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Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns

Ogden, Joseph P. - 2010

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...

Persistent link: https://www.econbiz.de/10013147129

Probabilistic Equilbirium of Stock Market Imminent on 'Capital Allocation'

Cherian, Mathew - 2010

"Capital Allocation" endows us to study the probabilistic equilbrium reached from the expected movments of the Stock Market and Treasury Bond market. This equilbirium is employed to calculate the expected time scope in which the equilbrim can be expected. This gives the zenith of the oscillation...

Persistent link: https://www.econbiz.de/10013147717

Asymmetric Information, Trading Volume, and Portfolio Performance

Jackson, Antony - 2013

In dealership markets, asymmetric information feeds through to higher transaction costs as dealers adjust their bid-ask spreads to compensate for anticipated losses. In this paper, we show that the presence of asymmetric information can also provide a positive externality to those market...

Persistent link: https://www.econbiz.de/10013081590

CoAnomaly : Correlation Risk in Stock Market Anomalies

Guo, James Tengyu - 2019

I propose a simple time-series risk measure in trading stock market anomalies, CoAnomaly, the time-varying average pairwise correlation among 34 anomalies, which helps to explain both the time-series and the cross-sectional anomaly return patterns. Since correlations among underlying assets...

Persistent link: https://www.econbiz.de/10012900148