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Financial Distress The Idiosyncratic Volatility Puzzle And Expected Returns
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Book Synopsis Financial Distress, the Idiosyncratic Volatility Puzzle and Expected Returns by : Qingyi (Freda) Song Drechsler
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.
Book Synopsis Financial Distress and Idiosyncratic Volatility by : Lorán Chollete
Download or read book Financial Distress and Idiosyncratic Volatility written by Lorán Chollete and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We address the twin puzzles of anomalously low returns for high idiosyncratic volatility and high distress risk stocks, documented by Ang, Hodrick, Xing and Zhang (2006) and Campbell, Hilscher and Szilagyi (2005), respectively. We accomplish two objectives in this study. First, we investigate the link between idiosyncratic volatility and distress risk and find that the idiosyncratic volatility effect exists only conditionally on high distress risk. Second, using a corrected single-beta CAPM model, we provide a rational explanation for the twin puzzles. Joint statistical tests cannot reject the null hypothesis of zero abnormal returns across the idiosyncratic volatility and distress risk portfolios, for the corrected model.
Book Synopsis Idiosyncratic Volatility Puzzle by : Nektarios Aslanidis
Download or read book Idiosyncratic Volatility Puzzle written by Nektarios Aslanidis and published by . This book was released on 2017 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the cross-sectional relation between expected idiosyncratic volatility and stock returns. The expected idiosyncratic volatility is conditioned on macro-finance factors as well as traditional asset pricing factors. The macro-finance factors are constructed from a large set of macroeconomic and financial variables. Our results show that the negative relation between expected idiosyncratic volatility and stock returns reverses to a positive one when accounting for the macro-finance effects. Portfolio analysis shows that the positive relation is economically important. The relation between expected idiosyncratic volatility and returns is not affected by business cycle variations. The empirical results are highly robust.
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 Idiosyncratic Coskewness and Equity Return Anomalies by : Fousseni Chabi-Yo
Download or read book Idiosyncratic Coskewness and Equity Return Anomalies written by Fousseni Chabi-Yo and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis Have We Solved the Idiosyncratic Volatility Puzzle? by : Kewei Hou
Download or read book Have We Solved the Idiosyncratic Volatility Puzzle? 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:
Book Synopsis Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITSs by : Nusret Cakici
Download or read book Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITSs written by Nusret Cakici and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper adopts the methodology in Bali and Cakici (2008) in tracking the evolution of the relation between equity REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample period, we study this relation for (i) all sample REITs, (ii) REITs with a price greater than $10 or (iii) REITs with a price greater than $5. Each period represents different dynamics (including the Global Financial Crisis) in the life of the REIT industry and leads to a different hypothesis. Further, we present comparative results based on the Fama-French 3- and 4-factor models. Overall, we document a negative relation between idiosyncratic risk and cross-sectional expected returns and demonstrate that this negative relation changes over time. These findings amplify the "idiosyncratic volatility puzzle," as reported in the recent finance literature. Interestingly, REITs with a price of $5-to-$10 do well in 2009 and 2010. Further, the momentum factor appears to be influential since the first-ever listing of a REIT in the S&P 500 Index in early October 2001.
Book Synopsis Emerging Perspectives on Judgment and Decision Research by : Sandra L. Schneider
Download or read book Emerging Perspectives on Judgment and Decision Research written by Sandra L. Schneider and published by Cambridge University Press. This book was released on 2003-06-16 with total page 740 pages. Available in PDF, EPUB and Kindle. Book excerpt: Table of contents
Book Synopsis Cointegration, Causality, and Forecasting by : Halbert White
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.
Book Synopsis Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns by : Hui Guo
Download or read book Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns written by Hui Guo and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Price-Based Investment Strategies by : Adam Zaremba
Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Book Synopsis Association Between Idiosyncratic Volatility and Expected Return by :
Download or read book Association Between Idiosyncratic Volatility and Expected Return written by and published by . This book was released on 2011 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stocks, Bonds, Bills, and Inflation by : Roger G. Ibbotson
Download or read book Stocks, Bonds, Bills, and Inflation written by Roger G. Ibbotson and published by . This book was released on 1989 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Integration, Entrepreneurial Risk and Global Dynamics by : George-Marios Angeletos
Download or read book Financial Integration, Entrepreneurial Risk and Global Dynamics written by George-Marios Angeletos and published by DIANE Publishing. This book was released on 2011-04 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: How does financial integration impact capital accumulation, current-account dynamics, and cross-country inequality? This paper investigates this question within a two-country, general-equilibrium, incomplete-markets model that focuses on the importance of idiosyncratic entrepreneurial risk -- a risk that introduces, not only a precautionary motive for saving, but also a wedge between the interest rate and the marginal product of capital. This friction provides a simple resolution to the empirical puzzle that capital often fails to flow from the rich or slow-growing countries to the poor or fast-growing ones, and a distinct set of policy lessons regarding the intertemporal costs and benefits of capital-account liberalization. Illus. A print on demand report.
Book Synopsis Handbook of Corporate Finance by : David J. Denis
Download or read book Handbook of Corporate Finance written by David J. Denis and published by Edward Elgar Publishing. This book was released on 2024-02-12 with total page 709 pages. Available in PDF, EPUB and Kindle. Book excerpt: Expertly surveying the realm of corporate finance, this adroitly-crafted Handbook offers a wealth of conceptual analysis and comprehensively outlines recent scholarly research and developments within the field. It not only delves into the theoretical dimensions of corporate finance, but also explores its practical implications, thereby bridging the gap between these distinct strands.
Book Synopsis Behavioral Simulation Methods in Tax Policy Analysis by : Martin Feldstein
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.
