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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

financing, drives the following five asset pricing anomalies: (1) the failure-risk anomaly; (2) earnings momentum; (3) the … one rational factor, firm size, and one mispricing factor common to anomalies (1), (2), (3), (5) and, to a lesser extent …

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

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry

Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015

We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...

Persistent link: https://www.econbiz.de/10011345060

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

Test of the Chen-Roll-Ross macroeconomic factor model : evidence from Croatian stock market

Dolinar, Dolinar; Orsag, Silvije; Suman, Paola - In: UTMS journal of economics / University of Tourism and … 6 (2015) 2, pp. 185-196

This paper empirically examines the well-known Chen-Roll-Ross model on the Croatian stock market. Modifications of definitions of the Chen-Roll-Ross model variables showed as necessary because of doubtful availability and quality of input data needed. Namely, some macroeconomic and market...

Persistent link: https://www.econbiz.de/10011456296

Test of the Fama-French three-factor model in Crotia

Dolinar, Denis - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 101-112

comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average …

Persistent link: https://www.econbiz.de/10009787020

New Evidence on Conditional Factor Models

Cooper, Ilan - 2018

We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies …, and intangibles-based anomalies. Yet, there are significant differences in scaled models' performance: HXZ clearly … dominates FF in explaining momentum and profitability anomalies, while the converse holds for value-growth anomalies. Thus, the …

Persistent link: https://www.econbiz.de/10012937406

Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market

Vo Xuan Vinh; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25

residuals estimated from regression based on capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four …

Persistent link: https://www.econbiz.de/10012219258

Capital Share Risk in U.S. Asset Pricing

Lettau, Martin - 2018

A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...

Persistent link: https://www.econbiz.de/10012913073

Risk and Return in the Chinese Stock Market : Does Equity Return Dispersion Proxy Risk?

Chen, Chun-Da - 2015

We examine whether equity return dispersion, measured by the cross-sectional standard deviation of stock returns, is systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk even after controlling for market, size,...

Persistent link: https://www.econbiz.de/10013023627