This paper investigates hedge funds' exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and examines their performance in predicting the cross-sectional variation in hedge fund returns. Both parametric and nonparametric tests indicate a...

Option volatilities have significant predictive power for the cross section of stock returns and vice versa. Stocks with large increases in call implied volatilities tend to rise over the following month whereas increases in put implied volatilities forecast future decreases in next-month stock...

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk associated with each factor is common across countries....

This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant...

This paper provides new evidence on the time-series predictability of stock market returns by introducing a test of nonlinear mean reversion. The performance of extreme daily returns is evaluated in terms of their power to predict short- and long-horizon returns on various stock market indices...

This paper investigates the significance of an intertemporal relation between expected return and risk for the futures markets. The paper not only takes a look at the domestic futures, but the relationship between conditional risk and return is examined in international futures markets as well....

This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets. We use daily stock market returns for G7 countries (the United States, the United Kingdom, Germany, Japan, Canada, France, Italy) and generate the realized variance and VaR...

There exists a small sample bias in predictive regressions, when a rate of return is regressed on a lagged stochastic regressor, and the regression disturbance is correlated with the regressors' innovations. Although this bias can be a serious concern in time-series predictive regressions, it is...

Investment bankers focus on narrow, industry-based peer groups for individual stock valuation. And some market-neutral equity hedge fund managers restrict their portfolios to be sector-neutral as well. Yet, academic research into contrarian strategy investment performance has typically invoked...

This paper examines the intertemporal relation between downside risk and expected stock returns. Value at risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant...