High-Frequency Betas and Cross Section of Expected Stock Returns in Southeast Asia

2019 ◽  
Author(s):  
usman arief ◽  
Zaäfri A. Husodo ◽  
Asiah Rusdi Muchtar
Keyword(s):  
Southeast Asia ◽  
Stock Returns ◽  
Cross Section ◽  
High Frequency ◽  
Expected Stock Returns

Good Volatility, Bad Volatility, and the Cross Section of Stock Returns

2019 ◽  
Vol 55 (3) ◽  
pp. 751-781 ◽  
Author(s):  
Tim Bollerslev ◽  
Sophia Zhengzi Li ◽  
Bingzhi Zhao
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
High Frequency ◽  
Firm Characteristics ◽  
Explanatory Variables ◽  
Portfolio Returns ◽  
Expected Stock Returns ◽  
Intraday Data ◽  
The Cross ◽  
The Individual

Based on intraday data for a large cross section of individual stocks and newly developed econometric procedures, we decompose the realized variation for each of the stocks into separate so-called realized up and down semi-variance measures, or “good” and “bad” volatilities, associated with positive and negative high-frequency price increments, respectively. Sorting the individual stocks into portfolios based on their normalized good minus bad volatilities results in economically large and highly statistically significant differences in the subsequent portfolio returns. These differences remain significant after controlling for other firm characteristics and explanatory variables previously associated with the cross section of expected stock returns.

MVA and the Cross-Section of Expected Stock Returns

2001 ◽  
Vol 27 (3) ◽  
pp. 75-87 ◽  
Author(s):  
Ken C. Yook ◽  
George M. McCabe
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Expected Stock Returns ◽  
The Cross
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