Return Dispersion, Size, and the Cross-Section of Stock Returns - Evidence from the German Stock Market

2013 ◽  
Author(s):  
Antonina Waszczuk
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
German Stock ◽  
The Cross ◽  
German Stock Market

scholarly journals Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market

PLoS ONE ◽  
2017 ◽  
Vol 12 (8) ◽  
pp. e0181990 ◽  
Author(s):  
Youcong Chao ◽  
Xiaoqun Liu ◽  
Shijun Guo
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Jump Risk ◽  
The Cross

How do volatility regimes affect the pricing of quality and liquidity in the stock market?

2019 ◽  
Vol 0 (0) ◽  
Author(s):  
Tarik Bazgour ◽  
Cedric Heuchenne ◽  
Georges Hübner ◽  
Danielle Sougné
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Strong Support ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
High Quality ◽  
Flight To Quality ◽  
Volatility Regimes ◽  
The Cross

Abstract This paper shows how stock market volatility regimes affect the cross-section of stock returns along quality and liquidity dimensions. We find that, during crisis periods, low quality and low liquidity stocks experience relatively higher losses than predicted in normal times, while high quality and high liquidity stocks experience rather relatively lower losses. These findings lend strong support to the presence of cross-market and within-market flight-to-quality and to-liquidity episodes during crisis periods. During low volatility periods, however, low quality and low liquidity stocks earn relatively larger returns, while high quality and high liquidity stocks yield lower returns; suggesting that low volatility conditions benefit junk and illiquid stocks but not quality and liquid stocks. Finally, our results reveal that liquidity level dominates liquidity beta in explaining stock returns across the different market volatility regimes.

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