Return Reversals, Idiosyncratic Risk, and Expected Returns

Released on by Wei Huang
preview-18

  • Return Reversals, Idiosyncratic Risk, and Expected Returns Book Detail

  • Author : Wei Huang
  • Release Date : 2009
  • Publisher :
  • Genre :
  • Pages : 37
  • ISBN 13 :
  • File Size : 17,17 MB
DOWNLOAD BOOK

Return Reversals, Idiosyncratic Risk, and Expected Returns by Wei Huang PDF Summary

Book Description: The empirical evidence on the cross-sectional relation between idiosyncratic risk and expected stock returns is mixed. We demonstrate that the omission of the previous month's stock returns can lead to a negatively biased estimate of the relation. The magnitude of the omitted variable bias depends on the approach to estimating the conditional idiosyncratic volatility. Although a negative relation exists when the estimate is based on daily returns, it disappears after return reversals are controlled for. Return reversals can explain both the negative relation between value-weighted portfolio returns and idiosyncratic volatility and the insignificant relation between equal-weighted portfolio returns and idiosyncratic volatility. In contrast, there is a significantly positive relation between the conditional idiosyncratic volatility estimated from monthly data and expected returns. This relation remains robust after controlling for return reversals.

Disclaimer: www.yourbookbest.com does not own Return Reversals, Idiosyncratic Risk, and Expected Returns books pdf, neither created or scanned. We just provide the link that is already available on the internet, public domain and in Google Drive. If any way it violates the law or has any issues, then kindly mail us via contact us page to request the removal of the link.

Empirical Asset Pricing

Empirical Asset Pricing

File Size : 74,74 MB
Total View : 5263 Views
DOWNLOAD

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be

Idiosyncratic Risk and Expected Returns

Idiosyncratic Risk and Expected Returns

File Size : 61,61 MB
Total View : 7382 Views
DOWNLOAD

This dissertation, "Idiosyncratic Risk and Expected Returns: an Investigation in the Context of Real Estate Investment in China" by Wei, Liu, 刘巍, was obtain

Idiosyncratic Volatility and Stock Returns

Idiosyncratic Volatility and Stock Returns

File Size : 16,16 MB
Total View : 7708 Views
DOWNLOAD

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the capital asset pricing model (CAPM) which i