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Momentum Crashes and Variations to Market Liquidity

Butt, Hilal Anwar - 2019

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...

Persistent link: https://www.econbiz.de/10012895183

Impact of Macroeconomic Factors on SENSEX Returns

Prachetas, Gopi K. - 2012

assessment of its movement, and the task becomes all the more difficult when SENSEX witnesses a lot of volatility. Macroeconomic …

Persistent link: https://www.econbiz.de/10013112101

The Unique Role of Cash Dividends : Evidence from the Volatility of Stock Returns

Gao, Feng - 2012

relevance of the stock return volatility to the company's fundamental variables, with a sample of the stocks listed in the … volatility of the return-on-equity. We guess that cash dividends may be an important link between the real economy and the …

Persistent link: https://www.econbiz.de/10013113475

Do Short Selling Restrictions Destabilize Stock Returns? Lessons from Taiwan

Bohl, Martin T. - 2011

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

Persistent link: https://www.econbiz.de/10013125910

Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan

Bohl, Martin T. - 2011

Persistent link: https://www.econbiz.de/10013126007

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

Persistent link: https://www.econbiz.de/10011410917

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018

We propose a nonparametric method to study which characteristics provide incremental 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/10011888693

Idiosyncratic volatility puzzle : the role of assets' interconnections

Panzica, Roberto Calogero - 2018 - This version: August 8, 2018

The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset … based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical … evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …

Persistent link: https://www.econbiz.de/10011893131

Foreign exchange news announcements and the volatility of stock returns in Nigeria

Omokehinde, Joshua Odutola; Abata, Matthew Adeolu; … - In: Spoudai : journal of economics and business 67 (2017) 3, pp. 3-17

This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect …

Persistent link: https://www.econbiz.de/10011843827