Even in large equity markets, the dividend-price ratio is significantly related with the growth of future dividends. In order to uncover this relationship, we use monthly dividends and a mixed data sampling technique which allows us to cope with within-year seasonality. We reduce the effect of...

We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed by Hong, Tu, and Zhou (2007). Based on this test, we...

In this paper, time-varying market and currency risks among a selected set of developed and emerging economies are compared in terms of stochastic dominance. For this purpose, time-varying exchange rate exposure and market betas are obtained through a multivariate model that explicitly allows...

Using daily data of the S&P 500 index from 1950 to 2015, we investigate the relation between return and transaction volume in the statistical distribution tails associated with booms and crashes in the US stock market. We use extreme value theory (peaks-over-threshold method) to study the...

Changes in stock returns arise from changes in expected future cash flow growth and expected future discount rates. However, which variables proxy for those changes remains unknown. This paper considers twenty-five variables that are arranged into five groups and examines both in-sample...

We study the effect of country-specific noise on stock price comovement. Using a sample of dual-listed stocks, we show that the effect persists over time for some largest A-shares traded in China, but diminishes quickly for their H-shares traded in Hong Kong. We then examine whether the noise...

This study examines the causal link between short interest ratio and equity market return and their respective impulse response functions. Based on the analysis of monthly data from 1931M6 to 2012M12, the results reveal that there is a causal link between NYSE short interest ratio and the...

In this paper, we extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash prediction models. Finally, we propose a...

We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...

This paper evaluates the cross comovements of illiquidity between stocks and corporate bonds issued by the same firm employing individual corporate bonds information from TRACE from July 2002 to December 2014. We analyze these relations in both a time series and a cross-sectional framework,...