The Cross-Section of the Stock Returns for Korea Stock Market: The Most Suitable Risk Factors

2017 ◽  
Vol 19 (4) ◽  
pp. 1917-1928
Author(s):  
Daesung Jung ◽  
Taehyuk Kim
Keyword(s):  
Risk Factors ◽  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
The Cross

scholarly journals The Cross-Section of Expected Stock Returns in Brazil

2016 ◽  
Vol 14 (2) ◽  
pp. 151
Author(s):  
Gyorgy Varga ◽  
Ricardo Dias de Oliveira Brito
Keyword(s):  
Risk Factors ◽  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Explanatory Power ◽  
Positive Relation ◽  
Cross Sectional ◽  
Expected Stock Returns ◽  
The Cross

In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market β and size do not play a role. The positive relation of cross-section of returns with book-to-market is more evident earlier, while the positive relation with momentum is stronger later in the sample. However, because none of these characteristics show explanatory power for all the subsamples studied, we are not fully convinced that they capture fundamental risk factors.

The relation between asset growth and the cross-section of stock returns: Evidence from the Chinese stock market

2015 ◽  
Vol 44 ◽  
pp. 59-67 ◽  
Author(s):  
Yifeng Wang ◽  
Cheyuan Liu ◽  
Jen-Sin Lee ◽  
Yanming Wang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Chinese Stock Market ◽  
Asset Growth ◽  
The Cross

scholarly journals Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market

PLoS ONE ◽  
2017 ◽  
Vol 12 (8) ◽  
pp. e0181990 ◽  
Author(s):  
Youcong Chao ◽  
Xiaoqun Liu ◽  
Shijun Guo
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Jump Risk ◽  
The Cross

How do volatility regimes affect the pricing of quality and liquidity in the stock market?

2019 ◽  
Vol 0 (0) ◽  
Author(s):  
Tarik Bazgour ◽  
Cedric Heuchenne ◽  
Georges Hübner ◽  
Danielle Sougné
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Strong Support ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
High Quality ◽  
Flight To Quality ◽  
Volatility Regimes ◽  
The Cross

Abstract This paper shows how stock market volatility regimes affect the cross-section of stock returns along quality and liquidity dimensions. We find that, during crisis periods, low quality and low liquidity stocks experience relatively higher losses than predicted in normal times, while high quality and high liquidity stocks experience rather relatively lower losses. These findings lend strong support to the presence of cross-market and within-market flight-to-quality and to-liquidity episodes during crisis periods. During low volatility periods, however, low quality and low liquidity stocks earn relatively larger returns, while high quality and high liquidity stocks yield lower returns; suggesting that low volatility conditions benefit junk and illiquid stocks but not quality and liquid stocks. Finally, our results reveal that liquidity level dominates liquidity beta in explaining stock returns across the different market volatility regimes.

scholarly journals The cross-section of stock returns in an early stock market

2014 ◽  
Vol 34 ◽  
pp. 114-123 ◽  
Author(s):  
Qing Ye ◽  
John D. Turner
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
The Cross

Tradable Macro Risk Factors and the Cross-Section of Stock Returns

2013 ◽  
Author(s):  
Nikolay Doskov ◽  
Tapio Pekkala ◽  
Ruy Ribeiro
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
Cross Section ◽  
The Cross
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