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Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries

Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

Persistent link: https://www.econbiz.de/10014307488

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

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 risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

International Stock Return Predictability : The Role of U.S. Volatility Risk

Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and significantly predicts future stock market returns of the...

Persistent link: https://www.econbiz.de/10014236052

Risk or Mispricing? Cross-Country Evidence on the Cross-Section of Stock Returns

Dong, Mike - 2019

Using a novel collection of market characteristics from 40 countries, this paper test competing explanations behind five major anomalies classified in Hou, Xue, and Zhang (2015): momentum, value-growth, investment, profitability, and trading frictions. Results show that anomaly returns highly...

Persistent link: https://www.econbiz.de/10012860225

Idiosyncratic Risk and the Cross-Section of Realized Returns : Reconciling the Aggregate Returns’ Predictability Evidence

Mantilla-Garcia, Daniel - 2010

Whether idiosyncratic volatility has increased over time and whether it is a good predictor of future returns is a matter of active debate. We show formally through central limit arguments that there is a direct relationship between the dynamics of the cross-sectional variance of realized...

Persistent link: https://www.econbiz.de/10013146647

Predicting Equity Risk Premium Using the Smooth Cross-Sectional Tail Risk : The Importance of Correlation

Faias, José Afonso - 2018

We provide a new monthly cross-sectional measure of stock market tail risk, defined as the average of the daily cross-sectional tail risk, rather than the tail risk of the pooled daily returns within a month. The former better captures monthly tail risk rather than merely the tail risk on...

Persistent link: https://www.econbiz.de/10012936981

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516

A Model-Free Tail Risk Index and Its Return Predictability

Hao, Jinji - 2017

This paper proposes a tail risk index, TIX, as the growth rate of the model-free cumulant generating function of market risk calculated from index option prices. It captures the power law decay rate of the left tail of future return distributions, and thus reflects market beliefs about the...

Persistent link: https://www.econbiz.de/10012968420

Macroeconomic expectations and state-dependent factor returns

Haase, Felix; Neuenkirch, Matthias - 2023

We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk premia across different market regimes. First, we rely on a two-state logit mixture vector autoregressive model and use Consensus Economics survey data on GDP growth,...

Persistent link: https://www.econbiz.de/10014388605

Macroeconomic expectations and state-dependent factor returns

Haase, Felix; Neuenkirch, Matthias - 2023 - First Draft: October 15, 2023

Persistent link: https://www.econbiz.de/10014381149