Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10009671967
This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return skewness. The empirical patterns con- cisely match the predictions of our model which generates skewness of stock returns via default risk. With increasing downside risk, the...
Persistent link: https://www.econbiz.de/10011550433
Persistent link: https://www.econbiz.de/10010428055
This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the...
Persistent link: https://www.econbiz.de/10012833771
We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of...
Persistent link: https://www.econbiz.de/10013009171
Persistent link: https://www.econbiz.de/10011663051
This paper shows that low risk anomalies in the CAPM and in traditional factor models arise when investors require compensation for coskewness risk. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual coskewness, which allows us to construct...
Persistent link: https://www.econbiz.de/10012134221
Persistent link: https://www.econbiz.de/10013370992
Persistent link: https://www.econbiz.de/10014462593