On the Ex-Ante Cross-Sectional Relation between Risk and Return Using Option-Implied Information

2011 ◽  
Author(s):  
Ren-Raw Chen ◽  
Dongcheol Kim ◽  
Durga Panda
Keyword(s):  
Cross Sectional ◽  
Risk And Return ◽  
Ex Ante

The Information Content of Investors' Expectations for Risk and Return

2013 ◽  
Vol 03 (03n04) ◽  
pp. 1350017
Author(s):  
Thomas Berry ◽  
Keith Jacks Gamble
Keyword(s):  
Information Content ◽  
Personal Experience ◽  
Individual Investors ◽  
Cross Sectional ◽  
Risk And Return ◽  
Stock Performance ◽  
Limited Experience ◽  
Future Risk ◽  
The Cross

This study reveals the information content of individual investors' risk-adjusted return expectations. Although individual investors overestimate the performance of their stock purchases on an average, the cross-sectional variation in their risk-adjusted return expectations is predictive of future risk-adjusted stock performance. Stock purchases that investors expect to outperform the most do outperform the stock purchases that investors expect to outperform the least by an annualized alpha of 16%. The best performing stocks are those that investors with excellent experience expect to outperform the most while the worst performing stocks are those that investors with limited experience expect to outperform the least. The most experienced investors appear to be successfully using information gathered from personal experience with the company's products or services, contact with someone who works for or with the company on a regular basis, and proximity to the company's operations.

The Cross-Section of Cryptocurrency Risk and Return

2020 ◽  
Vol 89 (4) ◽  
pp. 7-28
Author(s):  
Steffen Günther ◽  
Christian Fieberg ◽  
Thorsten Poddig
Keyword(s):  
Cross Section ◽  
Cross Sectional ◽  
Risk And Return ◽  
Portfolio Returns ◽  
Time Period ◽  
Standard Deviations ◽  
The Cross

Summary: We analyze the cross-section of more than 1200 cryptocurrencies derived from 350 exchanges in the time period from January 2014 to June 2020. Specifically, we investigate whether well-known cross-sectional characteristics like beta (Fama/MacBeth (1973)), size (Banz (1981)) or momentum (Jegadeesh/Titman (1993)) – which have been intensively investigated in the equities literature – explain the cross-section of cryptocurrency returns. We apply the monotonic relationship (Mr.) test developed by Patton and Timmermann (2010) to test for dependencies between characteristics and average portfolio returns and standard deviations. We extend the existing literature on cryptocurrencies showing that there are various characteristics which are able to explain cryptocurrency risk and return. Zusammenfassung: Wir untersuchen den Querschnitt von über 1200 Kryptowährungen, gesammelt von 350 Handelsplätzen, in der Zeitspanne von Januar 2014 bis Juni 2020. Im speziellen untersuchen wir, ob weit verbreitete Charakteristika, wie Beta (Fama/MacBeth (1973)), Size (Banz (1981)) oder Momentum (Jegade‍esh/Titman (1993)) – die bereits intensiv in der Aktienliteratur untersucht werden – den Querschnitt der Kryptowährungsrenditen erklären können. Wir verwenden den Monotonic Relationship (MR) Test von Patton und Timmermann (2010) um auf Abhängigkeiten zwischen Charakteristika und durchschnittlichen Portfoliorenditen sowie Standardabweichungen zu testen. Wir erweitern die bestehende Literatur, indem wir zahlreiche Charakteristika identifizieren, die Risiko und Renditen von Kryptowährungen erklären können.

scholarly journals Bowman’s Risk-Return Paradox: Evidence From Eastern Countries

2021 ◽  
Vol 16 (1) ◽  
pp. 244-254
Author(s):  
Ngoc Cau Nguyen ◽  
Wei Ning ◽  
Albi Alikaj
Keyword(s):  
United States ◽  
Prospect Theory ◽  
United States Of America ◽  
The United States ◽  
Conventional Wisdom ◽  
Cross Sectional ◽  
Risk And Return ◽  
Risk Return ◽  
Longitudinal Associations ◽  
Generally True

Abstract While conventional wisdom has stated that greater risks typically bring greater rewards, many studies have shown that this is not generally true for the financial state of firms. This paradox, known as Bowman’s paradox has motivated studies to examine this relationship across different industries, periods, and nations. However, most of these studies have focused on Western countries such as Belgium and the United States of America. Therefore, this paper contributes to the literature by investigating the generalizability of Bowman’s paradox and prospect theory across three distinct Eastern countries. Data is collected from 10,623 firms located in China, Japan, and Vietnam. Cross- sectional and longitudinal associations between risk and return provided general support for Bowman’s paradox and prospect theory for the three Eastern countries. The results indicate that there is a general negative risk-return relationship for firms in these countries. Further analyses show that this relationship is stronger for firms performing below the industry median. This might suggest that firms that are in trouble usually take more risks. This relationship is strongest for firms in Japan, followed by firms in China and Vietnam, respectively.

If Government is so Villainous, How come Government Officials don't seem like Villains?

1994 ◽  
Vol 10 (1) ◽  
pp. 91-106 ◽  
Author(s):  
Daniel B. Klein
Keyword(s):  
Government Officials ◽  
Occupational Licensing ◽  
Cross Sectional ◽  
Ex Post ◽  
Ex Ante

At lunch one day a colleague and I had a friendly argument over occupational licensing. I attacked it for being anticompetitive, arguing that licensing boards raise occupational incomes by restricting entry, advertising, and commercialization. My colleague, while acknowledging anticompetitive aspects, affirmed the need for licensing on the grounds of protecting the consumer from frauds and quacks. In many areas of infrequent and specialized dealing, consumers are not able, ex ante or even ex post, to evaluate competence. I countered by suggesting voluntary means by which reputational problems might be handled and by returning to the offensive. I said that in fact the impetus for licensing usually comes from the practitioners, not their customers, and that licensing boards seldom devote their time to ferreting out incompetence but rather simply to prosecuting unlicensed practitioners. I mentioned cross-sectional findings, such as those on state licensure, prices, and occupational incomes. Overall, I characterized the professional establishment as a group of dastardly operators, who set the standards, write the codes, and enforce behavior to enhance their own material wellbeing - in brief, as venal rent-seekers.

scholarly journals Portfolio volatility of Islamic and conventional stock: The case of Indonesia stock market

2013 ◽  
Vol 2 (4) ◽  
pp. 54-73
Author(s):  
Aldrin Herwany ◽  
Erie Febrian
Keyword(s):  
Stock Market ◽  
Empirical Study ◽  
Value At Risk ◽  
Cross Sectional ◽  
Risk And Return ◽  
Multi Index ◽  
Index Model ◽  
Risk Return ◽  
Return Behavior ◽  
Daily Data

Conventional finance suggests that the higher the risk of an investment, the higher the return it should give. Nevertheless, whether Islamic stocks that offer alternative investment in the stock market suggest different risk-return relationship still needs to be investigated. This empirical study is aimed at assessing risk-return behavior of Islamic stocks. This study employs cross sectional data of portfolio developed using beta-rank and market capitalization, in which daily data will better reflect the real volatility. This study also measures volatility of both conventional and Islamic stocks using Value-at-Risk (VaR). To check whether Islamic stocks are immune from any impact of financial crisis, this study utilizes three periods of observation, i.e., before, during and after the 2008 crisis. This study assesses risk and return using Multi-index model, in which variables tested are the respective fundamental factors. Results of this study will provide more accurate approach in Islamic stocks analysis.

An examination of ex ante risk and return in the cross-section using option-implied information

2020 ◽  
Vol 26 (16) ◽  
pp. 1623-1645
Author(s):  
Dongcheol Kim ◽  
Ren-Raw Chen ◽  
Tai-Yong Roh ◽  
Durga Panda
Keyword(s):  
Cross Section ◽  
Risk And Return ◽  
Ex Ante ◽  
The Cross

Risk and Return in the U.S. Housing Market: A Cross-Sectional Asset-Pricing Approach

2006 ◽  
Vol 34 (4) ◽  
pp. 519-552 ◽  
Author(s):  
Susanne Cannon ◽  
Norman G. Miller ◽  
Gurupdesh S. Pandher
Keyword(s):  
Asset Pricing ◽  
Housing Market ◽  
Cross Sectional ◽  
Risk And Return ◽  
The U.S
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