Results 1 - 10 of 31,008

Implied volatility spreads and expected market returns

by Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas - Journal of Business and Economic Statistics , 2014
"... This article investigates the intertemporal relation between volatility spreads and expected returns on the aggregate stock market. We provide evidence for a significantly negative link between volatility spreads and expected returns at the daily and weekly frequencies. We argue that this link is dr ..."
Abstract - Cited by 5 (1 self) - Add to MetaCart
This article investigates the intertemporal relation between volatility spreads and expected returns on the aggregate stock market. We provide evidence for a significantly negative link between volatility spreads and expected returns at the daily and weekly frequencies. We argue that this link

On estimating the expected return on the market -- an exploratory investigation

by Robert C. Merton - JOURNAL OF FINANCIAL ECONOMICS , 1980
"... The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market retu ..."
Abstract - Cited by 490 (3 self) - Add to MetaCart
The expected market return is a number frequently required for the solution of many investment and corporate tinance problems, but by comparison with other tinancial variables, there has been little research on estimating this expected return. Current practice for estimating the expected market

Implied Volatility Spreads and Expected Market Returns Online Appendix

by unknown authors
"... To save space, we present some of our …ndings in the Online Appendix. In Section I, we investigate the intertemporal relation between various skewness measures and expected market returns. In Section II, we orthogonalize the implied volatility spread measures with respect to the implied variance, re ..."
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To save space, we present some of our …ndings in the Online Appendix. In Section I, we investigate the intertemporal relation between various skewness measures and expected market returns. In Section II, we orthogonalize the implied volatility spread measures with respect to the implied variance

Expected stock returns and volatility

by Kenneth R. French, G. William Schwert, Robert F. Stambaugh - Journal of Financial Economics , 1987
"... This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evid ..."
Abstract - Cited by 716 (10 self) - Add to MetaCart
This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also

Liquidity Risk and Expected Stock Returns

by Lubos Pastor, Robert F. Stambaugh , 2002
"... This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-sto ..."
Abstract - Cited by 629 (6 self) - Add to MetaCart
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual

The cross-section of expected stock returns

by Eugene F. Fama, Kenneth R. French - Journal of Finance , 1992
"... Your use of the JSTOR archive indicates your acceptance of JSTOR ' s Terms and Conditions of Use, available at ..."
Abstract - Cited by 2049 (25 self) - Add to MetaCart
Your use of the JSTOR archive indicates your acceptance of JSTOR ' s Terms and Conditions of Use, available at

Illiquidity and stock returns: cross-section and time-series effects,

by Yakov Amihud - Journal of Financial Markets , 2002
"... Abstract This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the cross-sectional positive return-illiquidity relationship. Also, stock ret ..."
Abstract - Cited by 864 (9 self) - Add to MetaCart
Abstract This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the cross-sectional positive return-illiquidity relationship. Also, stock

Market Efficiency, Long-Term Returns, and Behavioral Finance

by Eugene F. Fama , 1998
"... Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnor ..."
Abstract - Cited by 787 (6 self) - Add to MetaCart
Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre

The relationship between return and market value of common stocks

by Rolf W. Banz - Journal of Financial Economics , 1981
"... This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence ..."
Abstract - Cited by 791 (0 self) - Add to MetaCart
This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence

Noise Trader Risk in Financial Markets

by J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers, Robert J. Waldmann , 1989
"... We present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders ’ beliefs creates a risk in the price of the asset that deters rational ..."
Abstract - Cited by 894 (25 self) - Add to MetaCart
We present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders ’ beliefs creates a risk in the price of the asset that deters rational
Results 1 - 10 of 31,008