scholarly journals Lottery-like preferences and the MAX effect in the cryptocurrency market

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Melisa Ozdamar ◽  
Levent Akdeniz ◽  
Ahmet Sensoy
Keyword(s):  
Significant Relationship ◽  
Investor Sentiment ◽  
Portfolio Analysis ◽  
Expected Returns ◽  
Sample Period ◽  
Short Term ◽  
Cross Sectional ◽  
Daily Return ◽  
Price Momentum ◽  
The Cross

AbstractWe investigate the significance of extreme positive returns in the cross-sectional pricing of cryptocurrencies. Through portfolio-level analyses and weekly cross-sectional regressions on all cryptocurrencies in our sample period, we provide evidence for a positive and statistically significant relationship between the maximum daily return within the previous month (MAX) and the expected returns on cryptocurrencies. In particular, the univariate portfolio analysis shows that weekly average raw and risk-adjusted return differences between portfolios of cryptocurrencies with the highest and lowest MAX deciles are 3.03% and 1.99%, respectively. The results are robust with respect to the differences in size, price, momentum, short-term reversal, liquidity, volatility, skewness, and investor sentiment.

Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?

2009 ◽  
Vol 44 (4) ◽  
pp. 777-794 ◽  
Author(s):  
George Bulkley ◽  
Vivekanand Nawosah
Keyword(s):  
Stock Returns ◽  
Expected Returns ◽  
Sample Period ◽  
Expected Return ◽  
Cross Sectional ◽  
Holding Period ◽  
Expected Stock Returns ◽  
The Cross

AbstractIt has been hypothesized that momentum might be rationally explained as a consequence of the cross-sectional variation of unconditional expected returns. Stocks with relatively high unconditional expected returns will on average outperform in both the portfolio formation period and in the subsequent holding period. We evaluate this explanation by first removing unconditional expected returns for each stock from raw returns and then testing for momentum in the resulting series. We measure the unconditional expected return on each stock as its mean return in the whole sample period. We find momentum effects vanish in demeaned returns.

The Cross Section of Expected Returns with MIDAS Betas

2011 ◽  
Vol 47 (1) ◽  
pp. 115-135 ◽  
Author(s):  
Mariano González ◽  
Juan Nave ◽  
Gonzalo Rubio
Keyword(s):  
Cross Section ◽  
Risk Premium ◽  
Market Risk ◽  
Ordinary Least Squares ◽  
Mixed Data ◽  
Expected Returns ◽  
Data Sampling ◽  
Cross Sectional ◽  
Market Risk Premium ◽  
The Cross

AbstractThis paper explores the cross-sectional variation of expected returns for a large cross section of industry and size/book-to-market portfolios. We employ mixed data sampling (MIDAS) to estimate a portfolio’s conditional beta with the market and with alternative risk factors and innovations to well-known macroeconomic variables. The market risk premium is positive and significant, and the result is robust to alternative asset pricing specifications and model misspecification. However, the traditional 2-pass ordinary least squares (OLS) cross-sectional regressions produce an estimate of the market risk premium that is negative, and significantly different from 0. Using alternative procedures, we compare both beta estimators. We conclude that beta estimates under MIDAS present lower mean absolute forecasting errors and generate better out-of-sample performance of the optimized portfolios relative to OLS betas.

scholarly journals Comparing Dimensions of Four-Strand Hamstring Tendon Grafts with Native Anterior and Posterior Cruciate Ligaments

2016 ◽  
Vol 2016 ◽  
pp. 1-6 ◽  
Author(s):  
Barış Yılmaz ◽  
Güzelali Özdemir ◽  
Elif N. Keskinöz ◽  
Gamze Tümentemur ◽  
Kemal Gökkuş ◽  
...  
Keyword(s):  
Significant Relationship ◽  
Hamstring Tendon ◽  
Hamstring Tendons ◽  
Cruciate Ligaments ◽  
Cross Sectional ◽  
Fresh Frozen ◽  
Length Width ◽  
Tendon Grafts ◽  
The Cross ◽  
Made In

Background. The aim of the study was to evaluate whether or not there was any incompatibility between four-strand hamstring tendons taken from the same knee and the dimensions of the ACL and PCL.Methods. 15 fresh frozen cadaver hamstrings were prepared as four-strand grafts and measurements made of the ACL and PCL circumferences in the midsection were made in the narrowest part of the midsection. The cross-section areas and diameters were calculated with geometric calculations used to measure the cross-sectional area of cylinders. Accepting that the geometric insertions were elliptical, the length, width, and area were calculated for entry areas.Results. A significant relationship at 96.2% was determined between the ACL mid and the hamstring diameter. A significant relationship at 96.7% was determined between the ACL and the hamstring mid area. A significant relationship at 96.4% was determined between the PCL mid and the hamstring diameter. A significant relationship at 95.7% was determined between the PCL and the hamstring mid area.Conclusion. For the reconstruction of ACL and PCL, it was determined that there is less incompatibility between the four-strand hamstring tendons taken from the same knee and the dimensions of the midsection PCL compared to the ACL dimensions.

scholarly journals The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment

2011 ◽  
Vol 101 (7) ◽  
pp. 3456-3476 ◽  
Author(s):  
Craig Burnside
Keyword(s):  
Foreign Currency ◽  
Risk Premia ◽  
Expected Returns ◽  
Stochastic Discount Factor ◽  
Forward Premium Puzzle ◽  
Cross Sectional ◽  
Consumption Growth ◽  
Forward Premium ◽  
The Cross ◽  
Premium Puzzle

Lustig and Verdelhan (2007) argue that the excess returns to borrowing US dollars and lending in foreign currency “compensate US investors for taking on more US consumption growth risk,” yet the stochastic discount factor corresponding to their benchmark model is approximately uncorrelated with the returns they study. Hence, one cannot reject the null hypothesis that their model explains none of the cross sectional variation of the expected returns. Given this finding, and other evidence, I argue that the forward premium puzzle remains a puzzle. JEL: C58, E21, F31, G11, G12

scholarly journals On the Cross-sectional Relation between Expected Returns and Betas

1994 ◽  
Vol 49 (1) ◽  
pp. 101-121 ◽  
Author(s):  
RICHARD ROLL ◽  
STEPHEN A. ROSS
Keyword(s):  
Expected Returns ◽  
Cross Sectional ◽  
The Cross

scholarly journals The Effects of Liquidity, Profitability and Board Characteristics on Debt Restructuring Likelihood Among Malaysian GLCs

2018 ◽  
pp. 942-950
Author(s):  
Adilah Azhari ◽  
Hanita Kadir
Keyword(s):  
Logistic Regression ◽  
Board Of Directors ◽  
Significant Relationship ◽  
Size Fraction ◽  
Influential Factors ◽  
Short Term ◽  
Cross Sectional ◽  
Debt Restructuring ◽  
Board Characteristics ◽  
Liquidity Measures

This study investigates the cross-sectional variation in debt restructuring among Malaysian publicly listed Government Linked companies (GLCs) and non-GLCs (NGLCs) for the period of from 2005 to 2015. It attempts to test several firm determinants that can influence the likelihood of Malaysian GLCs to exercise debt restructuring. Past studies argue that liquidity and profitability influences firm’s choice to exercise debt restructuring. This study proposes variants of board of characteristics as one of the influential factors in GLCs debt restructuring since board of directors for this type of organization are usually controlled or owned by government. We employ imbalanced panel data with logistic regression as the method of analysis. The findings show that liquidity, profitability and board characteristics have significant relationship with debt restructuring. The results for profitability indicates that firm with low profitability has higher chance for debt restructuring exercise. However, liquidity has recorded an opposite relationship in our sample. This may be due to our liquidity measures the focuses on short term assets which is less appropriate in debt restructuring context. With regards to board characteristics, three variables such as board size, fraction of Malay directors and fraction of directors with Master degrees show negative and significant relationship influence on the debt restructuring.

Idiosyncratic Volatility and the Cross Section of Expected Returns

2008 ◽  
Vol 43 (1) ◽  
pp. 29-58 ◽  
Author(s):  
Turan G. Bali ◽  
Nusret Cakici
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Idiosyncratic Volatility ◽  
Expected Returns ◽  
Cross Sectional ◽  
Monthly Data ◽  
Portfolio Returns ◽  
Expected Stock Returns ◽  
The Cross ◽  
Data Frequency

AbstractThis paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. The results indicate that i) the data frequency used to estimate idiosyncratic volatility, ii) the weighting scheme used to compute average portfolio returns, iii) the breakpoints utilized to sort stocks into quintile portfolios, and iv) using a screen for size, price, and liquidity play critical roles in determining the existence and significance of a relation between idiosyncratic risk and the cross section of expected returns. Portfoliolevel analyses based on two different measures of idiosyncratic volatility (estimated using daily and monthly data), three weighting schemes (value-weighted, equal-weighted, inverse volatility-weighted), three breakpoints (CRSP, NYSE, equal market share), and two different samples (NYSE/AMEX/NASDAQ and NYSE) indicate that no robustly significant relation exists between idiosyncratic volatility and expected returns.

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