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Option-implied moments and the cross-section of stock returns

Alexiou, Lykourgos; Rompolis, Leonidas S. - In: The journal of futures markets 42 (2022) 4, pp. 668-691

Persistent link: https://www.econbiz.de/10013187580

The cross-section of expected stock returns and components of idiosyncratic volatility

Poudeh, Seyed Reza Tabatabaei; Fu, Chengbo - In: The journal of risk finance : JRF 23 (2022) 4, pp. 403-417

Persistent link: https://www.econbiz.de/10013370591

Gone With the Vol : A Decline in Asset Return Predictability During the Great Moderation

Hsu, Alex - 2019

We document a significant shift in the comovement of asset returns and macroeconomic volatility during the Great … Moderation. Strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 was … alternative empirical specifications and out-of-sample tests. In a calibrated time-varying-volatility equilibrium model, the …

Persistent link: https://www.econbiz.de/10012894159

Economic policy uncertainty and industry return predictability : evidence from the UK

Golab, Anna; Bannigidadmath, Deepa; Thach Ngoc Pham; … - In: International review of economics & finance : IREF 82 (2022), pp. 433-447

Persistent link: https://www.econbiz.de/10013543239

Tail Risk Dynamics in Stock Returns : Links to the Macroeconomy and Global Markets Connectedness

Massacci, Daniele - 2017

We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of motion for the parameters are defined through the score-based approach. We apply the model to daily returns from U.S. size-sorted decile stock portfolios and show that large firm...

Persistent link: https://www.econbiz.de/10012972558

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

Average skewness matters!

Jondeau, Eric; Zhang, Qunzi - 2015

Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...

Persistent link: https://www.econbiz.de/10011412455

Horizontal industry relationships and return predictability

Schlag, Christian; Zeng, Kailin - 2019 - This version: August 9, 2019

It has been documented that vertical customer-supplier links between industries are the basis for strong cross-sectional stock return predictability (Menzly and Ozbas (2010)).We show that robust predictability also arises from horizontal links between industries, i.e., from the fact that...

Persistent link: https://www.econbiz.de/10012051324

Sentiment and uncertainty

Birru, Justin; Young, Trevor - 2020

Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four...

Persistent link: https://www.econbiz.de/10012216707