Seasonality in the Cross Section of Stock Returns: The International Evidence

2010 ◽  
Vol 45 (5) ◽  
pp. 1133-1160 ◽  
Author(s):  
Steven L. Heston ◽  
Ronnie Sadka
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Domestic Market ◽  
Trading Strategies ◽  
Global Risk ◽  
Seasonal Predictability ◽  
International Evidence ◽  
Local Risk ◽  
The Cross ◽  
Highly Correlated

AbstractThis paper studies seasonal predictability in the cross section of international stock returns. Stocks that outperform the domestic market in a particular month continue to outperform the domestic market in that same calendar month for up to 5 years. The pattern appears in Canada, Japan, and 12 European countries. Global trading strategies based on seasonal predictability outperform similar nonseasonal strategies by over 1% per month. Abnormal seasonal returns remain after controlling for size, beta, and value, using global or local risk factors. In addition, the strategies are not highly correlated across countries. This suggests they do not reflect return premiums for systematic global risk.

Pricing Risks Across Currency Denominations

2019 ◽  
Vol 65 (12) ◽  
pp. 5308-5336 ◽  
Author(s):  
Thomas A. Maurer ◽  
Thuy-Duong Tô ◽  
Ngoc-Khanh Tran
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Cross Section ◽  
Principal Component ◽  
Sharpe Ratio ◽  
Global Risk ◽  
Discount Factors ◽  
Risk Sources ◽  
The Cross ◽  
Fx Market

We use principal component analysis on 55 bilateral exchange rates of 11 developed currencies to identify two important global risk sources in foreign exchange (FX) markets. The risk sources are related to Carry and Dollar but are not spanned by these factors. We estimate the market prices associated with the two risk sources in the cross-section of FX market returns and construct FX market-implied country-specific stochastic discount factors (SDFs). The SDF volatilities are related to interest rates and expected carry trade returns in the cross-section. The SDFs price international stock returns and are related to important financial stress indicators and macroeconomic fundamentals. The first principal risk is associated with the Treasury-EuroDollar (TED) spread, quantities measuring volatility, tail and contagion risks, and future economic growth. It earns a relatively small implied Sharpe ratio. The second principal risk is associated with the default and term spreads and quantities capturing volatility and illiquidity risks. It further correlates with future changes in the long-term interest rate and earns a large implied Sharpe ratio. This paper was accepted by Lauren Cohen, finance.

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>

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
Sign in / Sign up

Export Citation Format

Share Document