The Impact of Public Mood on the Cross-Section of Stock Returns

2018 ◽  
Author(s):  
Ian William Marsh ◽  
Jiatao Liu
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
The Cross ◽  
The Impact

scholarly journals Crash Sensitivity and the Cross Section of Expected Stock Returns

2018 ◽  
Vol 53 (3) ◽  
pp. 1059-1100 ◽  
Author(s):  
Fousseni Chabi-Yo ◽  
Stefan Ruenzi ◽  
Florian Weigert
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
Cross Section ◽  
Tail Dependence ◽  
Lower Tail ◽  
Tail Risk ◽  
Expected Stock Returns ◽  
The Cross ◽  
Traditional Risk Factors ◽  
The Impact

This article examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower-tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD have higher average future returns than stocks with weak LTD. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, cokurtosis, and Kelly and Jiang’s (2014) tail risk beta. Hence, our findings are consistent with the notion that investors are crash-averse.

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

As Told by the Supplier: Trade Credit and the Cross Section of Stock Returns

CFA Digest ◽  
2016 ◽  
Vol 46 (3) ◽  
Author(s):  
Imrith Ramtohul
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Trade Credit ◽  
The Cross

Dispersion in Beliefs among Active Mutual Funds and the Cross-Section of Stock Returns

CFA Digest ◽  
2015 ◽  
Vol 45 (3) ◽  
Author(s):  
Claire Emory
Keyword(s):  
Stock Returns ◽  
Mutual Funds ◽  
Cross Section ◽  
The Cross

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

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns

CFA Digest ◽  
2009 ◽  
Vol 39 (3) ◽  
pp. 75-77
Author(s):  
Chirag B. Patel
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Idiosyncratic Risk ◽  
Expected Stock Returns ◽  
The Cross

Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?

CFA Digest ◽  
2018 ◽  
Vol 48 (4) ◽  
Author(s):  
Clifford S. Ang
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Economic Uncertainty ◽  
The Cross

Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns

CFA Digest ◽  
2017 ◽  
Vol 47 (2) ◽  
Author(s):  
Clifford S. Ang
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Cash Flows ◽  
The Cross
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