Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
On The Relation Between Egarch Idiosyncratic Volatility And Expected Stock Returns
Download On The Relation Between Egarch Idiosyncratic Volatility And Expected Stock Returns full books in PDF, epub, and Kindle. Read online On The Relation Between Egarch Idiosyncratic Volatility And Expected Stock Returns ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis On the Relation Between EGARCH Idiosyncratic Volatility and Expected Stock Returns by : Hui Guo
Download or read book On the Relation Between EGARCH Idiosyncratic Volatility and Expected Stock Returns written by Hui Guo and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: A spurious positive relation between EGARCH estimates of expected month t idiosyncratic volatility and month t stock returns arises when the month t return is included in the estimation of model parameters. We illustrate via simulations that this look-ahead bias is problematic for empirically observed degrees of stock return skewness and typical monthly return time series lengths. Moreover, the empirical idiosyncratic-return relation becomes negligible when expected month t idiosyncratic volatility is estimated using returns only upto month t-1.
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 Idiosyncratic Volatility and Stock Returns by : Kuntara Pukthuanthong
Download or read book Idiosyncratic Volatility and Stock Returns written by Kuntara Pukthuanthong and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the capital asset pricing model (CAPM) which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using estimated-EGARCH conditional idiosyncratic volatility of individual stocks across 36 countries from 1973 to 2007, we find that idiosyncratic risk is priced on a significantly positive risk premium for stock returns. The evidence is statistically and economically significant. It overwhelmingly supports the prediction of existing theories that idiosyncratic risk is positively related to expected returns.
Book Synopsis An Analytical Derivation of the Relation Between Idiosyncratic Volatility and Expected Stock Return by : Don U. A. Galagedera
Download or read book An Analytical Derivation of the Relation Between Idiosyncratic Volatility and Expected Stock Return written by Don U. A. Galagedera and published by . This book was released on 2009 with total page 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 Another Look at Idiosyncratic Volatility and Expected Returns by : Wei Huang
Download or read book Another Look at Idiosyncratic Volatility and Expected Returns written by Wei Huang and published by . This book was released on 2012 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We conduct comprehensive analyses of the return characteristics of stock portfolios sorted by idiosyncratic volatility. We show that the relationship between idiosyncratic volatility and expected stock returns depends on whether the portfolio is composed of stocks with extreme performance and whether the returns are computed over January and non-January months. The dominance of loser stocks in December and a reversal effect in the subsequent month lead to a positive relation between idiosyncratic volatility and portfolio returns in January. Whereas for other months, the impact of past winner stocks dominates and a negative relation is observed due to the return reversal of these winner stocks. Our study contributes to the understanding of how January effect and short-term return reversal can lead to different relation between idiosyncratic volatility and expected returns.
Book Synopsis Idiosyncratic Volatility, Measurement Frequency and Return Reversal by : Xiafei Li
Download or read book Idiosyncratic Volatility, Measurement Frequency and Return Reversal written by Xiafei Li and published by . This book was released on 2014 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines whether the negative relation between idiosyncratic volatility and expected returns is due to stock return reversals as argued by Fu (2009) and Huang, Liu, Rhee and Zhang (2010). Controlling the return reversal effect, it shows that stocks with different past returns have different relations. The positive relation is mainly driven by stocks with low past returns, while the negative relation is result from stocks with high past returns. Additionally, the relation is very sensitive to the measurement frequency of idiosyncratic volatility, and the daily realized idiosyncratic volatility measure is a better proxy for the expected idiosyncratic volatility than the monthly measure. By employing an exponential generalized autoregressive conditional heteroskedascticity-in-mean (EGARCH-M) model, this paper finds a strong positive relation between time-varying risk premium and idiosyncratic volatility for portfolios containing stocks with low past returns and small portfolio, and a negative relation for growth portfolio.
Book Synopsis Idiosyncratic Volatility and the Cross-Section of Expected Returns by : Turan G. Bali
Download or read book Idiosyncratic Volatility and the Cross-Section of Expected Returns written by Turan G. Bali and published by . This book was released on 2012 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. The results indicate that (i) data frequency used to estimate idiosyncratic volatility, (ii) weighting scheme used to compute average portfolio returns, (iii) breakpoints utilized to sort stocks into quintile portfolios, and (iv) using a screen for size, price and liquidity play a critical role in determining the existence and significance of a relation between idiosyncratic risk and the cross-section of expected returns. Portfolio-level analyses based on two different measures of idiosyncratic volatility (estimated using daily and monthly data), three weighting schemes (value-weighted, equal-weighted, inverse-volatility-weighted), three breakpoints (CRSP, NYSE, equal-market-share), and two different samples (NYSE/AMEX/NASDAQ and NYSE) indicate that there is no robust, significant relation between idiosyncratic volatility and expected returns.
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 Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets by : Lorne N. Switzer
Download or read book Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets written by Lorne N. Switzer and published by . This book was released on 2015 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-examines the link between idiosyncratic risk and expected returns for a large sample of firms in both developed and emerging markets. Recent studies using Fama-French three-factor models have shown a negative relationship between idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's stock returns for a sample of both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity risk component. Using a five-factor model, the results suggest that idiosyncratic risk does not play a role on stock returns for most of the developed markets analyzed. In contrast, the paper shows, for the first time, that idiosyncratic risk is positively related to month-ahead expected returns for many emerging markets for this model.
Book Synopsis Three Essays on Stock Market Volatility by : Chengbo Fu
Download or read book Three Essays on Stock Market Volatility written by Chengbo Fu and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on stock market volatility. In the first essay, we show that investors will have the information in the idiosyncratic volatility spread when using two different models to estimate idiosyncratic volatility. In a theoretical framework, we show that idiosyncratic volatility spread is related to the change in beta and the new betas from the extra factors between two different factor models. Empirically, we find that idiosyncratic volatility spread predicts the cross section of stock returns. The negative spread-return relation is independent from the relation between idiosyncratic volatility and stock returns. The result is driven by the change in beta component and the new beta component of the spread. The spread-relation is also robust when investors estimate the spread using a conditional model or EGARCH method. In the second essay, the variance of stock returns is decomposed based on a conditional Fama-French three-factor model instead of its unconditional counterpart. Using time-varying alpha and betas in this model, it is evident that four additional risk terms must be considered. They include the variance of alpha, the variance of the interaction between the time-varying component of beta and factors, and two covariance terms. These additional risk terms are components that are included in the idiosyncratic risk estimate using an unconditional model. By investigating the relation between the risk terms and stock returns, we find that only the variance of the time-varying alpha is negatively associated with stock returns. Further tests show that stock returns are not affected by the variance of time-varying beta. These results are consistent with the findings in the literature identifying return predictability from time-varying alpha rather than betas. In the third essay, we employ a two-step estimation method to separate the upside and downside idiosyncratic volatility and examine its relation with future stock returns. We find that idiosyncratic volatility is negatively related to stock returns when the market is up and when it is down. The upside idiosyncratic volatility is not related to stock returns. Our results also suggest that the relation between downside idiosyncratic volatility and future stock returns is negative and significant. It is the downside idiosyncratic volatility that drives the inverse relation between total idiosyncratic volatility and stock returns. The results are consistent with the literature that investor overreact to bad news and underreact to good news.
Book Synopsis Analysis of Idiosyncratic Volatility Effect on Expected Return on Stock that Listed in Indonesia Stock Exchange in 2006-2010 by : Inav Chandra
Download or read book Analysis of Idiosyncratic Volatility Effect on Expected Return on Stock that Listed in Indonesia Stock Exchange in 2006-2010 written by Inav Chandra and published by . This book was released on 2013 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research classified as asset pricing studies that conducted to identify the effect of idiosyncratic risk and expected return in Indonesia Stock Exchange (ISE). The idiosyncratic risk is proxy by idiosyncratic volatility, realized and expected idiosyncratic volatility, as a natural proxy for this risk that only found in individual securities. The realized idiosyncratic volatilities are estimated with direct decomposition method using Fama-French Three Factor model as systematic factor. Then, the expected idiosyncratic volatilities are estimated based on EGARCH model since the idiosyncratic volatilities are time-varying. We use Fama-Macbeth cross sectional regression to identify the effect of effect of idiosyncratic risk n expected return.By using data from listed company in ISE period 2006-2010, the result shows that the contemporaneous effect of realized idiosyncratic volatility on return is significantly positive. We also find that the effect of lagged idiosyncratic volatility on return is significantly positive. Last, we find that the effect of expected idiosyncratic volatility on return is significantly positive where this result can draw inference of the relation between idiosyncratic risk and expected return.
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 Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns by : Nicole Branger
Download or read book Idiosyncratic Volatility, Its Expected Variation, and the Cross-Section of Stock Returns written by Nicole Branger and published by . This book was released on 2019 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that the widely documented negative relation between idiosyncratic volatility (IVOL) and expected returns can be explained by the mean reversion of stocks' idiosyncratic volatilities. We use option-implied information to extract the mean reversion speed of IVOL in an almost model-free fashion. This allows us to identify stocks for which past IVOL is a bad proxy for expected IVOL. These stocks solely drive the negative relation, and a long--short portfolio earns a monthly risk-adjusted return of 2.74%, on average. In a horse race, the mean reversion speed is superior to prominent competing explanations of the IVOL puzzle.
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 Implied Idiosyncratic Volatility and Stock Return Predictability by : Cesario Mateus
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.
Book Synopsis Idiosyncratic Volatility, Conditional Liquidity and Stock Returns by : Juliana Malagon
Download or read book Idiosyncratic Volatility, Conditional Liquidity and Stock Returns written by Juliana Malagon and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is strong evidence showing that stocks with higher levels of idiosyncratic risk provide relatively lower returns than stocks with lower levels of it. This paper points out that this negative idiosyncratic risk - expected returns relation is not pervasive over time, and provides a plausible explanation for its time-varying nature. Our results suggest that following recessions, the conditional pricing of liquidity creates a correction in prices of the high idiosyncratic volatility stocks that persists up to 10 months. As a result, the negative relation between idiosyncratic risk and expected returns is not observed following recessions.
