The Cross Section of Expected Stock Returns Revisited PDF Download
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Author: Jean-Paul Sursock
Publisher:
ISBN:
Category :
Languages : en
Pages : 122
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Book Description
Author: Jean-Paul Sursock
Publisher:
ISBN:
Category :
Languages : en
Pages : 122
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Book Description
Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28
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Book Description
Author: Jay A. Shanken
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Our examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9% per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equal-weighted market index. The relation between book-to-market equity and returns is weaker than that in Fama and French (1992a). We conjecture that book-to-market results using COMPUSTAT data are affected by a selection bias and provide indirect evidence.
Author: Eugene F. Fama
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 41
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Book Description
Author: J. Benson Durham
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 60
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Book Description
Author: S. P. Kothari
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 51
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Book Description
Author: Vinay Datar
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 17
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Book Description
Author: Jonathan Lewellen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Hui Guo
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 41
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Book Description
Author: Seyed Reza Tabatabaei Poudeh
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
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.
