The Cross-Section Stock Return and Implied Covariance between Jumps and Diffusive Volatility

2013 ◽  
Author(s):  
Samuel Zeto
Keyword(s):  
Cross Section ◽  
Stock Return ◽  
The Cross

scholarly journals Labor Hiring, Investment, and Stock Return Predictability in the Cross Section

2014 ◽  
Vol 122 (1) ◽  
pp. 129-177 ◽  
Author(s):  
Frederico Belo ◽  
Xiaoji Lin ◽  
Santiago Bazdresch
Keyword(s):  
Cross Section ◽  
Stock Return ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
The Cross

Stock Return Asymmetry: Beyond Skewness

2019 ◽  
Vol 55 (2) ◽  
pp. 357-386 ◽  
Author(s):  
Lei Jiang ◽  
Ke Wu ◽  
Guofu Zhou ◽  
Yifeng Zhu
Keyword(s):  
Distribution Function ◽  
Stock Returns ◽  
Empirical Evidence ◽  
Cross Section ◽  
Stock Return ◽  
Central Moment ◽  
The Third ◽  
The Cross ◽  
Asymmetry Measures ◽  
The Relationship

In this article, we propose two asymmetry measures for stock returns. Unlike the popular skewness measure, our measures are based on the distribution function of the data rather than just the third central moment. We present empirical evidence that the greater upside asymmetries calculated using our new measures imply lower average returns in the cross section of stocks. In contrast, when using the skewness measure, the relationship between asymmetry and returns is inconclusive.

Asymmetry in Stock Comovements: An Entropy Approach

2018 ◽  
Vol 53 (4) ◽  
pp. 1479-1507 ◽  
Author(s):  
Lei Jiang ◽  
Ke Wu ◽  
Guofu Zhou
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Stock Return ◽  
Expected Returns ◽  
Market Return ◽  
Model Free ◽  
The Cross

We provide an entropy approach for measuring the asymmetric comovement between the return on a single asset and the market return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed by Hong, Tu, and Zhou (2007). Based on this test, we find that asymmetry is much more pervasive than previously thought. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross section of stock returns, we find an asymmetry premium: Higher downside asymmetric comovement with the market indicates higher expected returns.

A New Approach to the Demonstration of Oxidase-Localization Using Tannic Acid Or Catechin

1973 ◽  
Vol 31 ◽  
pp. 698-699
Author(s):  
V. Mizuhira ◽  
Y. Futaesaku
Keyword(s):  
Cross Section ◽  
Tannic Acid ◽  
Elastic Fiber ◽  
The Other ◽  
New Approach ◽  
Tissue Block ◽  
Active Reaction ◽  
The Cross

Previously we reported that tannic acid is a very effective fixative for proteins including polypeptides. Especially, in the cross section of microtubules, thirteen submits in A-tubule and eleven in B-tubule could be observed very clearly. An elastic fiber could be demonstrated very clearly, as an electron opaque, homogeneous fiber. However, tannic acid did not penetrate into the deep portion of the tissue-block. So we tried Catechin. This shows almost the same chemical natures as that of proteins, as tannic acid. Moreover, we thought that catechin should have two active-reaction sites, one is phenol,and the other is catechole. Catechole site should react with osmium, to make Os- black. Phenol-site should react with peroxidase existing perhydroxide.

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