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Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns
Ahmed, Shamim - 2020
This paper explores the impact of product market competition on the positive relation between labor mobility (LM) and future stock returns. We develop a production-based model, which predicts a stronger positive relation between LM and expected returns for firms in highly competitive industries....
Persistent link: https://www.econbiz.de/10012835524
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Credit rating downgrade risk on equity returns
Brakatsoulas, Periklis; Kukacka, Jiri - 2020
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012242861
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
Persistent link: https://www.econbiz.de/10012175486
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Does the CAPM Predict Returns?
Hasler, Michael - 2020
We provide empirical evidence that CAPM-betas positively predict asset returns when market returns are predicted to be … high, which occurs about every other month. Consequently, the product of beta and the predicted market return (CAPM …, trading strategies exploiting the forecasting power of the CAPM have Sharpe ratios up to 100% larger than the corresponding …
Persistent link: https://www.econbiz.de/10012849611
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Semivariance Premium and Expected Stock Returns
Huang, Tao - 2020
We find a negative relationship between the individual stocks' semivariance premia, defined as the difference between the risk-neutral and physical expected downside semivariances, and future stock returns. The high-minus-low hedge portfolio earns the excess return of -64 (-46) basis points per...
Persistent link: https://www.econbiz.de/10012851750
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Firm Characteristics and Expected Stock Returns
Han, Yufeng - 2020
We analyze the joint out-of-sample predictive ability of a comprehensive set of 299 firm characteristics for cross-sectional stock returns. We develop a cross-sectional out-of-sample R2 statistic that provides an informative measure of the accuracy of cross-sectional return forecasts in terms of...
Persistent link: https://www.econbiz.de/10012852228
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Off-Balance-Sheet Assets, Financial Leverage, and Expected Stock Returns
Zhang, Jasmine - 2020
This paper examines the cross-sectional relation between leverage and future stock returns. Prior research documents a puzzling negative correlation. We show that it is largely caused by firms' use of internal financing when having significant off-balance-sheet operating assets due to...
Persistent link: https://www.econbiz.de/10012853184
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Beta Matrix and Common Factors in Stock Returns
Ahn, Seung C. - 2020
We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which method would be appropriate for data with a large number of assets. Our simulation results indicate that a restricted version of Cragg and Donald's (1997) Bayesian Information...
Persistent link: https://www.econbiz.de/10012857585
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Systematic vs. Idiosyncratic Liquidity : Cross-section of Stock Returns
Ince, Baris - 2020
This paper decomposes firm-specific monthly-varying Amihud (2002) illiquidity measure into two components: (i) systematic illiquidity; (ii) idiosyncratic illiquidity. While there is a positive and significant relationship between systematic illiquidity and one-month-ahead stock returns, the...
Persistent link: https://www.econbiz.de/10012829036
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The Cross-Section of Expected Jumps in Equity Returns
Caporin, Massimiliano - 2019
We investigate how individual equity prices react to stock specific expected jump components. We find that a portfolio buying stocks with negative expected jump component and selling stocks with positive expected jump component earns significant returns, equal to 51 basis points per month.The...
Persistent link: https://www.econbiz.de/10012898429