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Expected Return-Idiosyncratic Risk Relation : An Investigation with Alternative Factor Models

Bainbridge, Carla M. - 2010

In this paper we investigate the relation between idiosyncratic risk and expected return by estimating idiosyncratic volatility in different factor models including the downside and upside market models. In the analysis with portfolios, our results suggest an inverse relation between...

Persistent link: https://www.econbiz.de/10013151635

Asset Pricing Model : The Precisely One to Predict Expected Return

Hiranto, Pattaraporn - 2019

The paper used three asset pricing model which is Capital Asset Pricing Model, Arbitrage Pricing Theory, and Dividend … found that CAPM is the most accurate model in predicting the expected return of the asset. And when look at the expected … return computed using CAPM, the company that have the highest return is JP Morgan Chase …

Persistent link: https://www.econbiz.de/10012893902

The Cross-Section of Expected Jumps in Equity Returns

Caporin, Massimiliano - 2019

We investigate how individual equity prices react to stock specific expected jump components. We find that a portfolio buying stocks with negative expected jump component and selling stocks with positive expected jump component earns significant returns, equal to 51 basis points per month.The...

Persistent link: https://www.econbiz.de/10012898429

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Feunou, Bruno - 2019

We decompose the quadratic payoff on a stock into its loss and gain components and measure the premia associated with their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the premium paid for downside risk hedging, while the gain QRP...

Persistent link: https://www.econbiz.de/10012899155

Insights on the Global Macro-Finance Interface : Structural Sources of Risk Factors Fluctuations and the Cross-Section of Expected Stock Returns

Morana, Claudio - 2014

This study contributes to the investigation of the macro- finance interface by assessing the economic content and risk based interpretation of widely employed risk factors in the specifi cation of empirical asset pricing models, i.e., Fama-French size and value, and Carhart momentum factors, as...

Persistent link: https://www.econbiz.de/10013061549

Model Uncertainty and Expected Return Proxies

Jäckel, Christoph - 2014

Over the last two decades, alternative expected return proxies have been proposed with substantially lower variation than realized returns. This helped to reduce parameter uncertainty and to identify many seemingly robust relations between expected returns and variables of interest, which would...

Persistent link: https://www.econbiz.de/10013061894

The Cross-section of Long-run Expected Stock Returns

Geertsema, Paul; Lu, Helen - 2021

Abstract We predict cumulative stock returns over horizons from 1 month to 10 years using a tree-based machine learning approach. Cumulative stock returns are significantly predictable in the cross-section over all horizons. A hedge portfolio generates 250 bp/month at a 1 year horizon and 110...

Persistent link: https://www.econbiz.de/10013244991

Learning from experience in the stock market

Nakov, Anton; Nuño, Galo - 2011

We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...

Persistent link: https://www.econbiz.de/10009380930

Behavioral heterogeneity in stock prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

Persistent link: https://www.econbiz.de/10011343265

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Feunou, Bruno - 2019

Persistent link: https://www.econbiz.de/10012900726