scholarly journals Insights on the Global Macro-Finance Interface: Structural Sources of Risk Factors Fluctuations and the Cross-Section of Expected Stock Returns

2013 ◽  
Author(s):  
Claudio Morana
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
Cross Section ◽  
Expected Stock Returns ◽  
The Cross ◽  
Macro Finance

scholarly journals Crash Sensitivity and the Cross Section of Expected Stock Returns

2018 ◽  
Vol 53 (3) ◽  
pp. 1059-1100 ◽  
Author(s):  
Fousseni Chabi-Yo ◽  
Stefan Ruenzi ◽  
Florian Weigert
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
Cross Section ◽  
Tail Dependence ◽  
Lower Tail ◽  
Tail Risk ◽  
Expected Stock Returns ◽  
The Cross ◽  
Traditional Risk Factors ◽  
The Impact

This article examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower-tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD have higher average future returns than stocks with weak LTD. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, cokurtosis, and Kelly and Jiang’s (2014) tail risk beta. Hence, our findings are consistent with the notion that investors are crash-averse.

scholarly journals The Cross-Section of Expected Stock Returns in Brazil

2016 ◽  
Vol 14 (2) ◽  
pp. 151
Author(s):  
Gyorgy Varga ◽  
Ricardo Dias de Oliveira Brito
Keyword(s):  
Risk Factors ◽  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Explanatory Power ◽  
Positive Relation ◽  
Cross Sectional ◽  
Expected Stock Returns ◽  
The Cross

In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market β and size do not play a role. The positive relation of cross-section of returns with book-to-market is more evident earlier, while the positive relation with momentum is stronger later in the sample. However, because none of these characteristics show explanatory power for all the subsamples studied, we are not fully convinced that they capture fundamental risk factors.

MVA and the Cross-Section of Expected Stock Returns

2001 ◽  
Vol 27 (3) ◽  
pp. 75-87 ◽  
Author(s):  
Ken C. Yook ◽  
George M. McCabe
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Expected Stock Returns ◽  
The Cross
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