In this paper, we extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash prediction models. Finally, we propose a...

Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between...

The Capital Asset Pricing Model (CAPM) argues that only systematic risk should be priced in the market; Specific or idiosyncratic risk does not deserve a risk premium. However, recent empirical studies have raised serious challenges to this belief It appears that “/3” as a measure of...

The Great Financial Crisis of 2008 – 2009 has raised the attention of policy-makers and researchers about the interconnectedness among the volatility of the returns of financial assets as a potential source of risk that extends beyond the usual changes in correlations and include transmission...

The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering trading volume as a mixing variable, and the risk-return relationship in the Indian stock market. Daily data from January 2, 1997 to May 30, 2013 for S&P CNX Nifty are used for...

The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon...

It is generally acknowledged that one of the risks faced by any company is FX risk, especially when the business operates internationally. For individual companies, exposure to FX risk results in different financial implications, stressing such parameters as the industry affiliation and the...

Hazard stocks are opposite of lottery stocks. We proxy hazard stocks with the minimum daily idiosyncratic return over the past month, a negative shock labelled IMIN, and examine the relation between hazard stocks and expected returns. The literature on lottery-stocks implies that investors...

Purpose: The aim of our paper is twofold. First, we examine the predictive ability of log bookmarket, dividend-price, earnings-price and dividend-earnings ratios on the most recent data set of the strongest securities in the UK economy; unlike the majority of the studies in this data set, our...