokidin, Dmytro; Zwinkels, Remco C. J. - 2023
We develop an Artificial Stock Market - an agent-based simulation model of the stock market with many risky assets. The ASM has three layers of heterogeneous and interacting agents, and generates prices for 150 stocks. We present the current state of the model and demonstrate its ability to...
Persistent link: https://www.econbiz.de/10014254923