Similar Search Results

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10011932555

Predictability and the Cross-Section of Expected Returns : Evidence from the European Stock Market

Drobetz, Wolfgang - 2020

This paper examines the cross-sectional properties of stock return forecasts based on Fama-MacBeth regressions using all firms contained in the STOXX Europe 600 index during the September 1999-December 2018 period. Our estimation approach is strictly out-of-sample, mimicking an investor who...

Persistent link: https://www.econbiz.de/10012848244

MAX, lottery-type stocks, and the cross-section of stock returns : evidence from the Chinese stock market

Hoang Van Hai - In: Cogent economics & finance 11 (2023) 1, pp. 1-33

This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for...

Persistent link: https://www.econbiz.de/10014500653

Which beta is best? : on the information content of option-implied betas

Baule, Rainer; Korn, Olaf; Saßning, Sven - 2013

Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known...

Persistent link: https://www.econbiz.de/10010230656

Operating cost flexibility and implications for stock returns

Taussig, Roi D. - In: Risks : open access journal 12 (2024) 10, pp. 1-7

This study suggests a new measure for a firm's operating cost flexibility. Flexible firms are less risky and, therefore, require lower stock returns. This analysis of 126,202 firm-year observations from the U.S. cross-section of stock returns finds that the new measure explains a negative...

Persistent link: https://www.econbiz.de/10015130522

Idiosyncratic Volatility and the Intertemporal Capital Asset Pricing Model

Li, Gang - 2020

When the true asset pricing model cannot be identified, the idiosyncratic volatility obtained from a misspecified model … centuries, neither equal-weighted idiosyncratic volatility (EWIV) nor value-weighted idiosyncratic volatility (VWIV) can …, Cakici, Yan, and Zhang (2005) and reconcile their mixed findings between the idiosyncratic volatility and future stock market …

Persistent link: https://www.econbiz.de/10012847166

Which Beta is Best? On the Information Content of Option-Implied Betas

Baule, Rainer - 2014

Persistent link: https://www.econbiz.de/10013061242

Do the FAMA and FRENCH five-factor model forecast well using ANN?

Jan, Muhammad Naveed; Ayub, Usman - In: Journal of business economics and management 20 (2019) 1, pp. 168-191

Forecasting the stock returns in the emerging markets is challenging due to their peculiar characteristics. These markets exhibit linear as well as nonlinear features and Conventional forecasting methods partially succeed in dealing with the nonlinear nature of stock returns. Contrarily,...

Persistent link: https://www.econbiz.de/10012175006

International tail risk and world fear

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

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries 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...

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

Option-Implied Equity Premia and the Predictability of Stock Market Returns

Karoui, Mehdi - 2012

This paper proposes a novel approach to extracting option-implied equity premia, and empirically examines the information content of these risk premia for forecasting the stock market return. Our approach does not require specifying the functional form of the pricing kernel, and does not impose...

Persistent link: https://www.econbiz.de/10013113977