My paper investigates in which periods the idiosyncratic volatility anomaly is observable, and the trend in recent years. It uses a graphical methodology that allows the reader to assess the effects of different starting and ending months. Plots for the value-weighted portfolio show that near the end of the sample period, the Ang et al. (2006) anomaly either attenuates or disappears. Consistent with Bali and Cakici (2008), the effect is weaker and insignificant for the equal-weighted portfolio. Using 5F and 6F benchmark return models shows similar results that differ quantitatively, but not qualitatively.
{"title":"Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect","authors":"Chaehyun Pyun","doi":"10.1561/104.00000095","DOIUrl":"https://doi.org/10.1561/104.00000095","url":null,"abstract":"My paper investigates in which periods the idiosyncratic volatility anomaly is observable, and the trend in recent years. It uses a graphical methodology that allows the reader to assess the effects of different starting and ending months. Plots for the value-weighted portfolio show that near the end of the sample period, the Ang et al. (2006) anomaly either attenuates or disappears. Consistent with Bali and Cakici (2008), the effect is weaker and insignificant for the equal-weighted portfolio. Using 5F and 6F benchmark return models shows similar results that differ quantitatively, but not qualitatively.","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67076039","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}
Pastor and Stambaugh’s (PS 2003) aggregate liquidity innovations can be closely replicated, as can their traded factor based on historically estimated liquidity betas, which performs even stronger out of sample. This factor’s performance is highly sensitive to construction details, however, and exhibits significantly weaker performance when rebalanced at its natural monthly frequency, or when constructed using either more or less extreme sorts. Their predicted liquidity risk factor is more difficult to replicate, and difficult to interpret because characteristics chosen to predict liquidity risk introduce mechanical relations to other known anomalies. Contrary to the claims of PS, liquidity risk appears essentially unrelated to momentum. JEL classification: G11, G12.
{"title":"Liquidity Risk and Asset Pricing","authors":"Hongtao Li, Robert Novy-Marx, Mihail Velikov","doi":"10.1561/104.00000076","DOIUrl":"https://doi.org/10.1561/104.00000076","url":null,"abstract":"Pastor and Stambaugh’s (PS 2003) aggregate liquidity innovations can be closely replicated, as can their traded factor based on historically estimated liquidity betas, which performs even stronger out of sample. This factor’s performance is highly sensitive to construction details, however, and exhibits significantly weaker performance when rebalanced at its natural monthly frequency, or when constructed using either more or less extreme sorts. Their predicted liquidity risk factor is more difficult to replicate, and difficult to interpret because characteristics chosen to predict liquidity risk introduce mechanical relations to other known anomalies. Contrary to the claims of PS, liquidity risk appears essentially unrelated to momentum. JEL classification: G11, G12.","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2019-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47498239","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}
Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: Fund Industry: What Do the Outliers in the Data Tell Us?: A Response
主动管理型共同基金行业的规模不经济:基金行业:数据中的异常值告诉我们什么?:回应
{"title":"Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: Fund Industry: What Do the Outliers in the Data Tell Us?: A Response","authors":"Harrison G. Hong, Wenxi Jiang","doi":"10.1561/104.00000066","DOIUrl":"https://doi.org/10.1561/104.00000066","url":null,"abstract":"Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: Fund Industry: What Do the Outliers in the Data Tell Us?: A Response","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000066","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45848233","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}
{"title":"Fund of Funds Selection of Mutual Funds","authors":"E. Elton, M. Gruber, André de Souza","doi":"10.1561/104.00000056","DOIUrl":"https://doi.org/10.1561/104.00000056","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000056","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44800368","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}
This paper analyzes whether rm volatility can explain the negative relation between the G-Index and corporate loan spreads found by previous research. After controlling for rm volatility, we nd no statistically signicant linear relation between the
{"title":"Takeover Defense Provisions, Firm Volatility, and the Cost of Corporate Loan Finance","authors":"L. Gaul, Jonathan Jones, Pinar Uysal","doi":"10.1561/104.00000054","DOIUrl":"https://doi.org/10.1561/104.00000054","url":null,"abstract":"This paper analyzes whether rm volatility can explain the negative relation between the G-Index and corporate loan spreads found by previous research. After controlling for rm volatility, we nd no statistically signicant linear relation between the","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":"1 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000054","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41536001","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}
{"title":"Shareholder Rights Do Affect the Cost of Bank Loan","authors":"S. Chava, Dmitry Livdan, A. Purnanandam","doi":"10.1561/104.00000060","DOIUrl":"https://doi.org/10.1561/104.00000060","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000060","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41774376","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}
{"title":"Why Do Firms Issue Convertible Bonds?","authors":"Ming Dong, Marie Dutordoir, C. Veld","doi":"10.1561/104.00000048","DOIUrl":"https://doi.org/10.1561/104.00000048","url":null,"abstract":"","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000048","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45802030","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}
Kathryn L. Dewenter, Catherine Schrand, Clare H. Wang
The Impact of Currency Risk on US MNCs: New Evidence From Returns and Cross-Border Investment Around Currency Crises
货币风险对美国跨国公司的影响:来自货币危机前后的回报和跨境投资的新证据
{"title":"The Impact of Currency Risk on US MNCs: New Evidence From Returns and Cross-Border Investment Around Currency Crises","authors":"Kathryn L. Dewenter, Catherine Schrand, Clare H. Wang","doi":"10.1561/104.00000044","DOIUrl":"https://doi.org/10.1561/104.00000044","url":null,"abstract":"The Impact of Currency Risk on US MNCs: New Evidence From Returns and Cross-Border Investment Around Currency Crises","PeriodicalId":44331,"journal":{"name":"Critical Finance Review","volume":" ","pages":""},"PeriodicalIF":1.6,"publicationDate":"2018-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1561/104.00000044","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48317422","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}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：