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Downside Beta and Equity Returns around the World
Atilgan, Yigit - 2019
We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and...
Persistent link: https://www.econbiz.de/10012903218
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Downside beta and equity returns around the world
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: The journal of portfolio management : a publication of … 44 (2018) 7, pp. 39-54
Persistent link: https://www.econbiz.de/10012260362
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Size, value, and momentum risk in the cross-section of average returns and volatility
Lindaas, Knut F.; Simlai, Prodosh - In: Research in finance 32 (2016), pp. 109-144
Persistent link: https://www.econbiz.de/10011691511
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Essays on stock market anomalies and the cross-section of expected returns
Lauterbach, Jochim Georg - 2018
Persistent link: https://www.econbiz.de/10012266083
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Global downside risk and equity returns
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: Journal of international money and finance 98 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012140071
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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …
Persistent link: https://www.econbiz.de/10009770247
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Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation
Rachwalski, Mark - 2020
Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced idiosyncratic risk and temporary underreaction to idiosyncratic...
Persistent link: https://www.econbiz.de/10012857267
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Idiosyncratic risk innovations and the idiosyncratic risk-return relation
Rachwalski, Mark; Wen, Quan - In: Review of asset pricing studies 6 (2016) 2, pp. 303-328
Persistent link: https://www.econbiz.de/10011734586
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2013
momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility … occur in what we term “panic” states – following market declines and when market volatility is high, and are contemporaneous … premium attached to the option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of …
Persistent link: https://www.econbiz.de/10010257503
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2014
Persistent link: https://www.econbiz.de/10010413176