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Strategic risk shifting and the idiosyncratic volatility puzzle

Chen, Zhiyao; Strebulaev, Ilya A.; Xing, Yuhang; Zhang, … - 2014

idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their …We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between … when the market risk premium is high. The negative covariance between the equity beta and the market risk premium causes …

Persistent link: https://www.econbiz.de/10010387144

On international stock market comovements and macroeconomic risks

Chen, Peng; Wu, Shu - In: Applied economics letters 20 (2013) 10/12, pp. 978-982

Persistent link: https://www.econbiz.de/10010196202

Does idiosyncratic volatility matter in the emerging markets? : Istanbul Stock Exchange evidence

Gökgöz, Fazıl; Altintaş, Ipek - In: Economic research 26 (2013) 3, pp. 133-150

Persistent link: https://www.econbiz.de/10010197022

Economic cycles and expected stock returns

Beber, Alessandro; Brandt, Michael W.; Luisi, Maurizio - 2013

Persistent link: https://www.econbiz.de/10009784726

Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?

Waszczuk, Antonia - In: Applied financial economics 23 (2013) 19/21, pp. 1497-1508

Persistent link: https://www.econbiz.de/10010259376

Voltility versus tail risk : which one is compensated in equity funds?

Xiong, James X.; Idzorek, Thomas M.; Ibbotson, Roger G. - In: The journal of portfolio management : a publication of … 40 (2014) 2, pp. 112-121

Persistent link: https://www.econbiz.de/10010365059

Oil price uncertainty and sectoral stock returns in China : a time-varying approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2014

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

Persistent link: https://www.econbiz.de/10010367161

Do dividend initiations signal a reduction in risk? : evidence from the option market

Jones, Jeffrey S.; Gu, Jenny; Liu, Pu - In: Review of quantitative finance and accounting 42 (2014) 1, pp. 143-158

Persistent link: https://www.econbiz.de/10010345141

From the horse's mouth : economic conditions and investor expectations of risk and return

Amromin, Gene; Sharpe, Steven A. - In: Management science : journal of the Institute for … 60 (2014) 4, pp. 845-866

Persistent link: https://www.econbiz.de/10010347837

Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?

Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328

Persistent link: https://www.econbiz.de/10010351545