Download or read book Exploring the Factors that Explain the Cross section Variation of Unexpected Returns in the Athens Stock Exchange written by Evangelos Karanikas and published by . This book was released on 1997 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Evidence on the Characteristics of Cross Sectional Variation in Stock Returns written by Kent D. Daniel and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Firm sizes and book-to-market ratios are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that the association between these characteristics and returns arises because the characteristics are proxies for non-diversifiable factor risk. In contrast, the evidence in this paper indicates that the return premia on small capitalization and high book-to-market stocks does not arise because of the co-movements of these stocks with pervasive factors. It is the characteristics rather than the covariance structure of returns that appear to explain the cross-sectional variation in stock returns.
Download or read book Evidence on the Characteristics of Cross Sectional Variation in Stock Returns written by and published by . This book was released on 1996 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Firm size and book-to-market ratios are both highly correlated with the returns of common stocks. Fama and French (1993) have argued that the association between these firm characteristics and their stock returns arises because size and book-to-market ratios are proxies for non-diversifiable factor risk. In contrast, the evidence in this paper indicates that the return premia on small capitalization and high book-to-market stocks does not arise because of the co-movements of these stocks with pervasive factors. It is the firm characteristics and not the covariance structure of returns that explain the cross-sectional variation in stock returns.
Download or read book The Role of Realized Volatility in the Athens Stock Exchange written by Dimitrios D. Thomakos and published by . This book was released on 2009 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on assessing the connection between realized volatility and returns through a multi-factor asset pricing model. In particular, we find strong evidence on the existence of a volatility feedback effect and a leverage effect, and on the existence of asymmetries between lagged returns and volatility. Furthermore, we examine the cross-sectional distribution of unconditional loadings on the realized risk factor(s) for different sets of characteristics-sorted common stock portfolios. We find that realized risk is a significantly priced factor in A.S.E. and its high explanatory power for the cross-section of portfolio average returns is independent of any return variation related to the market (CAPM) or size and book-to-market (Fama-French) factors. We discuss our findings in the context of the recent literature on realized volatility and feedback effects, as well as the literature on the pricing power of realized risk.
Download or read book Cross Sectional Estimation of Stock Returns in Small Markets written by George N. Leledakis and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is an investigation into the cross-sectional determinants of stock returns in a small market - the Athens Stock Exchange - where the Fama and French portfolio grouping procedure that is normally used to counter the error in variables problem in estimating beta is problematic due to the small number of stocks. A maximum likelihood technique is applied, similar to that developed by Litzenberger and Ramaswamy (Journal of Financial Economics, 7, 163-95, 1979), which is arguably a better procedure than the portfolio grouping method even for investigating large (developed) markets. A further empirical problem that was addressed was the possibility that the results were being driven by the 'January effect'. The findings for the Athens market suggest that there is only one substantive variable in explaining the cross-sectional variation of market and that is market equity ME (which captures a size effect).
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 ...
Download or read book The Cross Section of Average Stock Returns of the Athens Stock Exchange written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book What Explains the Variance of Prices and Returns Time series Vs Cross section written by Denis Biangolino Chaves and published by . This book was released on 2010 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the relative importance of discount rates and cash flows with a focus on the differences between time-series and cross-sectional variance tests. I show that the following holds for the market, different types of portfolios, and individual stocks: (a) changes in expected returns drive the majority of the time-series volatility in price ratios and unexpected returns, and (b) differences in expected cash flows generate most of the cross-sectional variance in valuations and unexpected returns. Contrary to previous results in the literature, I conclude that individual stocks or portfolios look similar to the market. These findings are robust to short- and long-run regressions and hold when using dividends or (clean surplus accounting) earnings as cash flows. Finally, I present a simple present-value model with latent expected returns and dividend growth rates that explains most of these results.
Download or read book Essays on the Cross Section of Stock Returns written by Yong Wang and published by . This book was released on 2005 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many factor models, with a variety of conditioning variables, have been proposed to explain cross-sectional returns. In chapter 2, we run a horse race among several proposed models. The purpose is to better understand which factors, in combination with which conditioning variables, explain the cross section of returns better, and to seek an economic interpretation of the specifications that appear most promising. We find that a consumption growth factor, conditioning on lagged business income growth, is the most successful in explaining cross sectional variation of average quarterly returns in the 25 Fama-French portfolios.
Download or read book A Comparison of Factor Models for Explaining the Cross Section of Stock Returns written by Yong Wang and published by . This book was released on 2005 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We run a horse race among eight proposed factors and eight proposed conditioning variables for explaining the cross section of stock returns. The purpose is to better understand which factors, in combination with which conditioning variables, seem robust in explaining cross-sectional data, and to seek an economic interpretation of the specifications that appear most promising. We find that a consumption growth factor, conditioning on lagged business income growth, is the most successful in explaining cross sectional variation of average quarterly returns in the 25 Fama-French portfolios.
Download or read book Testing the Relation between Price to Earnings Ratio and Stock Returns in the Athens Stock Exchange written by Lambros Stefanis and published by . This book was released on 2014 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market anomalies have always been an object of research by many scholars and financial professionals. Among others, Basu (1997), Fama and French (1992), Jaffe, et.al. (1989), and Lakonishok, et.al. (1994) documented the existence of P/E effect as market inefficiency, in the US and UK markets at different periods of time. Our research showed that the P/E phenomenon also exists in the Athens Stock Exchange (ASE). In respect to our resulting evidence, the ratio is found to be negatively related to subsequent equity performance. Furthermore, accounting variables such as market value and earnings growth play an important role in the explanation of the cross- sectional variation of stock returns. The size-effect as it appears in literature, is found to hold for firms listed on ASE. The resulting evidence presented industry as being an indicative factor of such accounting variables, as well as, past market returns to be negatively related to subsequent stock performance. We could not verify the existence of P/E effect on firms listed on ASE using the extrapolation model of Lakonishok, et.al. (1994). However, our results are consistent with the overreaction hypothesis of De Bondt and Thaler (1985, 1987) in relation to news announcements.
Download or read book The Cross Section of Common Stock Returns written by Donald B. Keim and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A growing number of empirical studies suggest that betas of common stocks do not adequately explain cross-sectional differences in stock returns. Instead, a number of other variables (e.g., size, ratio of book to market, earnings/price) that have no basis in extant theoretical models seem to have significantly predictive ability. Some interpret the findings as evidence of market efficiency. Others argue that the Capital Asset Pricing Model is an incomplete description of equilibrium price formation and these variables are proxies for additional risk factors. In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other results, that although the return premia associated with these ad hoc variables are significant in most international stock markets, the premia are uncorrelated across markets. The accumulating evidence prompts the following question: If these return premia occur primarily in January and are uncorrelated across major international equity markets, is it reasonable to characterize them as compensation for risk?
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:
Download or read book The Coskewness Puzzle in the Cross Section of Industry Portfolio Returns written by Valerio Potì and published by . This book was released on 2006 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: I derive the beta-pricing representation of Harvey and Siddique (2000) conditional 3M-CAPM and demonstrate the restrictions that it imposes on a quadratic market factor model. I confirm that, while the latter is surprisingly successful at capturing the cross-sectional variation of the returns on the Fama and French (1995) 30 US industry-sorted portfolios, the 3M-CAPM coskewness premium for the period 1952-2002 turns out to be too large for non satiation, risk aversion and non-increasing absolute risk aversion to hold. I demonstrate however that a representative investor with this type of preferences would still find the market portfolio to be in sample more efficient than individual industry portfolios. I also show that Fama and French (1995) 3-factor model cannot match the explanatory power of a quadratic market factor model for the cross section of industry-sorted portfolio returns. Thus, I propose to use an APT-type quadratic market factor model with an upper bound on the volatility of the implied stochastic discount factor. This approach allows the explanatory power of the quadratic specification to be salvaged yet avoiding fitting unexpected extreme outcomes rather then pricing patterns.
Download or read book Idiosyncratic Volatility and Cross Section of Stock Returns written by Prashant Sharma and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines the cross-sectional pricing ability of idiosyncratic volatility (IV) in Indian stock market and investigates the relationship amongst expected idiosyncratic volatility (EI), unexpected idiosyncratic volatility (UI), and cross-section of stocks returns. The study uses ARIMA (2, 0, 1) model to IV into EI and UI. The stocks returns are regressed on IV, EI and UI using Newey-West (1987) corrections, in order to investigate their empirical relationship. The study finds that IV is positively related with stock returns. Further the IV significantly explains the cross-section of stock returns in Indian context. After imposing control over UI, as it is highly correlated with unexpected returns, the inter-temporal relationship between EI and expected returns turns out to be positive.
Download or read book Excess Returns in the Cross Section of US Equities written by Hesu Yang and published by . This book was released on 2013 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a detailed investigation of interaction effects, calendar and time-of-day effects, and industry-aggregation returns of various cross-sectional biases in the literature using a WLS Fama-Macbeth regression methodology on daily returns in the US equity markets from 1982 to 2011 and on intraday returns from 1993 to 2007. Among our findings regarding return effects are that 1) the reversal-momentum-reversal pattern in the short-, medium-, and long-term is highly variable by month, that 2) the industry momentum effect, as initially reported in Moskowitz and Grinblatt (1999) has largely disappeared according to the given methodology, and that 3) while intraday cross-sectional return variation displays periodicity effects as described by Heston, Korajczyk and Sadka (2010), the return structure varies significantly by time of day, unlike their report. Additionally, we also find that the “linearity” of a stock's past returns, as well as the skewness of the returns, have power in predicting the cross-section of stock returns; the results for skewness provide some empirical support for the results of Barberis and Huang (2008). For the size, value, risk, and turnover factors that we test, returns are generally much stronger in January than in other months, although industry aggregates general show little predictive power (with a few exceptions), echoing the results of Asness, Porter, and Stevens (2000). Finally, we implement a testing scheme that evaluates returns to portfolios that capture some of the pricing biases, taking into account various real-world constraints and trading costs. We find that 1) there are significant risk-adjusted returns to semi-active “structured” portfolios that arbitrage the noted biases (net of trading costs, given the constraints), especially after 2002, but that 2), using a short-scale time frame for calculating IR encourages benchmark hugging and suggests a semi-passive portfolio over active portfolios.
Download or read book The Cross Sectional Determinants of Returns written by Ana Paula Serra and published by . This book was released on 2008 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper looks at the cross-section of stock returns for the particular case of emerging markets. For each of 21 emerging markets I investigate the role of a set of a priori specified factors in the cross-section of returns, and subsequently assess whether the important factors are common. I use new data on emerging markets' individual stocks from the Emerging Markets Data Base. My results indicate that the most important pricing factors are common to the emerging markets in my sample, and that these important factors are similar to those identified for mature markets. Among the top six factors are technical factors and stock price level attributes. The payoffs to these factors are not correlated suggesting that even if investors across markets elect similar factors to price assets, those factors' risk premia are local.
