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A New Look at Expected Stock Returns and Volatility 对预期股票回报率和波动性的新看法
IF 1.6
Critical Finance Review Pub Date : 2023-01-01 DOI: 10.1561/104.00000130
Russell P. Robins, G. P. Smith
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引用次数: 1
The Fu (2009) Positive Relation Between Idiosyncratic Volatility and Expected Returns is Due to Look-Ahead Bias Fu(2009)特质波动率与预期收益的正相关关系是由于前瞻性偏见
Critical Finance Review Pub Date : 2023-01-01 DOI: 10.1561/104.00000126
Seongkyu Gilbert Park, K. C. John Wei, Linti Zhang
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引用次数: 0
Better Performance of Mutual Funds with Lower R2’s Does Not Suggest that Active Management Pays R2较低的共同基金表现较好并不意味着主动管理有回报
IF 1.6
Critical Finance Review Pub Date : 2023-01-01 DOI: 10.1561/104.00000131
J. C. Matallín‐Sáez
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引用次数: 0
Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence 资产定价中的条件偏性:25年的样本外证据
Critical Finance Review Pub Date : 2023-01-01 DOI: 10.1561/104.00000134
Campbell R. Harvey, Akhtar Siddique
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引用次数: 0
The Cross-Section of Volatility and Expected Returns: Then and Now 波动性和预期收益的横截面:过去和现在
Critical Finance Review Pub Date : 2023-01-01 DOI: 10.1561/104.00000125
Andrew Detzel, Jefferson Duarte, Avraham Kamara, Stephan Siegel, Celine Sun
{"title":"The Cross-Section of Volatility and Expected Returns: Then and Now","authors":"Andrew Detzel, Jefferson Duarte, Avraham Kamara, Stephan Siegel, Celine Sun","doi":"10.1561/104.00000125","DOIUrl":"https://doi.org/10.1561/104.00000125","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135989076","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Expected Stock Market Returns and Volatility: Three Decades Later 股票市场预期收益和波动性:三十年后
IF 1.6
Critical Finance Review Pub Date : 2023-01-01 DOI: 10.1561/104.00000132
Haimanot Kassa, Feifei Wang, Yan Xuemin (Sterling)
{"title":"Expected Stock Market Returns and Volatility: Three Decades Later","authors":"Haimanot Kassa, Feifei Wang, Yan Xuemin (Sterling)","doi":"10.1561/104.00000132","DOIUrl":"https://doi.org/10.1561/104.00000132","url":null,"abstract":"We replicate the findings of French, Schwert, and Stambaugh (FSS 1987) almost exactly. Consistent with FSS, we find modest evidence of a positive relation between market risk premium and the expected market volatility and strong evidence of a negative relation between market excess returns and the unexpected change in market volatility during 1928-1984. These results persist during 1985-2018 and are robust to alternative data and model specifications. We extend the analysis to 23 developed countries and find qualitatively similar results. We show that the risk-return tradeoff is stronger during expansions than during recessions and does not vary significantly with investor sentiment.","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67075713","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Idiosyncratic Equity Risk Two Decades Later 二十年后的特殊股票风险
Critical Finance Review Pub Date : 2023-01-01 DOI: 10.1561/104.00000128
John Y. Campbell, Martin Lettau, Burton Malkiel, Yexiao Xu
{"title":"Idiosyncratic Equity Risk Two Decades Later","authors":"John Y. Campbell, Martin Lettau, Burton Malkiel, Yexiao Xu","doi":"10.1561/104.00000128","DOIUrl":"https://doi.org/10.1561/104.00000128","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135733760","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Has Idiosyncratic Volatility Increased? Not in Recent Times 特质波动率上升了吗?最近不是这样
Critical Finance Review Pub Date : 2023-01-01 DOI: 10.1561/104.00000127
Mardy Chiah, Philip Gharghori, Angel Zhong
{"title":"Has Idiosyncratic Volatility Increased? Not in Recent Times","authors":"Mardy Chiah, Philip Gharghori, Angel Zhong","doi":"10.1561/104.00000127","DOIUrl":"https://doi.org/10.1561/104.00000127","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"169 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135989077","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asset Pricing with Systematic Skewness: Two Decades Later 系统性偏倚的资产定价:二十年后
IF 1.6
Critical Finance Review Pub Date : 2023-01-01 DOI: 10.1561/104.00000133
D. Anghel, Petre Caraiani, Alina Roşu, Ioanid Roşu
{"title":"Asset Pricing with Systematic Skewness: Two Decades Later","authors":"D. Anghel, Petre Caraiani, Alina Roşu, Ioanid Roşu","doi":"10.1561/104.00000133","DOIUrl":"https://doi.org/10.1561/104.00000133","url":null,"abstract":"We reexamine the asset pricing performance of systematic skew-ness (“coskewness”), a risk factor in the three-moment CAPM model of Kraus and Litzenberger (1976). In an influential paper, Harvey and Siddique (2000) test a coskewness factor constructed by sorting stocks on past coskewness. We replicate and extend their paper. Overall, coskewness appears to be priced in the cross section of stocks, especially when using an alternative coskewness proxy like (i) the predicted systematic skewness ( PSS ) of Langlois (2020), where coskewness is predicted by various firm characteristics, or (ii) a modified PSS factor ( mPSS ) that uses only return-based characteristics.","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"114 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67075762","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Trend and Reversal of Idiosyncratic Volatility Revisited 特质波动率的趋势与反转
Critical Finance Review Pub Date : 2023-01-01 DOI: 10.1561/104.00000129
Markus Leippold, Michal Svatoň
{"title":"Trend and Reversal of Idiosyncratic Volatility Revisited","authors":"Markus Leippold, Michal Svatoň","doi":"10.1561/104.00000129","DOIUrl":"https://doi.org/10.1561/104.00000129","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135989078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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