Cross-Sectional Determinants of Expected Returns PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Cross-Sectional Determinants of Expected Returns PDF full book. Access full book title Cross-Sectional Determinants of Expected Returns by Michael J. Brennan. Download full books in PDF and EPUB format.
Author: Michael J. Brennan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
We analyze the relation between equity returns, risk, and a rich set of security characteristics that includes institutional ownership, Samp;P 500 index membership, analyst following, and dispersion in analyst forecasts, in addition to previously examined variables such as the book-to-market ratio, firm size, the bid-ask spread, and lagged returns. Our primary objective is to determine whether these characteristics have marginal explanatory power relative to the Connor and Korajczyk (1988) risk factors. We also compare the different approaches that have been used to test asset pricing models against specific alternatives. We find that inferences are extremely sensitive to the sorting criteria used for portfolio formation, so that results based on regressions using portfolio returns should be interpreted with caution. Fama-MacBeth type regressions for individual securities suggest some new findings: risk-adjusted stock returns show a puzzling negative (and strongly significant) relation to the bid-ask spread, a negative relation with both size and share turnover, and a positive relation with both Samp;P 500 membership and analyst following. However, previously noted book-to-market and size effects are eliminated once account is taken of the above characteristics.
Author: Michael J. Brennan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
We analyze the relation between equity returns, risk, and a rich set of security characteristics that includes institutional ownership, Samp;P 500 index membership, analyst following, and dispersion in analyst forecasts, in addition to previously examined variables such as the book-to-market ratio, firm size, the bid-ask spread, and lagged returns. Our primary objective is to determine whether these characteristics have marginal explanatory power relative to the Connor and Korajczyk (1988) risk factors. We also compare the different approaches that have been used to test asset pricing models against specific alternatives. We find that inferences are extremely sensitive to the sorting criteria used for portfolio formation, so that results based on regressions using portfolio returns should be interpreted with caution. Fama-MacBeth type regressions for individual securities suggest some new findings: risk-adjusted stock returns show a puzzling negative (and strongly significant) relation to the bid-ask spread, a negative relation with both size and share turnover, and a positive relation with both Samp;P 500 membership and analyst following. However, previously noted book-to-market and size effects are eliminated once account is taken of the above characteristics.
Author: Thanos Verousis
Publisher:
ISBN:
Category :
Languages : en
Pages : 33
Get Book Here
Book Description
This study investigates whether the cross-sectional dispersion of stock returns, which reflects the aggregate level of idiosyncratic risk in the market, represents a priced state variable. We find that stocks with high sensitivities to dispersion offer low expected returns. Furthermore, a zero-cost spread portfolio that is long (short) in stocks with low (high) dispersion betas produces a statistically and economically significant return, after accounting for its exposure to other systematic risk factors. Dispersion is associated with a significantly negative risk premium in the cross-section (-1.32% per annum) which is distinct from premia commanded by a set of alternative systematic factors. These results are robust to a wide set of stock characteristics, market conditions, and industry groupings.
Author: Peter Carman
Publisher: Routledge
ISBN: 9781884964718
Category : Business & Economics
Languages : en
Pages : 386
Get Book Here
Book Description
First Published in 1997. Routledge is an imprint of Taylor & Francis, an informa company.
Author: Turan G. Bali
Publisher: John Wiley & Sons
ISBN: 1118589475
Category : Business & Economics
Languages : en
Pages : 512
Get Book Here
Book Description
“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: George Leledakis
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Stephen Satchell
Publisher: Elsevier
ISBN: 0080550673
Category : Business & Economics
Languages : en
Pages : 299
Get Book Here
Book Description
Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
Author: AICPA
Publisher: John Wiley & Sons
ISBN: 1945498870
Category : Business & Economics
Languages : en
Pages : 800
Get Book Here
Book Description
Updated for new accounting and auditing guidance issued, this valuable tool provides hundreds of high quality disclosure examples from carefully selected U.S. companies of different sizes, across industries such as banking, credit and insurance, communication services, and healthcare from such organizations as Scotts Miracle-Gro, Coca-Cola, Caterpillar, and BB&T. Illustrations of the most important, immediate, and challenging disclosures, such as derivatives and hedging, consolidations, and fair value measurement are provided. Hot topics include statement of cash flows, going concern, and business combinations and intangibles. This edition also provides clear, direct guidance to help you understand and comply with all significant reporting requirements and detailed indexes to help you quickly find exactly what you need.
Author: Fangzhou Huang
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
In this thesis, we investigate the relationship between the US stock returns and downside risk in a cross-sectional context. When the classic market model with a moving window approach is adopted, downside risk estimated coefficients exhibit a positive impact on stock returns. However, when two other non-linear time-varying models; the cuiic piecewise polynomial function (CPPF) and the Fourier Flexible Form (FFF) models are adopted, downside risk estimated coefficients show a negative impact on stock returns, Cross-sectinally, the reisk estimated coefficients of the town non-linear models produce a much better fit than the classic market model. The predictive power for future stock returns of downside risk estimated coefficients are found to be weak. Two more risk factors: commodityh market risk and Aruoba-Diebold-Scotti (ADS) business condition index risk (both downside and upside versions thereof), are shown to have a significant effect on stock returns.
Author: Peter Hecht
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
Get Book Here
Book Description
This paper provides the first comprehensive study of expected firm (unlevered equity) returns. After accounting for the debt component of the firm return, I find that many of the cross sectional determinants of expected equity returns, such as the book-to-market ratio (value) and recent past equity returns (momentum), are substantially less powerful in explaining expected firm returns. In general, my results suggest that Modigliani and Miller (1958) capital structure effects, not the pricing of the firm's entire asset base, play a major role in understanding many asset pricing regularities observed in the equity markets.
Author: Wayne Ferson
Publisher: MIT Press
ISBN: 0262039370
Category : Business & Economics
Languages : en
Pages : 497
Get Book Here
Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
