Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Financial Distress And Idiosyncratic Volatility full books in PDF, epub, and Kindle. Read online Financial Distress And Idiosyncratic Volatility ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Download or read book Financial Distress and Idiosyncratic Volatility written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qingyi (Freda) Song Drechsler
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (129 download)
Download or read book Financial Distress, the Idiosyncratic Volatility Puzzle and Expected Returns written by Qingyi (Freda) Song Drechsler and published by . This book was released on 2009 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the asset pricing impact of financial distress and idiosyncratic volatility on cross-sectional stock returns. We show that the puzzling negative correlation between idiosyncratic volatility and return is a manifestation of financial distress. Using daily and monthly return data from 1971 to 2006, we show that while the volatility spread is -1.68% for the most distressed stocks, it is actually positive and significant at 0.61% per month for the least distressed ones. This indicates that financial distress has a more fundamental impact on the cross-sectional returns than idiosyncratic volatility. As volatility is one of the inputs in the measurement of distress, we address the potential endogenous relationship between distress and idiosyncratic volatility using various robustness checks. Moreover, in a horse-race comparison under the Fama-MacBeth firm-level regression set up, financial distress takes away the explanatory power of idiosyncratic volatility on cross-sectional stock returns. Interaction of financial distress with other asset-pricing anomalies, including momentum and value effects, is also explored. It is shown that the momentum effect is mostly driven by the group of most distressed stocks. And similarly, the value effect is the strongest among this group of stocks.
Author : Jefferson Duarte
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Systematic Risk of Idiosyncratic Volatility written by Jefferson Duarte and published by . This book was released on 2014 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that the pricing of idiosyncratic volatility (IV) is due to unaccounted systematic risk, which affects a large number of asset pricing anomalies. A single common IV component explains one third of variation in IV. Mispricing arises when sorting stocks by the part of IV predicted by exposure to the common IV component, but not when sorting by residual IV. We propose the return difference between stocks with high and low predicted IV, PIV, as a proxy for the missing risk factor. PIV is significantly related to the common components of the returns of several important anomaly-based trading strategies. Controlling for PIV helps explain the earnings surprise, net stock issues, profitability, as well as illiquidity anomalies, and completely explains the financial distress anomaly. Overall our results suggest that the IV puzzle reflects systematic risk related to the average stock volatility and credit risk.
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (131 download)
Download or read book Idiosyncratic Equity Risk Two Decades Later written by John Y. Campbell and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on idiosyncratic equity volatility since the publication of "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk" in 2001. We respond to replication studies by Chiah, Gharghori, and Zhong and by Leippold and Svaton, and we present volatility estimates through the end of 2021, significantly extending the period covered in our original paper as well as the two replication studies. After spiking in the 1999- 2000 period, idiosyncratic volatility declined thereafter; but sharp increases in market, industry, and idiosyncratic volatility occurred during the global financial crisis of 2008-2009 and the COVID-19 pandemic of 2020-2021. We argue that market microstructure effects are not of first-order importance for volatility measurement, and we discuss the roles of fundamental factors and investor sentiment in driving the observed fluctuations in volatility.
Author : Martin Feldstein
Publisher : University of Chicago Press
ISBN 13 : 0226241750
Total Pages : 523 pages
Book Rating : 4.2/5 (262 download)
Download or read book Behavioral Simulation Methods in Tax Policy Analysis written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: These thirteen papers and accompanying commentaries are the first fruits of an ongoing research project that has concentrated on developing simulation models that incorporate the behavioral responses of individuals and businesses to alternative tax rules and rates and on expanding computational general equilibrium models that analyze the long-run effects of changes on the economy as a whole. The principal focus of the project has been on the microsimulation of individual behavior. Thus, this volume includes studies of individual responses to an over reduction in tax rates and to changes in the highest tax rates; a study of alternative tax treatments of the family; and studies of such specific aspects of household behavior as tax treatment of home ownership, charitable contributions, and individual saving behavior. Microsimulation techniques are also used to estimate the effects of alternative policies on the long-run financial status of the social security program and to examine the effects of alternative tax rules on corporate investment and of foreign-source income on overseas investment. The papers devoted to the development of general equilibrium simulation models to include an examination of the implications of international trade and capital flows, a study of the effects of capital taxation that uses a closed economy equilibrium model, and an examination of the effect of switching to an inflation-indexed tax system. In the volume's final paper, a life-cycle model in which individuals maximize lifetime utility subject to a lifetime budget constraint is used to simulate the effects of tax rules on personal savings.
Author : Nicola Gennaioli
Publisher : Princeton University Press
ISBN 13 : 0691184925
Total Pages : 265 pages
Book Rating : 4.6/5 (911 download)
Download or read book A Crisis of Beliefs written by Nicola Gennaioli and published by Princeton University Press. This book was released on 2018-09-11 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: How investor expectations move markets and the economy The collapse of Lehman Brothers in September 2008 caught markets and regulators by surprise. Although the government rushed to rescue other financial institutions from a similar fate after Lehman, it could not prevent the deepest recession in postwar history. A Crisis of Beliefs makes us rethink the financial crisis and the nature of economic risk. In this authoritative and comprehensive book, two of today’s most insightful economists reveal how our beliefs shape financial markets, lead to expansions of credit and leverage, and expose the economy to major risks. Nicola Gennaioli and Andrei Shleifer carefully walk readers through the unraveling of Lehman Brothers and the ensuing meltdown of the US financial system, and then present new evidence to illustrate the destabilizing role played by the beliefs of home buyers, investors, and regulators. Using the latest research in psychology and behavioral economics, they present a new theory of belief formation that explains why the financial crisis came as such a shock to so many people—and how financial and economic instability persist. A must-read for anyone seeking insights into financial markets, A Crisis of Beliefs shows how even the smartest market participants and regulators did not fully appreciate the extent of economic risk, and offers a new framework for understanding today’s unpredictable financial waters.
Author : Indrani De
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)
Download or read book Decomposition of Total Volatility written by Indrani De and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years there has been a lot of debate about volatility, the risk-on/risk-off market with a focus on macro and factor risks. Our research uses the methodology of Campbell et al. (2001) to break down the total volatility in US equities into the three components of Market, Industry and Firm (idiosyncratic risk), and analyzes the trends in their share over 2005-2014. The value addition from active stock selection is greater when idiosyncratic risk becomes a bigger component of total volatility. Our main conclusion is that there is a strong payoff to stock selection even in the post-financial crisis era where markets often think of risk only in terms of risk-on/risk-off. The share of idiosyncratic risk indicating benefits of stock selection decreased a lot during the crisis. It is now at the highest level since the start of the financial crisis, though still much lower than in the pre-crisis years. Total volatility increased ~4X during the crisis and is now lower than pre-crisis. The share of idiosyncratic volatility dipped sharply during the crisis, but remains the largest component (> 60%) of total volatility for an equity investor. The share of market volatility increased ~4X during the crisis to become the largest component. Currently much lower, it is still 2X prior-recession average and higher than the long-term average. Sector volatility has shown a consistent decrease over 2005-2014, and is now the smallest share of total volatility. Average pair-wise stock correlation in the S&P 500 increased ~3X from pre-crisis years through 2010, and is now 2X pre-recession average. The power of the market model in explaining stock returns, increased sharply from 22% pre-crisis to more than 50% in 2010, and has since decreased and remained consistent at ~30%. We also found a strong negative correlation between all components of volatility and contemporaneous GDP growth, with the information decay being fastest for idiosyncratic volatility. Idiosyncratic risk as a share of total stock volatility, though lower than pre-crisis levels, is the highest since the financial crisis. It remains the largest share of total U.S. equity volatility providing a strong justification for stock selection and active management.
Author : Ms.Brenda Gonzalez-Hermosillo
Publisher : International Monetary Fund
ISBN 13 : 1484368347
Total Pages : 28 pages
Book Rating : 4.4/5 (843 download)
Download or read book Transmission of Financial Stress in Europe written by Ms.Brenda Gonzalez-Hermosillo and published by International Monetary Fund. This book was released on 2014-05-02 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal. The stability of Germany is a close proxy for the resilience of the euro area as markets use Germany’s sovereign CDS as a hedge for systemic risk. Although most of the CDS changes for Germany during 2009–12 were due to idiosyncratic factors, market developments in Italy and Spain contributed significantly, likely due to their relative importance in the region. Changes in Greece’s sovereign CDS had no significant effect on Germany’s sovereign CDS despite initial widespread concerns about such linkages. Spain and Italy show a notable co-dependence in explaining each other’s volatility while Germany also plays an important role. It is found that extreme bad news led to persistent and nearly permanent effects on the stochastic volatility of European sovereign CDS spreads.
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (131 download)
Download or read book Idiosyncratic Equity Risk Two Decades Later written by John Y. Campbell and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on idiosyncratic equity volatility since the publication of "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk" in 2001. We respond to replication studies by Chiah, Gharghori, and Zhong and by Leippold and Svaton, and we present volatility estimates through the end of 2021, significantly extending the period covered in our original paper as well as the two replication studies. After spiking in the 1999- 2000 period, idiosyncratic volatility declined thereafter; but sharp increases in market, industry, and idiosyncratic volatility occurred during the global financial crisis of 2008-2009 and the COVID-19 pandemic of 2020-2021. We argue that market microstructure effects are not of first-order importance for volatility measurement, and we discuss the roles of fundamental factors and investor sentiment in driving the observed fluctuations in volatility.
Author : Shivaram Rajgopal
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (129 download)
Download or read book Financial Reporting Quality and Idiosyncratic Return Volatility Over the Last Four Decades written by Shivaram Rajgopal and published by . This book was released on 2010 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Campbell, Lettau, Malkiel and Xu (2001) show that stock returns of individual firms have become more volatile in the U.S. since 1960. We hypothesize and find that deteriorating earnings quality is associated with higher idiosyncratic return volatility over the period 1962-2001. These results are robust to controlling for (i) inter-temporal changes in the disclosure of value-relevant earnings information, sophistication of investors and for the possibility that earnings quality can be informative about future cash flows; (ii) stock return performance, cash flow operating performance, cash flow variability, growth, leverage and firm size; and (iii) accounting for new listings, high technology firms and firm-years with losses, mergers and acquisitions and financial distress.
Author : Cesario Mateus
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Implied Idiosyncratic Volatility and Stock Return Predictability written by Cesario Mateus and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) for the period from January 2001 to December 2010, it examines the relation between different idiosyncratic volatility measures and expected stock returns for a period that involves both the dotcom bubble and the recent financial crisis. First it is showed that implied idiosyncratic volatility is the best stock return predictor among the different volatility measures used. Second, cross-section firm-specific characteristics are important on stock returns forecast. Third, we provide evidence that higher short selling constraints impact negatively stock returns having liquidity the opposite effect.
Author : Doron Avramov
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (13 download)
Download or read book Anomalies and Financial Distress written by Doron Avramov and published by . This book was released on 2014 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores commonalities across asset-pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and capital investments derive their profitability from taking short positions in high credit risk firms that experience deteriorating credit conditions. Such distressed firms are highly illiquid and hard to short sell, which could establish nontrivial hurdles for exploiting anomalies in real time. The value effect emerges from taking long positions in high credit risk firms that survive financial distress and subsequently realize high returns. The accruals anomaly is an exception - it is robust amongst high and low credit risk firms as well as during periods of deteriorating, stable, and improving credit conditions.
Author : Turan G. Bali
Publisher : John Wiley & Sons
ISBN 13 : 1118589475
Total Pages : 512 pages
Book Rating : 4.1/5 (185 download)
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.
Author : Jamie Alcock
Publisher : John Wiley & Sons
ISBN 13 : 1119289009
Total Pages : 314 pages
Book Rating : 4.1/5 (192 download)
Download or read book Asymmetric Dependence in Finance written by Jamie Alcock and published by John Wiley & Sons. This book was released on 2018-02-02 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
Author : Aslı Demirgüç-Kunt
Publisher : MIT Press
ISBN 13 : 0262042541
Total Pages : 415 pages
Book Rating : 4.2/5 (62 download)
Download or read book Deposit Insurance Around the World written by Aslı Demirgüç-Kunt and published by MIT Press. This book was released on 2008 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explicit deposit insurance (DI) is widely held to be a crucial element of modern financial safety nets. This book draws on an original cross-country dataset on DI systems and design features to examine the impact of DI on banking behavior and assess the policy complications that emerge in developing countries.
Author : Halbert White
Publisher : Oxford University Press, USA
ISBN 13 : 9780198296836
Total Pages : 512 pages
Book Rating : 4.2/5 (968 download)
Download or read book Cointegration, Causality, and Forecasting written by Halbert White and published by Oxford University Press, USA. This book was released on 1999 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author : Kewei Hou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (812 download)
Download or read book Digesting Anomalies written by Kewei Hou and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size factor, an investment factor, and a return on equity factor. The new factor model outperforms the Carhart four-factor model in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, net stock issues, composite issuance, as well as on investment and return on equity. The new model performs similarly as the Carhart model in pricing portfolios formed on size and momentum, abnormal corporate investment, as well as on size and book-to-market, but underperforms in pricing the total accrual deciles. The new model's performance, combined with its clear economic intuition, suggests that it can be used as a new workhorse model for academic research and investment management practice.
