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Downside Beta and Equity Returns around the World

Atilgan, Yigit - 2019

We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and...

Persistent link: https://www.econbiz.de/10012903218

Firm Characteristics, Stock Market Regimes, and the Cross-Section of Expected Returns

Kirby, Chris - 2020

I propose a regime-switching generalization of instrumented principal components analysis (IPCA) that yields new insights about the relation between characteristics, factor loadings, and expected stock returns. Using a two-regime specification, I find evidence of a high-volatility regime in...

Persistent link: https://www.econbiz.de/10012844035

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Risk or Mispricing? Cross-Country Evidence on the Cross-Section of Stock Returns

Dong, Mike - 2019

Using a novel collection of market characteristics from 40 countries, this paper test competing explanations behind five major anomalies classified in Hou, Xue, and Zhang (2015): momentum, value-growth, investment, profitability, and trading frictions. Results show that anomaly returns highly...

Persistent link: https://www.econbiz.de/10012860225

ESG Risks and the Cross-Section of Stock Returns

Glossner, Simon - 2018

This paper finds that environmental, social, and governance (ESG) risks generate negative long-run stock returns. A value-weighted portfolio of firms with high ESG risks exhibits a four-factor alpha of −3.5% per year, even when controlling for other risk factors, industries, or firm...

Persistent link: https://www.econbiz.de/10012933819

Low volatility and ESG investing combined : Invesco’s holistic approach

von Ditfurth, Manuela; Paarmann, Thorsten; Radatz, Erhard - 2021

The low volatility factor in conjunction with the style factors Quality, Value and Momentum, has empirically proven to be able to moderate market risks and improve a portfolio’s overall risk-return profile. By integrating ESG into such a factor portfolio, future risks may be mitigated. We...

Persistent link: https://www.econbiz.de/10013217460

Identifying Signals of the Cross Section of Stock Returns

Shu, Tengjia; Tiwari, Ashish - 2021

The proliferation of anomalies and the resulting `factor zoo' has challenged finance researchers to identify firm characteristics that are genuinely related to the cross-sectional variation in expected stock returns. We address this challenge using a Bayesian ensemble of trees approach, namely,...

Persistent link: https://www.econbiz.de/10013217138

Empirical Asset Pricing via Machine Learning : The Global Edition

Cakici, Nusret; Zaremba, Adam - 2022

We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic...

Persistent link: https://www.econbiz.de/10013306087

Stock Return Volatility, Operating Performance and Stock Returns : International Evidence on Drivers of the 'Low Volatility' Anomaly

Dutt, Tanuj - 2013

This study highlights the link between stock return volatility, operating performance, and stock returns. Prior studies suggest that there is a ‘low volatility' anomaly, where firms with a low stock return volatility out-perform firms with a high stock return volatility. This paper confirms...

Persistent link: https://www.econbiz.de/10013089898

Corporate Governance, ESG, and Stock Returns Around the World

Khan, Mozaffar - 2019

Non-financial performance measures, such as Environmental, Social, and Governance (“ESG”) measures, are potentially leading indicators of firms' financial performance. I draw on the prior academic literature and the concept of ESG materiality to develop new corporate governance and ESG...

Persistent link: https://www.econbiz.de/10012897542

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