Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10011453274
Previous research documents that risk-arbitrageurs earn positive abnormal returns. However, this research treats the sum of two risks, deal risk and liquidity risk, as a measure of deal risk alone. We employ a forward looking measure of liquidity risk – the VIX – and we show that...
Persistent link: https://www.econbiz.de/10013125044
We provide empirical evidence for the incomplete information model advanced by Merton (1987), which shows that the relation between idiosyncratic volatility (IV) and expected return is conditional on the firm's investor base. Using four different proxies for investor base, we show that...
Persistent link: https://www.econbiz.de/10012937973
We investigate the empirical implications of investors' heterogeneous preferences for skewness with respect to the idiosyncratic volatility (IVOL) puzzle (the negative correlation between idiosyncratic volatility and mean returns). We show that the IVOL puzzle is stronger: (1) within those...
Persistent link: https://www.econbiz.de/10012938103
This paper documents that momentum profits in corporate bonds prevail during weakening aggregate credit conditions, and are driven by losers. Consistent with this, we find that a conditional default factor explains the cross-section returns of corporate bond portfolios sorted by past...
Persistent link: https://www.econbiz.de/10013106842
In this paper, we explain momentum profits using innovations in aggregate economy-wide default risk. First, we show that momentum returns are positive only during high default shocks and nonexistent otherwise. Second, we present evidence suggesting that a conditional default shock factor is...
Persistent link: https://www.econbiz.de/10013106843
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