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Downside Risk And The Cross Section Of Expected Stock Returns
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Book Synopsis Downside Risk and the Cross-Section of Expected Stock Returns by : Andrin Schett
Download or read book Downside Risk and the Cross-Section of Expected Stock Returns written by Andrin Schett and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the relationship between downside risk and stock returns. In an economy with agents that are more concerned about downside losses than upside gains (downside risk averse investors), stocks that covary strongly with systematic risk factors in adverse states are expected to earn higher returns. The premium on downside sensitive stocks reflects a compensation for the risk of high negative returns in unfavorable states. Analyzing different risk factors that are proposed in the literature to systematically affect stock returns, I find strong evidence for a downside risk-return relationship for three factors: the returns on the market portfolio, the liquidity innovation factor and a factor reflecting unanticipated changes in the risk premium. I estimate that the premium for bearing market downside risk is approximately 4-6%, for liquidity downside risk 3-5% and 2-3% for stocks that covary strongly with unanticipated (negative) changes in the risk premium.
Book Synopsis The Cross Section of Expected Stock Returns Revisited by : Jean-Paul Sursock
Download or read book The Cross Section of Expected Stock Returns Revisited written by Jean-Paul Sursock and published by . This book was released on 2000 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Cross-section of Expected Stock Returns by :
Download or read book On the Cross-section of Expected Stock Returns written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Asset Pricing by : Turan G. Bali
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Book Synopsis The Cross-section of Expected Stock Returns by : Eugene F. Fama
Download or read book The Cross-section of Expected Stock Returns written by Eugene F. Fama and published by . This book was released on 1992 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Cross-section of Expected Stock Returns and Components of Idiosyncratic Volatility by : Seyed Reza Tabatabaei Poudeh
Download or read book The Cross-section of Expected Stock Returns and Components of Idiosyncratic Volatility written by Seyed Reza Tabatabaei Poudeh and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the relationship between stock returns and components of idiosyncratic volatility-two volatility and two covariance terms- derived from the decomposition of stock returns variance. The portfolio analysis result shows that volatility terms are negatively related to expected stock returns. On the contrary, covariance terms have positive relationships with expected stock returns at the portfolio level. These relationships are robust to controlling for risk factors such as size, book-to-market ratio, momentum, volume, and turnover. Furthermore, the results of Fama-MacBeth cross-sectional regression show that only alpha risk can explain variations in stock returns at the firm level. Another finding is that when volatility and covariance terms are excluded from idiosyncratic volatility, the relation between idiosyncratic volatility and stock returns becomes weak at the portfolio level and disappears at the firm level.
Book Synopsis Perspectives on Equity Indexing by : Frank J. Fabozzi, CFA
Download or read book Perspectives on Equity Indexing written by Frank J. Fabozzi, CFA and published by John Wiley & Sons. This book was released on 2000-06-15 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the second edition of Professional Perspectives on Indexing. Contents include the active versus passive debate, Standard and Poor's U.S. equity indexes, medium and small capitalization indexing, global equity index families, investing in index mutual funds, and more.
Book Synopsis Another Look at the Cross-section of Expected Stock Returns by : S. P. Kothari
Download or read book Another Look at the Cross-section of Expected Stock Returns written by S. P. Kothari and published by . This book was released on 1994 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Another Look at the Cross-Section of Expected Stock Returns by : Jay A. Shanken
Download or read book Another Look at the Cross-Section of Expected Stock Returns written by Jay A. Shanken and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Our examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9% per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equal-weighted market index. The relation between book-to-market equity and returns is weaker than that in Fama and French (1992a). We conjecture that book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence.
Book Synopsis Extreme Correlation of International Equity Markets by : François M. Longin
Download or read book Extreme Correlation of International Equity Markets written by François M. Longin and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Extreme Bounds of the Cross-section of Expected Stock Returns by : J. Benson Durham
Download or read book The Extreme Bounds of the Cross-section of Expected Stock Returns written by J. Benson Durham and published by . This book was released on 2002 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Idiosyncratic Risk and the Cross-Section of Expected Stock Returns by : Fangjian Fu
Download or read book Idiosyncratic Risk and the Cross-Section of Expected Stock Returns written by Fangjian Fu and published by . This book was released on 2013 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theories such as Merton (1987, Journal of Finance) predict a positive relation between idiosyncratic risk and expected return when investors do not diversify their portfolio. Ang, Hodrick, Xing, and Zhang (2006, Journal of Finance 61, 259-299) however find that monthly stock returns are negatively related to the one-month lagged idiosyncratic volatilities. I show that idiosyncratic volatilities are time-varying and thus their findings should not be used to imply the relation between idiosyncratic risk and expected return. Using the exponential GARCH models to estimate expected idiosyncratic volatilities, I find a significantly positive relation between the estimated conditional idiosyncratic volatilities and expected returns. Further evidence suggests that Ang et al.'s findings are largely explained by the return reversal of a subset of small stocks with high idiosyncratic volatilities.
Book Synopsis The Cross-Section of Volatility and Expected Returns by : Andrew Ang
Download or read book The Cross-Section of Volatility and Expected Returns written by Andrew Ang and published by . This book was released on 2010 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine how volatility risk, both at the aggregate market and individual stock level, is priced in the cross-section of expected stock returns. Stocks that have past high sensitivities to innovations in aggregate volatility have low average returns. We also find that stocks with past high idiosyncratic volatility have abysmally low returns, but this cannot be explained by exposure to aggregate volatility risk. The low returns earned by stocks with high exposure to systematic volatility risk and the low returns of stocks with high idiosyncratic volatility cannot be explained by the standard size, book-to-market, or momentum effects, and are not subsumed by liquidity or volume effects.
Book Synopsis Extreme Downside Risk and Expected Stock Returns by : Wei Huang
Download or read book Extreme Downside Risk and Expected Stock Returns written by Wei Huang and published by . This book was released on 2012 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a measure for extreme downside risk (EDR) to investigate whether bearing such a risk is rewarded by higher expected stock returns. Constructing an EDR proxy with the left tail index in the classical generalized extreme value distribution, we document a significantly positive premium on firm-specific EDR in cross-section of stock returns even after controlling for market, size, value, momentum, and liquidity effects. The EDR premium is more prominent among glamour stocks and when high market returns are expected. High-EDR stocks generally have high idiosyncratic risk, large downside beta, lower coskewness and cokurtosis, and high bankruptcy risk. The EDR premium persists after these characteristics are controlled for. EDR is also closely related to firm-specific Value at Risk (VaR) which substantially impacts EDR's effect on expected stock returns. EDR supplements VaR in predicting stock returns by exhibiting additional explanatory power.
Book Synopsis Downside Risks and the Cross-Section of Asset Returns by : Adam Farago
Download or read book Downside Risks and the Cross-Section of Asset Returns written by Adam Farago and published by . This book was released on 2017 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset classes reflect premiums for bearing undesirable exposures to these factors. The signs of estimated risk premiums are consistent with the theoretical predictions. Our most general, five-factor model is very successful in jointly pricing stock, option, and currency portfolios, and provides considerable improvement over nested specifications previously discussed in the literature.
Book Synopsis Safety First, Loss Probability, and the Cross Section of Expected Stock Returns by : Ji CAO
Download or read book Safety First, Loss Probability, and the Cross Section of Expected Stock Returns written by Ji CAO and published by . This book was released on 2019 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent studies show that loss probability (LP) is a decisive factor when people evaluate risk of assets in laboratory experiments, suggesting a positive relationship between LP and expected stock returns. This corresponds to the classical "Safety-First" principle. We find empirical support for this prediction in the U.S. stock market. During our sample period, average risk-adjusted return differences between stocks in the two extreme LP deciles exceed 0.73% per month. The positive LP effect, characterized by the intention of some investors to pay low prices for high LP stocks, remains significant after controlling for microcaps as in Hou et al. (2019).
Book Synopsis The Cross Section of Expected Stock Returns by : Jonathan Lewellen
Download or read book The Cross Section of Expected Stock Returns written by Jonathan Lewellen and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
