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Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017 - This version: February 2017

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10011619632

Asymmetric spillover and quantile linkage between the United States and ASEAN+6 stock returns under uncertainty

Surachai Chancharat; Nongnit Chancharat - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-13

This study examines the spillover and connectedness network among the United States and the Association of Southeast Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic and the conflict between Russia and Ukraine. The...

Persistent link: https://www.econbiz.de/10015071478

Oil and Equity Return Predictability : The Importance of Dissecting Oil Price Changes

Jiang, Haibo - 2018

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....

Persistent link: https://www.econbiz.de/10012935742

Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns

Truong, Cameron - 2015

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …

Persistent link: https://www.econbiz.de/10013009762

Comovement revisited

Chen, Honghui; Singal, Vijay; Whitelaw, Robert F. - 2015

Persistent link: https://www.econbiz.de/10011300787

Comovement revisited

Chen, Honghui; Singal, Vijay; Whitelaw, Robert F. - In: Journal of financial economics 121 (2016) 3, pp. 624-644

Persistent link: https://www.econbiz.de/10011590868

Stock returns and risk : evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011555867