scholarly journals Asset Pricing in the Dark: The Cross Section of OTC Stocks

2013 ◽  
Author(s):  
Andrew Ang ◽  
Assaf Shtauber ◽  
Paul Tetlock
Keyword(s):  
Asset Pricing ◽  
Cross Section ◽  
The Cross

scholarly journals Distress risk and leverage puzzles: Evidence from Taiwan

2016 ◽  
Vol 6 (2) ◽  
pp. 72-78
Author(s):  
Kung-Cheng Ho ◽  
Shih-Cheng Lee ◽  
Po-Hsiang Huang ◽  
Ting-Yu Hsu
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Cross Section ◽  
Financial Distress ◽  
Distress Risk ◽  
The Cross

Financial distress has been invoked in the asset pricing literature to explain the anomalous patterns in the cross-section of stock returns. The risk of financial distress can be measured using indexes. George and Hwang (2010) suggest that leverage can explain the distress risk puzzle and that firms with high costs choose low leverage to reduce distress intensities and earn high returns. This study investigates whether this relationship exists in the Taiwan market. When examined separately, distress intensity is found to be negatively related to stock returns, but leverage is found to not be significantly related to stock returns. The results are the same when distress intensity and leverage are examined simultaneously. After assessing the robustness by using O-scores, distress risk puzzle is found to exist in the Taiwan market, but the leverage puzzle is not.

scholarly journals The Cross Section of Country Equity Returns: A Review of Empirical Literature

2019 ◽  
Vol 12 (4) ◽  
pp. 165 ◽  
Author(s):  
Zaremba
Keyword(s):  
Asset Pricing ◽  
Cross Section ◽  
Equity Returns ◽  
Empirical Literature ◽  
Fund Flows ◽  
Cross Sectional ◽  
Preparation Methods ◽  
Stock Level ◽  
Country Level ◽  
The Cross

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies.

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