The Forecast Dispersion Anomaly Revisted: Time-Series Forecast Dispersion and the Cross-Section of Stock Returns

2016 ◽  
Author(s):  
Dongcheol Kim ◽  
Haejung Na
Keyword(s):  
Time Series ◽  
Stock Returns ◽  
Cross Section ◽  
Forecast Dispersion ◽  
Time Series Forecast ◽  
The Cross

scholarly journals New Methods for the Cross-Section of Returns

2020 ◽  
Vol 33 (5) ◽  
pp. 1879-1890 ◽  
Author(s):  
G Andrew Karolyi ◽  
Stijn Van Nieuwerburgh
Keyword(s):  
Time Series ◽  
Asset Pricing ◽  
Stock Returns ◽  
Cross Section ◽  
Cash Flows ◽  
Machine Learning Techniques ◽  
Empirical Literature ◽  
New Era ◽  
The Cross ◽  
Future Work

Abstract The cross-section and time series of stock returns contains a wealth of information about the stochastic discount factor (SDF), the object that links cash flows to prices. A large empirical literature has uncovered many candidate factors—many more than seem plausible—to summarize the SDF. This special volume of the Review of Financial Studies presents recent advances in extracting information from both the cross-section and the time series, in dealing with issues of replication and false discoveries, and in applying innovative machine-learning techniques to identify the most relevant asset pricing factors. Our editorial summarizes what we learn and offers a few suggestions to guide future work in this exciting new era of big data and empirical asset pricing.

Illiquidity and Stock Returns II: Cross-section and Time-series Effects

2020 ◽  
Author(s):  
Yakov Amihud ◽  
Joonki Noh
Keyword(s):  
Time Series ◽  
Stock Returns ◽  
Cross Section ◽  
Trading Volume ◽  
The Cross

Abstract Lou and Shu decompose Amihud’s illiquidity measure (ILLIQ) proposing that its component, the average of inverse dollar trading volume (IDVOL), is sufficient to explain the pricing of illiquidity. Their decomposition misses a component of ILLIQ that is related to illiquidity. We find that this component affects stock returns significantly, both in the cross-section and in time-series. We show that the ILLIQ premium is significantly positive after controlling for mispricing, sentiment, and seasonality. In addition, the aggregate market ILLIQ outperforms market IDVOL in estimating the effect of market illiquidity shocks on realized stock returns.

Seasonality in the Cross-Section of Stock Returns

CFA Digest ◽  
2008 ◽  
Vol 38 (3) ◽  
pp. 55-56
Author(s):  
Kathryn Dixon Jost
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
The Cross
Sign in / Sign up

Export Citation Format

Share Document