Related Securities and the Cross-Section of Stock Return Momentum: Evidence From Credit Default Swaps (CDS)

2016 ◽  
Author(s):  
Jongsub Lee ◽  
Stace Sirmans
Keyword(s):  
Cross Section ◽  
Stock Return ◽  
Credit Default Swaps ◽  
Credit Default ◽  
The Cross ◽  
Return Momentum

Valuation of systematic risk in the cross-section of credit default swap spreads

2017 ◽  
Vol 64 ◽  
pp. 183-195 ◽  
Author(s):  
Arndt Claußen ◽  
Sebastian Löhr ◽  
Daniel Rösch ◽  
Harald Scheule
Keyword(s):  
Cross Section ◽  
Systematic Risk ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
The Cross ◽  
Swap Spreads

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.

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