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Market Moment Spreads And The Cross Section Of Expected Returns
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Book Synopsis Market Moment Spreads and the Cross Section of Expected Returns by : Xinfeng Ruan
Download or read book Market Moment Spreads and the Cross Section of Expected Returns written by Xinfeng Ruan and published by . This book was released on 2019 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we extend the variance risk premium (VRP) in Bollerslev and Tauchen and Zhou (2009) into the moment spreads. Rather than analyzing the times-series market returns predictability, we newly investigate the predictability of market moment spreads in the cross section of expected returns, taking the case of the energy market. By using univariate and multivariate portfolio sorts, we find strong evidence that the kurtosis spread (KTS) has a significantly negative risk premium. The cross-sectional regressions document that there is a significantly negative relation between the KTS betas and the future energy stock returns. We cannot find supportive evidence that the VRP and the skewness spread (SKS) can predict the cross section of the future stock returns in the energy sector. Robustness tests further confirm our observations.
Book Synopsis The Cross-section of Stock Returns by : Stijn Claessens
Download or read book The Cross-section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Higher Idiosyncratic Moments and the Cross-section of Expected Stock Returns by : John Byong Tek Lee
Download or read book Higher Idiosyncratic Moments and the Cross-section of Expected Stock Returns written by John Byong Tek Lee and published by . This book was released on 2008 with total page 250 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 The Cross-Section of Stock Returns by : Stijn Claessens
Download or read book The Cross-Section of Stock Returns written by Stijn Claessens and published by . This book was released on 2016 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several factors besides m ...
Book Synopsis The Cross-Section of Stock Returns: Evidence from Emerging Markets by : Susmita Dasgupta
Download or read book The Cross-Section of Stock Returns: Evidence from Emerging Markets written by Susmita Dasgupta and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market Frictions, Price Delay, and the Cross-Section of Expected Returns by : s J. Moskowitz
Download or read book Market Frictions, Price Delay, and the Cross-Section of Expected Returns written by s J. Moskowitz and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We parsimoniously characterize the severity of market frictions affecting a stock using the delay with which its price responds to information. The most delayed firms command a large return premium not explained by size, liquidity, or microstructure effects. Moreover, delay captures part of the size effect, idiosyncratic risk is priced only among the most delayed firms, and earnings drift is monotonically increasing in delay. Frictions associated with investor recognition appear most responsible for the delay effect. The very small segment of delayed firms, comprising only 0.02% of the market, generates substantial variation in average returns, highlighting the importance of frictions.
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 Parallels between the Cross-Sectional Predictability of Stock and Country Returns by : Clifford S. Asness
Download or read book Parallels between the Cross-Sectional Predictability of Stock and Country Returns written by Clifford S. Asness and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Book-to-market ratio (BE/ME), market equity (ME), and one- year past return (momentum) (MOM) help explain the cross- section of expected individual stock returns within the U.S. and within other countries. Examining equity markets as a whole, in contrast to individual stocks, we uncover strong parallels between the explanatory power of these variables for individual stocks and for countries. First, country versions of BE/ME, ME, and MOM help explain the cross-section of expected country returns. Second, the January seasonal in ME's explanatory power for stocks also appears for countries. Third, portfolios formed by sorting stocks and countries on these variables produce similar patterns in profitability before and after the portfolio formation date.
Book Synopsis Market Frictions, Price Delay, and the Cross-Section of Expected Returns by : Kewei Hou
Download or read book Market Frictions, Price Delay, and the Cross-Section of Expected Returns written by Kewei Hou and published by . This book was released on 2014 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We parsimoniously characterize the severity of market frictions affecting a stock using the delay with which its share price responds to information. The most severely delayed firms command a large return premium that captures the size effect and half the value premium. Moreover, idiosyncratic risk is priced only among the most delayed firms. These results are not explained by other sources of return premia, microstructure, or pure liquidity effects, but appear most consistent with investor recognition and firm neglect. The very small segment of neglected firms (less than 0.02% of the market) captures a sizeable amount of cross-sectional variation in average 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 Asset Pricing Theory by : Costis Skiadas
Download or read book Asset Pricing Theory written by Costis Skiadas and published by Princeton University Press. This book was released on 2009-02-09 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Book Synopsis The Cross-Section of Stock Returns by : Dasgupta
Download or read book The Cross-Section of Stock Returns written by Dasgupta and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Stock Market Anomalies and the Cross-section of Expected Returns by : Jochim Georg Lauterbach
Download or read book Essays on Stock Market Anomalies and the Cross-section of Expected Returns written by Jochim Georg Lauterbach and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Cross Section of Expected Returns and Its Relation to Past Returns by : Mark Grinblatt
Download or read book The Cross Section of Expected Returns and Its Relation to Past Returns written by Mark Grinblatt and published by . This book was released on 1999* with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Theory and Management by : Greg Filbeck
Download or read book Portfolio Theory and Management written by Greg Filbeck and published by . This book was released on 2013 with total page 767 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title examines the foundations of portfolio management with the contributions of financial pioneers up to the latest trends. The book discusses portfolio theory and management both before and after the 2007-2008 financial crisis. It takes a global focus by highlighting cross-country differences and practices.
Book Synopsis Liquidity and Asset Prices by : Yakov Amihud
Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.