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Da, Zhi - 2011

The profit to a standard short-term return reversal strategy can be decomposed analytically into four components: 1) across-industry return momentum, 2) within-industry variation in expected returns, 3) under-reaction to within-industry cash flow news, and 4) a residual. Only the residual...

Persistent link: https://www.econbiz.de/10013120611

Decomposing short-term return reversal

Da, Zhi; Liu, Qianqiu; Schaumburg, Ernst - 2011

The profit to a standard short-term return reversal strategy can be decomposed analytically into four components: 1) across-industry return momentum, 2) withinindustry variation in expected returns, 3) under-reaction to within-industry cash flow news, and 4) a residual. Only the residual...

Persistent link: https://www.econbiz.de/10009300008

Multivariate return decomposition : theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015

In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Persistent link: https://www.econbiz.de/10011313230

The Decomposition of Jump Risks in Individual Stock Returns

Xiao, Xiao - 2018

: the systematic and idiosyncratic jumps and the systematic and idiosyncratic diffusive volatility. By considering a general …

Persistent link: https://www.econbiz.de/10012934761

Expected Volatility, Unexpected Volatility, and the Cross-Section of Stock Returns

Chua, Choong Tze - 2013

idiosyncratic volatility. We contend that at the firm level, the sample correlation between unexpected returns and expected … idiosyncratic volatility can cloud the true relation between the expected return and expected idiosyncratic volatility. We show … strong evidence that unexpected idiosyncratic volatility is positively related to unexpected returns. Using unexpected …

Persistent link: https://www.econbiz.de/10013092231

Do Accruals Drive Stock Returns? A Variance Decomposition Analysis

Callen, Jeffrey L.; Segal, Dan - 2013

This paper extends the variance decomposition framework of Campbell (1991), Campbell and Ammer (1993) and Vuolteenhao (2002) to address the relative value relevance of accruals news, cash flow news and expected return news in driving firm-level equity returns. The extension is based on the...

Persistent link: https://www.econbiz.de/10014090137

Multivariate Return Decomposition : Theory and Implications

Anatolyev, Stanislav - 2017

In this paper, we propose a model based on multivariate decomposition of multiplicative—absolute values and signs—components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Persistent link: https://www.econbiz.de/10012948702

Return Decomposition : A Bayesian State-Space Model Approach

Chang, Yuan-Szu - 2015

We test the implications of the return decomposition of Campbell (1991), in which the unexpected market return is decomposed into cash-flow and discount-rate news. Unlike most of the previous literature, which uses VAR models to implement the return decomposition, we propose a state-space model...

Persistent link: https://www.econbiz.de/10013036320

Semivariance Decomposition of Country-Level Returns

Beach, Steven L. - 2011

A methodology for decomposing the below-mean semivariance into systematic and unsystematic components is introduced. The decomposition of variance and semivariance of asset returns is presented for forty-four country-level indexes. The proportion of risk explained for country-level returns in...

Persistent link: https://www.econbiz.de/10013119838

The Return of Return Dominance : Decomposing the Cross-section of Prices

De la O, Ricardo; Han, Xiao; Myers, Sean - 2022

Are stock valuation ratios mainly informative about future earnings growth or future returns? Using a variance decomposition, we find that over 70% of cross-sectional variation in price-earnings ratios is reflected in cross-sectional differences in future returns, while less than 30% is...

Persistent link: https://www.econbiz.de/10014239561