The relationship between asset growth and the cross-section of stock returns

2011 ◽  
Vol 35 (3) ◽  
pp. 670-680 ◽  
Author(s):  
Philip Gray ◽  
Jessica Johnson
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Asset Growth ◽  
The Cross ◽  
The Relationship

scholarly journals Asset Growth and the Cross-Section of Stock Returns

2007 ◽  
Author(s):  
Michael J. Cooper ◽  
Huseyin Gulen ◽  
Michael J. Schill
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Asset Growth ◽  
The Cross

scholarly journals Asset Growth and the Cross-Section of Stock Returns

2008 ◽  
Vol 63 (4) ◽  
pp. 1609-1651 ◽  
Author(s):  
MICHAEL J. COOPER ◽  
HUSEYIN GULEN ◽  
MICHAEL J. SCHILL
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Asset Growth ◽  
The Cross

Asset Growth and the Cross-Section of Stock Returns

CFA Digest ◽  
2009 ◽  
Vol 39 (1) ◽  
pp. 32-34
Author(s):  
M.E. Ellis
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Asset Growth ◽  
The Cross

scholarly journals Idiosyncratic Volatility and Cross-section of Stock Returns: Evidences from India

2016 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Prashant Sharma ◽  
Brajesh Kumar
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Empirical Relationship ◽  
Idiosyncratic Volatility ◽  
Expected Returns ◽  
Cross Sectional ◽  
The Cross ◽  
Highly Correlated ◽  
Indian Stock Market ◽  
The Relationship

<p>The present study examines the cross-sectional pricing ability of idiosyncratic volatility (IV) in Indian stock market and investigates the relationship amongst expected idiosyncratic volatility (EI), unexpected idiosyncratic volatility (UI), and cross-section of stocks returns. The study uses ARIMA (2, 0, 1) model to IV into EI and UI. The stocks returns are regressed on IV, EI and UI using Newey-West (1987) corrections, in order to investigate their empirical relationship.  The study finds that IV is positively related with stock returns. Further the IV significantly explains the cross-section of stock returns in Indian context. After imposing control over UI, as it is highly correlated with unexpected returns, the inter-temporal relationship between EI and expected returns turns out to be positive.</p>

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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