Risk and the cross section of stock returns
P. Fontaine
- Fonction : Auteur
- PersonId : 173222
- IdHAL : fontaine-pascal-marceau
- IdRef : 149111169
S. Jimenez-Garces
- Fonction : Auteur
- PersonId : 1198377
- IdHAL : sonia-jimenez-garces
- ORCID : 0000-0001-8563-638X
Résumé
This paper mathematically transforms unobservable rational expectation equilibrium model parameters (information precision and supply uncertainty) into a single variable that is correlated with expected returns and that can be estimated with recently observed data. Our variable can be used to explain the cross section of returns in theoretical, numerical, and empirical analyses. Using Center for Research in Security Prices data, we show that a -1 sigma to +1 sigma change in our variable is associated with a 0.31% difference in average returns the following month (equaling 3.78% per annum). The results are statistically significant at the 1% level. Our results remain economically and statistically significant after controlling for stocks' market capitalizations, book-to-market ratios, liquidities, and the probabilities of information-based trading.
Domaines
Gestion et managementFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Résumé |
en
This paper mathematically transforms unobservable rational expectation equilibrium model parameters (information precision and supply uncertainty) into a single variable that is correlated with expected returns and that can be estimated with recently observed data. Our variable can be used to explain the cross section of returns in theoretical, numerical, and empirical analyses. Using Center for Research in Security Prices data, we show that a -1 sigma to +1 sigma change in our variable is associated with a 0.31% difference in average returns the following month (equaling 3.78% per annum). The results are statistically significant at the 1% level. Our results remain economically and statistically significant after controlling for stocks' market capitalizations, book-to-market ratios, liquidities, and the probabilities of information-based trading.
|
Titre |
en
Risk and the cross section of stock returns
|
Auteur(s) |
R. Burlacu
1
, P. Fontaine
2
, S. Jimenez-Garces
3
, M. Seasholes
4
1
CEREFIGE -
Centre Européen de Recherche en Economie Financière et Gestion des Entreprises
( 221899 )
- UL, Maison de la Recherche, 23-25 rue Baron Louis, 54000 NANCY
- France
2
CERAG -
Centre d'études et de recherches appliquées à la gestion
( 784 )
- 150, rue de la chimie - Domaine universitaire - 38400 Saint Martin d’Hères
- France
3
COACTIS -
COnception de l'ACTIon en Situation
( 88676 )
- Université Lyon 2 MH
14 avenue Berthelot
69365 LYON CEDEX 07
- France
4
HKUST -
Hong Kong University of Science and Technology
( 97019 )
- Clear Water Bay Kowloon Hong Kong
- R.A.S. chinoise de Hong Kong
|
Nom de la revue |
|
Audience |
Non spécifiée
|
Date de publication |
2012
|
Comité de lecture |
Oui
|
Vulgarisation |
Non
|
Langue du document |
Anglais
|
Volume |
105
|
Numéro |
3
|
Page/Identifiant |
511-522
|
Référence interne |
|
Domaine(s) |
|
Mots-clés |
en
Risk, the cross section, stock returns
|
DOI | 10.1016/j.jfineco.2012.03.008 |
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