scholarly journals Time-Varying Risk Premia and The Cross Section of Stock Returns

2002 ◽  
Author(s):  
Hui Guo
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Risk Premia ◽  
Time Varying ◽  
The Cross

Time-Varying Liquidity Risk and the Cross Section of Stock Returns

2007 ◽  
Vol 21 (6) ◽  
pp. 2449-2486 ◽  
Author(s):  
Akiko Watanabe ◽  
Masahiro Watanabe
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Liquidity Risk ◽  
Time Varying ◽  
The Cross

Moment risk premia and the cross-section of stock returns in the European stock market

2020 ◽  
Vol 111 ◽  
pp. 105732 ◽  
Author(s):  
Elyas Elyasiani ◽  
Luca Gambarelli ◽  
Silvia Muzzioli
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Risk Premia ◽  
The Cross

OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS

2018 ◽  
Vol 21 (06) ◽  
pp. 1850043 ◽  
Author(s):  
JOSÉ AFONSO FAIAS ◽  
TIAGO CASTEL-BRANCO
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Risk Premium ◽  
Risk Premia ◽  
Market Returns ◽  
Variance Risk Premium ◽  
Stock Return Prediction ◽  
Out Of Sample ◽  
The Cross ◽  
Variance Risk

We analyze variance, skewness and kurtosis risk premia and their option-implied and realized components as predictors of excess market returns and of the cross-section of stock returns. We find that the variance risk premium is the only moment-based variable to predict S&P 500 index excess returns, with a monthly out-of-sample [Formula: see text] above 6% for the period between 2001 and 2014. Nonetheless, all aggregate moment-based variables are effective in predicting the cross-section of stock returns. Self-financed portfolios long on the stocks least exposed to the aggregate moment-based variable and short on the stocks most exposed to it achieve positive and significant Carhart 4-factor alphas and a considerably higher Sharpe ratio than the S&P 500 index, with positive skewness.

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
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