endogenous information, risk characterization, and the predictability of average stock returns
Clicks: 257
ID: 220688
2012
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This
article has not been analysed, so there is no overall score —
reader engagement is measured and shown alongside.
Reader Engagement
Popular Article
30.0
/100
257 views
22 readers
AI Quality Assessment
Not analyzed
Readership in this journal
PopularRanked #5 of 26 articles by views in Microscopy and microanalysis : the official journal of Microscopy Society of America, Microbeam Analysis Society, Microscopical Society of Canada
Most read
Least read
Bar heights use a square-root scale.
Mint this article as an NFT
Not yet mintedCreate a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.
5
SUSD
one-off · no wallet required
Abstract
In this paper we provide a new type of risk characterization of the predictability of two widely known abnormal patterns in average stock returns: momentum and reversal. The purpose is to illustrate the relative importance of common risk factors and endogenous information. Our results demonstrates that in the presence of zero-investment factors, spreads in average momentum and reversal returns correspond to spreads in the slopes of the endogenous information. The empirical findings support the view that various classes of firms react differently to volatility risk, and endogenous information harbor important sources of potential risk loadings. Taken together, our results suggest that returns are influenced by random endogenous information flow, which is asymmetric in nature, and can be used as a performance attribution factor. If one fails to incorporate the existing asymmetric endogenous information hidden in the historical behavior, any attempt to explore average stock return predictability will be subject to an unquantified specification bias.
| Reference Key |
simlai2012revistaendogenous
Use this key to autocite in the manuscript while using
SciMatic Manuscript Manager or Thesis Manager
|
|---|---|
| Authors | ;Pradosh Simlai |
| Journal | Microscopy and microanalysis : the official journal of Microscopy Society of America, Microbeam Analysis Society, Microscopical Society of Canada |
| Year | 2012 |
| DOI |
DOI not found
|
| URL | |
| Keywords |
Citations
No citations found. To add a citation, contact the admin at info@scimatic.org
Comments
No comments yet. Be the first to comment on this article.