scholarly journals Long-Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence

2008 ◽  
Author(s):  
Joachim Grammig ◽  
Andreas Schrimpf ◽  
Michael Schuppli
Keyword(s):  
Cross Section ◽  
International Evidence ◽  
The Cross ◽  
Consumption Risk

scholarly journals Long-Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence

2009 ◽  
Author(s):  
Joachim Grammig ◽  
Andreas Schrimpf ◽  
Michael Schuppli
Keyword(s):  
Cross Section ◽  
International Evidence ◽  
The Cross ◽  
Consumption Risk

scholarly journals Long-horizon consumption risk and the cross-section of returns: new tests and international evidence

2009 ◽  
Vol 15 (5-6) ◽  
pp. 511-532 ◽  
Author(s):  
Joachim Grammig ◽  
Andreas Schrimpf ◽  
Michael Schuppli
Keyword(s):  
Cross Section ◽  
International Evidence ◽  
The Cross ◽  
Consumption Risk

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

CFA Digest ◽  
2011 ◽  
Vol 41 (2) ◽  
pp. 46-48
Author(s):  
Vipul K. Bansal
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
International Evidence ◽  
The Cross

Long-Horizon Consumption Risk and the Cross-Section of Expected Returns: A Cross-Country Perspective

2008 ◽  
Author(s):  
Joachim Grammig ◽  
Andreas Schrimpf ◽  
Michael Schuppli
Keyword(s):  
Cross Section ◽  
Expected Returns ◽  
Cross Country ◽  
The Cross ◽  
Consumption Risk

Consumption Risk and the Cross-Section of Option Returns

2018 ◽  
Author(s):  
Kevin Aretz ◽  
Hening Liu ◽  
Shuwen Yang ◽  
Yuzhao Zhang
Keyword(s):  
Cross Section ◽  
Option Returns ◽  
The Cross ◽  
Consumption Risk

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.

Overreaction and the cross-section of returns: International evidence

2017 ◽  
Vol 42 ◽  
pp. 1-14 ◽  
Author(s):  
Douglas W. Blackburn ◽  
Nusret Cakici
Keyword(s):  
Cross Section ◽  
International Evidence ◽  
The Cross

scholarly journals Cash Flow, Consumption Risk, and the Cross-section of Stock Returns

2009 ◽  
Vol 64 (2) ◽  
pp. 923-956 ◽  
Author(s):  
ZHI DA
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Cash Flow ◽  
The Cross ◽  
Consumption Risk

scholarly journals Consumption Risk and the Cross Section of Expected Returns

2005 ◽  
Vol 113 (1) ◽  
pp. 185-222 ◽  
Author(s):  
Jonathan A. Parker ◽  
Christian Julliard
Keyword(s):  
Cross Section ◽  
Expected Returns ◽  
The Cross ◽  
Consumption Risk
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