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Stocks with Extreme Past Returns : Lotteries or Insurance?

Barinov, Alexander - 2018

the aggregate volatility risk factor explains low returns to stocks with high maximum returns in the past (Bali, Cakici …, and Whitelaw, 2011) and high expected skewness (Boyer, Mitton, and Vorkink, 2010). Aggregate volatility risk also explains …

Persistent link: https://www.econbiz.de/10012940125

Decomposing the idiosyncratic volatility anomaly among euro area stocks

Annaert, Jan; De Ceuster, Marc J.; Van Doninck, Freek - In: Finance research letters 47 (2022) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10013553642

The MAX effect : an exploration of risk and mispricing explanations

Zhong, Angel; Gray, Philip K. - In: Journal of banking & finance 65 (2016), pp. 76-90

Persistent link: https://www.econbiz.de/10011634328

Higher moments, extreme returns, and cross-section of cryptocurrency returns

Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012804999

Stocks with extreme past returns : lotteries or insurance?

Barinov, Alexander - In: Journal of financial economics 129 (2018) 3, pp. 458-478

Persistent link: https://www.econbiz.de/10011982283

Lottery Preferences and the Idiosyncratic Volatility Puzzle

Chichernea, Doina - 2018

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

Do the rich gamble in the stock market? : low risk anomalies and wealthy households

Bali, Turan G.; Günaydin, A. Doruk; Jansson, Thomas; … - In: Journal of financial economics 150 (2023) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10014462604

Does behavioral-motivated volatility effect explain the beta anomaly? : evidence from China

Zhao, Lu; Lin, Lei - In: Finance research letters 46 (2022) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10013341295

Why does volatility uncertainty predict equity option returns?

Cao, Jie Jay; Vasquez, Aurelio; Xiao, Xiao; Zhan, … - In: The Quarterly Journal of Finance : QJF 13 (2023) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10014305078

Effects of Football on Stock Markets : Return-Volatility Relationship

Berument, Hakan - 2012

propositions that the results of football teams in international cups affect (i) stock market returns and (ii) the risk …This paper assesses the effects of domestic football teams' performances against foreign rivals on stock market returns …-return relationship. Evidence from Spain and the UK (countries considered football powerhouses) suggest that losses are associated with …

Persistent link: https://www.econbiz.de/10013109236