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Journal articles on the topic 'Expected stock returns'

Author: Grafiati

Published: 4 June 2021

Last updated: 12 February 2022

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1

Bulkley, George, and Vivekanand Nawosah. "Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?" Journal of Financial and Quantitative Analysis 44, no. 4 (2009): 777–94. http://dx.doi.org/10.1017/s0022109009990111.

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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 f

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2

FAMA, EUGENE F. "Stock Returns, Expected Returns, and Real Activity." Journal of Finance 45, no. 4 (1990): 1089–108. http://dx.doi.org/10.1111/j.1540-6261.1990.tb02428.x.

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3

Liu, Laura Xiaolei, Toni M. Whited, and Lu Zhang. "Investment‐Based Expected Stock Returns." Journal of Political Economy 117, no. 6 (2009): 1105–39. http://dx.doi.org/10.1086/649760.

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4

French, Kenneth R., G. William Schwert, and Robert F. Stambaugh. "Expected stock returns and volatility." Journal of Financial Economics 19, no. 1 (1987): 3–29. http://dx.doi.org/10.1016/0304-405x(87)90026-2.

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5

Rytchkov, Oleg. "Filtering Out Expected Dividends and Expected Returns." Quarterly Journal of Finance 02, no. 03 (2012): 1250012. http://dx.doi.org/10.1142/s2010139212500127.

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This paper applies a state space approach to the analysis of stock return predictability. It acknowledges that expected returns and expected dividends are unobservable and uses the Kalman filter to extract them from the observed history of realized dividends and returns. The suggested approach explicitly takes into account the time variation in expected dividend growth rates and exploits the present value relation. The obtained predictors for future returns are robust to structural breaks in the means of expected dividends and returns and more efficient than the dividend–price ratio. The likel

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6

Hu, Guanglian, and Kris Jacobs. "Volatility and Expected Option Returns." Journal of Financial and Quantitative Analysis 55, no. 3 (2019): 1025–60. http://dx.doi.org/10.1017/s0022109019000310.

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We analyze the relation between expected option returns and the volatility of the underlying securities. The expected return from holding a call (put) option is a decreasing (increasing) function of the volatility of the underlying. These predictions are supported by the data. In the cross section of equity option returns, returns on call (put) option portfolios decrease (increase) with underlying stock volatility. This finding is not due to cross-sectional variation in expected stock returns. It holds in various option samples with different maturities and moneyness, and is robust to alternat

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7

Ze-To, Samuel Y. M. "Expected Stock Returns and Option-Implied Rate of Return." Journal of Mathematical Finance 02, no. 04 (2012): 169–279. http://dx.doi.org/10.4236/jmf.2012.24030.

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8

Vu, Joseph D. V. "Trading Activity and Expected Stock Returns." CFA Digest 31, no. 3 (2001): 18–19. http://dx.doi.org/10.2469/dig.v31.n3.908.

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9

Chordia, Tarun, Avanidhar Subrahmanyam, and V. Ravi Anshuman. "Trading activity and expected stock returns." Journal of Financial Economics 59, no. 1 (2001): 3–32. http://dx.doi.org/10.1016/s0304-405x(00)00080-5.

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10

Pástor, Ľuboš, and Robert F. Stambaugh. "Liquidity Risk and Expected Stock Returns." Journal of Political Economy 111, no. 3 (2003): 642–85. http://dx.doi.org/10.1086/374184.

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11

Kadan, Ohad, and Xiaoxiao Tang. "A Bound on Expected Stock Returns." Review of Financial Studies 33, no. 4 (2019): 1565–617. http://dx.doi.org/10.1093/rfs/hhz075.

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Abstract We present a sufficient condition under which the prices of options written on a particular stock can be aggregated to calculate a lower bound on the expected returns of that stock. The sufficient condition imposes a restriction on a combination of the stock’s systematic and idiosyncratic risk. The lower bound is forward-looking and can be calculated on a high-frequency basis. We estimate the bound empirically and study its cross-sectional properties. We find that the bound increases with beta and book-to-market ratio and decreases with size and momentum. The bound provides an economi

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12

Johnson, T. C., T. Chebonenko, I. Cunha, F. D’Almeida, and X. Spencer. "Endogenous leverage and expected stock returns." Finance Research Letters 8, no. 3 (2011): 132–45. http://dx.doi.org/10.1016/j.frl.2010.12.003.

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13

Chae, Joon, and Eun Jung Lee. "Distribution uncertainty and expected stock returns." Finance Research Letters 25 (June 2018): 55–61. http://dx.doi.org/10.1016/j.frl.2017.10.006.

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14

Bali, Turan G., and Armen Hovakimian. "Volatility Spreads and Expected Stock Returns." Management Science 55, no. 11 (2009): 1797–812. http://dx.doi.org/10.1287/mnsc.1090.1063.

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15

Parker, Jonathan A. "Consumption Risk and Expected Stock Returns." American Economic Review 93, no. 2 (2003): 376–82. http://dx.doi.org/10.1257/000282803321947380.

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16

Im, Hyun Joong, and Heungju Park. "Lumpy investment and expected stock returns." Economics Letters 193 (August 2020): 109263. http://dx.doi.org/10.1016/j.econlet.2020.109263.

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17

Liu, Sha, and Jingguang Han. "Media tone and expected stock returns." International Review of Financial Analysis 70 (July 2020): 101522. http://dx.doi.org/10.1016/j.irfa.2020.101522.

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18

Fama, Eugene F., and Kenneth R. French. "Dividend yields and expected stock returns." Journal of Financial Economics 22, no. 1 (1988): 3–25. http://dx.doi.org/10.1016/0304-405x(88)90020-7.

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19

Huang, Darien, and Mete Kilic. "Gold, platinum, and expected stock returns." Journal of Financial Economics 132, no. 3 (2019): 50–75. http://dx.doi.org/10.1016/j.jfineco.2018.11.004.

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20

Luo, Xingguo, and Jin E. Zhang. "Expected stock returns and forward variance." Journal of Financial Markets 34 (June 2017): 95–117. http://dx.doi.org/10.1016/j.finmar.2016.06.001.

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21

Lee, Eun Jung, Yu Kyung Lee, and Joon Chae. "Investor Attention and Expected Return." Journal of Derivatives and Quantitative Studies 27, no. 1 (2019): 49–83. http://dx.doi.org/10.1108/jdqs-01-2019-b0002.

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In this paper, we analyze the effect of investor attention level on expected return in the Korean stock market by investor type. We find that the risk-adjusted excess returns in the next period are significantly higher when the institutional and foreign investor’s attention is high. In other words, investment strategies that buy stocks in higher attention groups and sell those in lower attention groups provide significant excess returns. This result is in contrast to the argument that the market operates more competitively and moves more efficiently as the number of investors increases due to

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22

BRESSAN, SILVIA, and ALEX WEISSENSTEINER. "THE RELATIONSHIP BETWEEN STOCK RETURN SKEWNESS AND BANK FEATURES." Journal of Financial Management, Markets and Institutions 06, no. 02 (2018): 1850010. http://dx.doi.org/10.1142/s2282717x1850010x.

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This paper studies to what extent bank-specific characteristics relate to stock return skewness. The main finding is that stock return skewness decreases significantly in bank size, measured in terms of total assets, i.e stocks of large banks are less skewed than those of small banks. This result holds for backward-looking skewness computed using the past stock returns, as well as for forward-looking skewness extracted from stock options. We interpret the empirical evidence by arguing that bank size increases the likelihood to have severe losses, to the point that investors expect to be compen

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23

Amaroh, Siti, and Chanif Nasichah. "Risk-Return Analysis on Optimum Portfolio Selection of Islamic Stocks." Equilibrium: Jurnal Ekonomi Syariah 9, no. 1 (2021): 65. http://dx.doi.org/10.21043/equilibrium.v9i1.9433.

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<p><em>This study aims to determine the optimum portfolio category and analyze the risk-return on a formed portfolio. Data was taken from eighteen listed companies indexed by Jakarta Islamic Index during 2015-2018. Stock returns are calculated based on the closing price at the end of each month in the period. Sharia Certificate of Bank Indonesia is a proxy of risk-free return, while the market return is measured by the value of the Jakarta Islamic Index. Stocks are sorted by the value of excess return to beta (ERB) from highest to lowest, and to obtain optimal stock portfolio candi

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24

Olasehinde-Williams, Godwin. "An Examination of the Relationship between Volatility and Expected Returns in the BRVM Stock Market." JOURNAL OF INTERNATIONAL BUSINESS RESEARCH AND MARKETING 3, no. 5 (2018): 7–11. http://dx.doi.org/10.18775/jibrm.1849-8558.2015.35.3001.

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Financial theory suggests that volatility affects average stock returns positively. It is claimed that markets reward economic agents for the risk they assume with higher returns. This study uses an ARMA (1, 2)-GARCH (1, 1)-M technique to examine the impact of volatility on BRVM stock returns in the integrated regional West African stock market. A positive but insignificant relationship was found between volatility and stock returns. The study concludes that there is no significant feedback from volatility to average returns in the stock market. Our findings indicate that investors are not com

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25

Bali, Turan G., K. Ozgur Demirtas, and Hassan Tehranian. "Aggregate Earnings, Firm-Level Earnings, and Expected Stock Returns." Journal of Financial and Quantitative Analysis 43, no. 3 (2008): 657–84. http://dx.doi.org/10.1017/s0022109000004245.

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AbstractThis paper provides an analysis of the predictability of stock returns using market-, industry-, and firm-level earnings. Contrary to Lamont (1998), we find that neither dividend payout ratio nor the level of aggregate earnings can forecast the excess market return. We show that these variables do not have robust predictive power across different stock portfolios and sample periods. In contrast to the aggregate-level findings, earnings yield has significant explanatory power for the time-series and cross-sectional variation in firmlevel stock returns and the 48 industry portfolio retur

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26

Taussig, Roi D., and Sagi Akron. "Returns to scale, operating leverage, and expected stock returns." Eurasian Business Review 7, no. 1 (2016): 141–55. http://dx.doi.org/10.1007/s40821-016-0053-5.

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27

Susilandari, Caecilia Atmini. "PENGARUH HUMAN CAPITAL (LABOR INCOME) TERHADAP EXPECTED STOCK RETURNS." Jurnal Akuntansi 12, no. 1 (2018): 58–79. http://dx.doi.org/10.25170/jara.v12i1.58.

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This research intended to analyse the use of premium as the proxy of human capital (labor income) in the industry level as one of the factors to measure the expected stock returns other than market, smb, hml, umdand liquidity variable that can be applied in Indonesia.The analysis coveres the human capital (labor income) in the industry level to cross section of stock return and the effect of human capital (labor income) to idiosyncratic risk in the asset pricing model. It usesincome percapita to measure the premium variabel in the period of 2001 – 2011 and 30 stocks portfolio chosen based on t

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28

Shah, Syed Zulfiqar Ali, Zafar Mueen Nasir, and Muhammad Naeem. "Can Common Stocks Provide Hedge against Inflation? Evidence from SAARC Countries." Pakistan Development Review 51, no. 4II (2012): 435–48. http://dx.doi.org/10.30541/v51i4iipp.435-448.

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The theory says that if stocks provide an effective hedge against inflation then the effect of expected inflation should be compensated in the form of nominal stock return. As Fisher Hypothesis (1930) concluded that nominal expected return on a security is a function of expected inflation rate as well as expected real interest rate. Bodie (1976) worked on Fisher Hypothesis and found that actual nominal return depends on expected and unexpected inflation rates and also it depends on expected and unexpected nominal returns. According to Geske and Roll (1983) a positive relationship exists betwee

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29

Abdul Fatah, Faizatul Syuhada, and Wan Mansor Wan Mahmood. "Multivariate Causal Estimates of Dividend Yields, Price Earning Ratio and Expected Stock Returns: Malaysian Evidence." GIS Business 14, no. 1 (2019): 11–20. http://dx.doi.org/10.26643/gis.v14i1.3254.

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The study examines the relationship among Malaysian’s market stock return, dividend yields and price earnings ratio. Specifically, it examines the existence of long-run and short-run relationship and also their predictive power (causality) between and among market stock return, dividend yields and price earnings. Using the monthly data from 1989-2005, the study finds that all these fundamental variables have a strong long run relationship. As for the short run relationship, the results show significant positive predictive power from dividend yield to stock return and significant negative relat

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30

Guo, Hui, and Robert Savickas. "Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns." Journal of Business & Economic Statistics 24, no. 1 (2006): 43–56. http://dx.doi.org/10.1198/073500105000000180.

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31

Bali, Turan G., K. Ozgur Demirtas, and Haim Levy. "Is There an Intertemporal Relation between Downside Risk and Expected Returns?" Journal of Financial and Quantitative Analysis 44, no. 4 (2009): 883–909. http://dx.doi.org/10.1017/s0022109009990159.

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AbstractThis paper examines the intertemporal relation between downside risk and expected stock returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant relation between downside risk and the portfolio returns on NYSE/AMEX/Nasdaq stocks. VaR remains a superior measure of risk when compared with the traditional risk measures. These results are robust across different stock market indices, different measures of downside risk, loss probability leve

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32

Abd Alla, Mostafa Hussein, and Mahmoud Sobh. "The Impact of Herding on the Expected Return in the Egyptian Stock Exchange." Financial Assets and Investing 10, no. 2 (2019): 5–20. http://dx.doi.org/10.5817/fai2019-2-1.

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This paper examines the impact of herding behaviour on the expected return in the Egyptian Stock Exchange by adding an additional risk factor reflecting herding behaviour to the capital asset pricing model. The study used monthly excess stock returns of 50 stocks listed on the Egyptian Stock Exchange from January 2014 to December 2018. The results do not support the capital asset pricing model before and after adding the herding behaviour factor, therefore there is no effect of herding behaviour on the expected return.

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33

Kakinuma, Yosuke. "Time-series evidence on corporate governance in Thailand: the effect on expected stock returns." Investment Management and Financial Innovations 16, no. 3 (2019): 332–40. http://dx.doi.org/10.21511/imfi.16(3).2019.29.

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This paper presents an empirical evidence of a time-varying relationship between corporate governance and its impacts on stock returns in Thailand. The governance grades assessed by the Thai Institute of Directors are used as governance measurement for the analysis. The parameters estimated by Fama-Macbeth regression indicate that firms with higher governance ratings generate greater expected stock returns in a long run. However, on yearly basis, the positive relationship deteriorates and loses explanatory power in the most of the tested years. The coefficients of governance ratings estimated

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34

Bhana, N. "The Monday effect on the Johannesburg Stock Exchange." South African Journal of Business Management 16, no. 1 (1985): 7–11. http://dx.doi.org/10.4102/sajbm.v16i1.1064.

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The efficient market hypothesis submits that the expected returns on shares and other financial assets are identical for all the days of the week. Studies of share returns on the New York Stock Exchange have revealed that the expected returns are not identical for the various days of the week. This article examines two hypotheses that have attempted to explain the distribution of returns over different days of the week. The calendar-time hypothesis states that the expected return for Monday is three times the expected return for the other days of the week. The trading-time hypothesis states th

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35

Kumar, Rakesh, and Raj S. Dhankar. "Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty." Vikalpa: The Journal for Decision Makers 34, no. 4 (2009): 25–36. http://dx.doi.org/10.1177/0256090920090403.

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Capital market efficiency is a matter of great interest for policy makers and investors in designing investment strategy. If efficient market hypothesis (EMH) holds true, it will prevent the investors to realize extra return by utilizing the inherent information of stocks. They will realize extra returns only by incorporating the extra risky stocks in their portfolios. While empirical tests of EMH and risk-return relationship are plentiful for developed stock markets, the focus on emerging stock markets like India, Pakistan, Sri Lanka, etc., began with the liberalization of financial systems i

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36

Li, Joanne. "Expected Stock Returns and Variance Risk Premia." CFA Digest 40, no. 2 (2010): 31–32. http://dx.doi.org/10.2469/dig.v40.n2.1.

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37

Bollerslev, Tim, and Hao Zhou. "Expected Stock Returns and Variance Risk Premia." Finance and Economics Discussion Series 2007, no. 11 (2007): 1–30. http://dx.doi.org/10.17016/feds.2007.11.

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38

Bali, Turan G., and Nusret Cakici. "Value at Risk and Expected Stock Returns." Financial Analysts Journal 60, no. 2 (2004): 57–73. http://dx.doi.org/10.2469/faj.v60.n2.2610.

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39

Lewellen, Jonathan. "The Cross-section of Expected Stock Returns." Critical Finance Review 4, no. 1 (2015): 1–44. http://dx.doi.org/10.1561/104.00000024.

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40

de Villiers, Johann U. "Consumption, Aggregate Wealth, and Expected Stock Returns." CFA Digest 32, no. 1 (2002): 52–53. http://dx.doi.org/10.2469/dig.v32.n1.1020.

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41

Dong Hoe Kim, 김병곤, and Chung,Chung-Hyun. "Expected Common Stock Returns and BM Factor." Korean Journal of Financial Engineering 11, no. 1 (2012): 39–61. http://dx.doi.org/10.35527/kfedoi.2012.11.1.003.

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42

Ghattassi, Imen, and Imen Ghatassi. "Surplus Consumption Ratio and Expected Stock Returns." Annals of Economics and Statistics, no. 103/104 (2011): 245. http://dx.doi.org/10.2307/41615501.

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43

Domian, Dale L., John E. Gilster, and David A. Louton. "Expected Inflation, Interest Rates, and Stock Returns." Financial Review 31, no. 4 (1996): 809–30. http://dx.doi.org/10.1111/j.1540-6288.1996.tb00898.x.

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44

Peterson, David R., and Adam R. Smedema. "Idiosyncratic Volatility Covariance and Expected Stock Returns." Financial Management 42, no. 3 (2013): 517–36. http://dx.doi.org/10.1111/fima.12019.

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45

Aspara, Jaakko, and Henrikki Tikkanen. "Consumers' stock preferences beyond expected financial returns." International Journal of Bank Marketing 28, no. 3 (2010): 193–221. http://dx.doi.org/10.1108/02652321011036468.

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46

FAMA, EUGENE F., and KENNETH R. FRENCH. "The Cross-Section of Expected Stock Returns." Journal of Finance 47, no. 2 (1992): 427–65. http://dx.doi.org/10.1111/j.1540-6261.1992.tb04398.x.

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47

CONRAD, JENNIFER, ROBERT F. DITTMAR, and ERIC GHYSELS. "Ex Ante Skewness and Expected Stock Returns." Journal of Finance 68, no. 1 (2013): 85–124. http://dx.doi.org/10.1111/j.1540-6261.2012.01795.x.

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48

Huang, Hung-Yi, and Kung-Cheng Ho. "Liquidity, earnings management, and stock expected returns." North American Journal of Economics and Finance 54 (November 2020): 101261. http://dx.doi.org/10.1016/j.najef.2020.101261.

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49

Bollerslev, Tim, George Tauchen, and Hao Zhou. "Expected Stock Returns and Variance Risk Premia." Review of Financial Studies 22, no. 11 (2009): 4463–92. http://dx.doi.org/10.1093/rfs/hhp008.

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50

Madan, Dilip B. "Efficient estimation of expected stock price returns." Finance Research Letters 23 (November 2017): 31–38. http://dx.doi.org/10.1016/j.frl.2017.08.001.

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