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Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries

Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

Persistent link: https://www.econbiz.de/10014307488

Mutual fund flows, expected returns, and the real economy

Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011

The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...

Persistent link: https://www.econbiz.de/10008902922

International stock return predictability : on the role of the United States in bad and good times

Siliverstovs, Boriss - 2016

In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...

Persistent link: https://www.econbiz.de/10011519115

Shape evolution of the interest rate term structure

Chen, Biwei - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 427-457

This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...

Persistent link: https://www.econbiz.de/10012886359

Business-Cycle Variation in Macroeconomic Uncertainty and the Cross-Section of Expected Returns : Evidence for Scale-Dependent Risks

Xyngis, Georgios - 2017

A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the level and cross-sectional differences of asset returns. Specifically, based on portfolio-level tests I demonstrate that fluctuations in uncertainty with persistence ranging...

Persistent link: https://www.econbiz.de/10014133052

Government Spending, Political Cycles and the Cross Section of Stock Returns

Belo, Frederico - 2011

Using a novel measure of industry exposure to government spending, we document predictable variation in cash flows and stock returns over political cycles. During Democratic presidencies, firms with high government exposure experience higher cash flows and stock returns, while the opposite...

Persistent link: https://www.econbiz.de/10013133782

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

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

Nonlinearity, data-snooping, and stock index ETF return predictability

Yang, Jian; Cabrera, Juan; Wang, T'ao - In: European journal of operational research : EJOR 200 (2009/10) 2, pp. 498-507

Persistent link: https://www.econbiz.de/10003897177

Bond variance risk premia

Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012

Persistent link: https://www.econbiz.de/10009552228