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This literature review outlines the major progress in the research of the fundamental higher-order moments. We survey the existence, the formation, and the financial market and macroeconomics implications for the moments. Research shows that the time-varying volatility and the non-Gaussian...
Persistent link: https://www.econbiz.de/10012960205
We show that firms' Delta incentives can predict the market performance of their industry peers. When a small group of firms (leader firms) experiences substantial growth in Delta incentives, industry peers experience positive abnormal returns and abnormal improvement in fundamentals despite...
Persistent link: https://www.econbiz.de/10012901266
This study fi nds that a novel transformation of the idiosyncratic volatility (IVOL), the unit shocks of IVOL (US(IVOL)), has a strong negative relation with future stock returns even after controlling for IVOL itself and all major return predictors. We construct the US(IVOL) by scaling the...
Persistent link: https://www.econbiz.de/10012901713
Prior studies document politically-connected firms (PCFs) tend to have a higher probability of government bailout. This study finds that the government bailout guarantee, embedded in PCFs, deters the short sale activity. Informed short sellers view the guarantee as a higher expected cost of...
Persistent link: https://www.econbiz.de/10012894308
This paper employs the post — Least Absolute Shrinkage and Selection Operator (post — LASSO) to make rolling 1-month--ahead currency excess return forecasts using all other currencies' lagged forward discounts as candidate predictors. The trading strategy of buying (selling) quintile...
Persistent link: https://www.econbiz.de/10012850361
This paper proposes a time series decomposition of book-to-market ratio (BM) into a trend component and an innovation component (I_BM). Under the framework of stock valuation with growth options, we demonstrate that I_BM is negatively related to the change of growth options and therefore...
Persistent link: https://www.econbiz.de/10012854165
This paper investigates the cross predictability of intraday returns across 22 major cryptocurrencies. In contrast to the well-documented positive lead-lag effect in the equity market, we find a significantly negative lead-lag effect ("seesaw effect'') in the cryptocurrency market: The five...
Persistent link: https://www.econbiz.de/10012861658
Persistent link: https://www.econbiz.de/10012804999
Persistent link: https://www.econbiz.de/10012432669
Prior theoretical models on investors' disagreement and trading volume such as Banerjee and Kremer (2010) and Banerjee (2011) assume the convergence speed of investors' disagreement is exogenously given and constant over time. This paper extends the prior literature by including the...
Persistent link: https://www.econbiz.de/10012949788