Tools
Sorted by:
Try your query at:
 |
 |
 |
 |
 |
 |
Results 1 - 10
of
15,000
Expected stock returns and volatility
- 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
evidence that unexpected stock market returns are negatively related to the unexpected change in the volatility of stock returns. This negative relation provides indirect evidence of a positive relation between expected risk premiums and volatility. 1.
Illiquidity and stock returns: cross-section and time-series effects,
- 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
returns are negatively related over time to contemporaneous unexpected illiquidity. The illiquidity measure here is the average across stocks of the daily ratio of absolute stock return to dollar volume, which is easily obtained from daily stock data for long time series in most stock markets. Illiquidity
Stock Returns and the Term Structure
- Journal of Financial Economics
, 1987
"... (Article begins on next page) The Harvard community has made this article openly available. Please share how this access benefits you. Your story matters. ..."
Abstract
-
Cited by 570 (26 self)
- Add to MetaCart
(Article begins on next page) The Harvard community has made this article openly available. Please share how this access benefits you. Your story matters.
Liquidity Risk and Expected Stock Returns
, 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-stock
The cross-section of expected stock returns
- 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
Common Risk Factors in the Returns On Stocks And Bonds
- Journal of Financial Economics
, 1993
"... This paper identities five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors. related to maturity and default risks. Stock returns have s ..."
Abstract
-
Cited by 2237 (33 self)
- Add to MetaCart
This paper identities five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors. related to maturity and default risks. Stock returns have
Option pricing when underlying stock returns are discontinuous
- Journal of Financial Economics
, 1976
"... The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying ..."
Abstract
-
Cited by 1001 (3 self)
- Add to MetaCart
stock return dynamics can be described by a stochastic process with a continuous sample path. In this paper, an option pricing formula is derived for the more-general cast when the underlying stock returns are gcncrated by a mixture of both continuous and jump processes. The derived formula has most
The relationship between return and market value of common stocks
- 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
Using Daily Stock Returns: The Case of Event Studies
- Journal of Financial Economics
, 1985
"... This paper examines properties of daily stock returns and how the particular characteristics of these data affect event study methodologies. Daily data generally present few difficulties for event studies. Standard procedures are typically well-specified even when special daily data characteris-tics ..."
Abstract
-
Cited by 805 (3 self)
- Add to MetaCart
This paper examines properties of daily stock returns and how the particular characteristics of these data affect event study methodologies. Daily data generally present few difficulties for event studies. Standard procedures are typically well-specified even when special daily data characteris
A Long-Memory Property of Stock Market Returns and a New Model
- Journal of Empirical Finance
, 1993
"... A ‘long memory ’ property of stock market returns is investigated in this paper. It is found that not only there is substantially more correlation between absolute returns than returns them-selves, but the power transformation of the absolute return lrfl ” also has quite high autocorrel-ation for lo ..."
Abstract
-
Cited by 631 (18 self)
- Add to MetaCart
A ‘long memory ’ property of stock market returns is investigated in this paper. It is found that not only there is substantially more correlation between absolute returns than returns them-selves, but the power transformation of the absolute return lrfl ” also has quite high autocorrel-ation
Results 1 - 10
of
15,000
