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Bach, Christian - 2016

Using a CCAPM-based risk-adjustment model, we perform yearly valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ over a thirty-year period. The model differs from standard valuation models in the sense that it adjusts forecasted residual income for risk in the numerator rather...

Persistent link: https://www.econbiz.de/10013003022

Identifying Portfolio-Based Systematic Risk Factors in Equity Markets

Grobys, Klaus - 2016

Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality...

Persistent link: https://www.econbiz.de/10013003083

The Shorting Premium and Asset Pricing Anomalies

Drechsler, Itamar - 2016

Short rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.31%, a net-of-fees return of 0.78%, and a 1.44%...

Persistent link: https://www.econbiz.de/10013006777

A Critique of Momentum Anomalies

de Oliveira Souza, Thiago - 2020

quadratic functions of the price of risk, theoretically truncated at zero. The best linear (CAPM) function describing this …

Persistent link: https://www.econbiz.de/10012851651

Anomaly Time

Bowles, Boone - 2020

We examine when anomaly returns occur in order to understand if they exist. If anomalies are spurious, then anomaly returns should not depend on their proximity to the dates on which key anomaly information is released. Yet, they do. Using a powerful database containing the precise release date...

Persistent link: https://www.econbiz.de/10012853482

The Fundamental Theorems of Asset Pricing and the Closed-End Fund Puzzle

Frahm, Gabriel - 2020

We propose a solution to the Closed-End Fund Puzzle in financial markets without a free lunch with vanishing risk. Our results are consistent with both the time-series and the cross-sectional aspect of the Closed-End Fund Puzzle. It turns out that a closed-end fund cannot be created if the fund...

Persistent link: https://www.econbiz.de/10012853548

Asset Pricing with Disagreement and Uncertainty about the Length of Business Cycles

Andrei, Daniel - 2020

We study an economy with incomplete information in which two agents are uncertain and disagree about the length of business cycles. That is, the agents do not question whether the economy is growing or not, but instead continuously estimate how long economic cycles will last — i.e., they learn...

Persistent link: https://www.econbiz.de/10012853740

Price, Cultural Dimensions, and the Cross-Section of Expected Stock Returns

Hammerich, Ulrich - 2019

We document a nominal stock price effect that is (like momentum) associated with (national) culture. Using the full spectrum of cultural dimensions proposed by Hofstede et al. and the cross-section of stock returns of 41 countries, we not only show a robust predictive and explanatory power of...

Persistent link: https://www.econbiz.de/10012861754

Asset-Pricing Anomalies at the Firm Level

Cederburg, Scott - 2014

portfolio-based methods. In our initial tests, we confirm the existence of several CAPM anomalies at the firm level. Prominent … linked to their additional factors. Further results suggest that the economic importance of CAPM anomalies is overstated. We … find that anomalies are primarily confined to small stocks, few characteristics are associated with CAPM alphas out of …

Persistent link: https://www.econbiz.de/10013052445

The Effect of Options on Information Acquisition and Asset Pricing

Huang, Shiyang - 2014

potentially unified theory to reconcile the conflicting empirical findings on the options listing of individual stocks in both the …

Persistent link: https://www.econbiz.de/10013046039