Arbitrage risk and the book-to-market anomaly. Journal of Financial Economics, forthcoming.Ali, A., Hwang, L., and Trombley, M. A. 2003. Arbitrage risk and the book-to-market anomaly. Journal of Financial Econo
1 Arbitrage risk and the book- to-market anomaly Ali, Hwang and Trombley JFE (2003) 2 I. Introduction Empirical evidence: predictable returns over three to five years for portfolios long in high B/M stocks and short in low B/M stocks. There are two competing explanations. 1. The return ...
Arbitrage risk and the book-to-market anomaly J. Financ. Econ. (2003) P. Asquith et al. Short interest, institutional ownership, and stock returns J. Financ. Econ. (2005) D. Avramov et al. Anomalies and financial distress J. Financ. Econ. (2013) P. Barroso et al. Momentum has its...
In addition to the cross-sectional effects of IVOL, an aggregate IVOL measure across stocks also has time-series predictability for average anomaly returns.Lucy L JinDissertations & Theses GradworksIdiosyncratic Volatility,Arbitrage Risk,and Anomaly Returns". Jin,L. ProQuest . 2013...
In addition to the cross-sectional effects of IVOL, an aggregate IVOL measure across stocks also has time-series predictability for average anomaly returns.University of Pennsylvania.Jin, Lucy L.University of Pennsylvania.Idiosyncratic Volatility,Arbitrage Risk,and Anomaly Returns". Jin,L. ProQuest ....
Arbitrage risk and the book-to-market anomaly Journal of Financial Economics (2003) Y. Amihud Illiquidity and stock returns: cross-section and time-series effects Journal of Financial Markets (2002) M. Baker et al. Limited arbitrage in mergers and acquisitions Journal of Financial Economics (2002...
Arbitrage risk and the book-to-market anomaly Journal of Financial Economics (2003) Y.Amihud Illiquidity and stock returns: Cross-section and time-series effects Journal of Financial Markets (2002) T.Chordiaet al. Earnings and price momentum ...
In contrast, fundamental characteristics, such as size and book-to-market ratio, do not contribute significantly to the variation in funding betas. Funding betas of anomaly portfolios display additional patterns expected from arbitrage-driven betas. They strengthen (weaken) in periods in which ...
Both the portfolio construction approach and Fama-MacBeth regressions reveal the underperformance of stocks with high left-tail risk. We examine alternative channels behind this pricing anomaly, namely, investor underreaction behaviour, continuous overreaction behaviour, and limits to arbitrage. Our findings...
Institutions also show little tendency to bet on any of the main characteristics known to predict stock returns, such as book-to-market, momentum, or accruals. While particular groups of institutions have modest stock-picking skill relative to the CAPM, their performance is almost entirely ...