Narrow search
Showing 1 - 10 of 30,453
Cover Image
Uncertain growth, ambiguity aversion and asset prices
Liu, Hening - 2011
' fluctuating beliefs induce countercylical variation in equity premium and in the expected volatility of returns, and moreover … volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk …
Persistent link: https://www.econbiz.de/10009411461
Cover Image
Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019
This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...
Persistent link: https://www.econbiz.de/10011993538
Cover Image
Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …
Persistent link: https://www.econbiz.de/10011780610
Cover Image
Asset Pricing with Heterogeneous Agents and Long-Run Risk
Pohl, Walt - 2020
volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in …
Persistent link: https://www.econbiz.de/10012853501
Cover Image
Economic Uncertainty : Mispricing and Ambiguity Premium
Cai, Charlie X. - 2020
We study the effect of economic uncertainty exposure (EUE) on cross-sectional return differentiating the mispricing from ambiguity-premium effects. Conditional on a common mispricing index, we find that EUE induces disagreement which amplifies mispricing. The highest EUE quintile produces an...
Persistent link: https://www.econbiz.de/10012827923
Cover Image
Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012585546
Cover Image
Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
Persistent link: https://www.econbiz.de/10012175486
Cover Image
The Low Risk Anomaly Revisited on High-Frequency Data
Boudt, Kris - 2015
Under the CAPM assumptions, the market capitalization weighted portfolio is mean-variance efficient. In real world applications it has been shown by various authors that low risk portfolios outperform the market capitalization weighted portfolio. We revisit this anomaly using high-frequency data...
Persistent link: https://www.econbiz.de/10013030547
Cover Image
Is Idiosyncratic Risk Conditionally Priced?
Mehra, Rajnish - 2019
his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition … results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …
Persistent link: https://www.econbiz.de/10012903618
Cover Image
Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108