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Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be appropriately rewarded by expected returns. In modern financial markets, there are countless quantitative and systematic strategies which may test and eventually lead to excess returns when...
Persistent link: https://www.econbiz.de/10011757486
with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive … ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. We find similar … sensitive to sentiment and for anomaly returns is substantially larger in times of higher uncertainty. The results hold for both …
Persistent link: https://www.econbiz.de/10012216707
I use classification-based machine-learning methods to decompose 32 anomaly payoffsinto risk exposures and mispricing. The component driven by risk earns statistically insignificantreturns, despite its efficacy in explaining the time-series variation in anomaly payoffs.The mispricing component...
Persistent link: https://www.econbiz.de/10013251341
The paper assesses the most recent performance, persistence and riskiness of contrarian portfolios. Evidence from the major world and European market of France shows that such portfolios appear profitable on average, but their performance is not persistent from one holding period to the next;...
Persistent link: https://www.econbiz.de/10013000992
We investigate the potential link between momentum in currency returns and global economic risk as measured by currency return dispersion (RD). Initial tests contribute to the exchange rate puzzle by showing that the same macroeconomic risk component in currency markets is present in global...
Persistent link: https://www.econbiz.de/10013004553
A productivity shock identified through a VAR is a priced risk factor for one-month industry momentum portfolios and commands a positive risk premium. Stocks in winning industries have higher sensitivity to productivity news, thereby earning higher average returns than do stocks in losing...
Persistent link: https://www.econbiz.de/10012967993
Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the estimation of stock returns and their volatility and market betas have been documented. Using a dataset of daily equity mutual fund returns, we extend previous studies to analyze...
Persistent link: https://www.econbiz.de/10012968627
The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation adjustment (CVA) might become increasingly difficult should the long-standing correlation between singlename and index CDS products break down. So, we provide an estimation of the...
Persistent link: https://www.econbiz.de/10012970402
We analyze the cross-sectional relation between expected idiosyncratic volatility and stock returns. The expected idiosyncratic volatility is conditioned on macro-finance factors as well as traditional asset pricing factors. The macro-finance factors are constructed from a large set of...
Persistent link: https://www.econbiz.de/10012972461
In this paper, we conducted an empirical analysis of the impact of implementation of shareholder perks, which attract small investors, on the risks of Japanese stocks. We tested hypotheses on the impact of implementation of shareholder perks on cost of equity capital, idiosyncratic risk, stock...
Persistent link: https://www.econbiz.de/10012949702