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Interest Rate Risk, Inflation, and the Cross Section of Stock Returns

Park, Heungju; Sohn, Sungbin - 2023

We posit that the pricing mechanism of interest rate risk is contingent upon the prevailing inflation levels; in times of high (low) inflation, a positive (negative) shock to interest rates is indicative of a negative economic state. In line with this proposition, we introduce a conditional...

Persistent link: https://www.econbiz.de/10014344599

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

Persistent link: https://www.econbiz.de/10012042424

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10012598456

Interest rate, size and book-to-market effects in Australian financial firms

Akhtaruzzaman, Md.; Docherty, Paul; Shamsuddin, Abul - In: Applied economics 46 (2014) 25/27, pp. 3005-3020

Persistent link: https://www.econbiz.de/10010418172

Liquidity risk and funding cost

Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded by lenders. We test the channel using unique...

Persistent link: https://www.econbiz.de/10012050871

Two Trees with Heterogeneous Beliefs : Spillover Effect of Disagreement

Han, Bing - 2017

In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...

Persistent link: https://www.econbiz.de/10012972769

Idiosyncratic Risk and Stock Returns : A Quantile Regression Approach

Aziz, Tariq - 2016

study demonstrates that idiosyncratic volatility and stock returns relation is quantile dependent. The relation between … idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at … idiosyncratic volatility and the stock returns relation in the literature …

Persistent link: https://www.econbiz.de/10012996902

Idiosyncratic Volatility and Firm-Specific News : Beyond Limited Arbitrage

DeLisle, Jared - 2016

idiosyncratic volatility is from its function as a limit arbitrage. Our evidence incorporating firm specific news is inconsistent … news volatility (volatility contemporaneous to news announcements) should be stronger than that of non-news volatility … (volatility without an identified news announcement). We find the opposite. Non-news volatility has robust negative price and …

Persistent link: https://www.econbiz.de/10013003459

Is There a Risk and Return Relation?

Fifield, Suzanne G.M. - 2017

nature of the relationship during periods of high and low volatility and in bull and bear markets. The results indicate that …

Persistent link: https://www.econbiz.de/10012946143

Aggregate Volatility Risk and the Cross-Section of Stock Returns : Australian Evidence

Mai, Van Anh (Vivian) - 2015

This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia …. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility … risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of …

Persistent link: https://www.econbiz.de/10013024559