We examine the puzzling negative relation between financial distress risk and the cross-section of expected returns. We find that the negative relation is most pronounced for up to six months after portfolio formation but after that, high distress stocks eventually earn persistently high...

We propose new systematic tail risk measures constructed using two different approaches. The first extends the canonical downside beta and co-moment measures, while the second is based on the sensitivity of stock returns to innovations in market crash risk. Both tail risk measures are associated...

This study investigated the disposition effect under economic crisis (Brexit & GFC) and found that the stock markets of New Zealand, Australia and Mumbai did not show any significant disposition effect during the crisis period. The paper utilizes secondary data analysis to discuss the...

We identify all return leader-follower pairs among individual stocks using Granger causality regressions. Thus-identified leaders can reliably predict their followers' returns out of sample, and the return predictability works at the level of individual stocks rather than industries. Our results...

Duration is widely used by fixed income managers to proxy the interest rate risk of their assets and liabilities. However, it is well known that the convexity of the price-yield relationship introduces approximation errors that grow with changes in yield. In this paper we suggest a new approach,...

The recent collapse of the stock market has refocused attention on the question of the equity risk premium. One of the most comprehensive studies of the equity premium, completed by Fama and French in 2000, is now significantly out of date and requires refreshing. This article provides that...

This paper provides a comprehensive analysis on stock return predictability in Santiago Stock Exchange from January 2007 to January 2016 by employing portfolio method. In the risk-related predictors, we found no statistically significant predictive power of beta, total volatility, and...

This paper replicates and extends the Amihud (2002) study that links liquidity to asset pricing. Using the current version of the CRSP dataset, we obtain essentially the same results that Amihud presents. The same methods applied to more recent data show a much weaker relation between liquidity...

Prior studies find that a strategy that buys high-beta stocks and sells low-beta stocks has a significantly negative unconditional Capital Asset Pricing Model (CAPM) alpha, such that it appears to pay to "bet against beta." We show, however, that the conditional beta for the high-minus-low beta...

This paper examines the cross section of options implied volatility and corporate bond returns. We document a strong predictive ability of corporate bond returns using changes in call and put options implied volatility. Specifically, a strategy of buying (selling) the portfolio with lowest...