The errors in the variables problem in the cross-section of expected stock returns

Article Abstract:

Recent research has documented the failure of market beta to capture capture the cross-section of expected returns within the context of a two-pass estimation methodology. However, the two-pass methodology suffers from the errors-in-variables (EIV) problem that could attenuate the apparent significance of market beta. This article provides a new correction for the EIV problem that is robust to conditional heteroscedasticity. After the correction, I find more support for the role of market beta and less support for the role of firm size in explaining the cross-section of expected returns. While the EIV correction leads to a diminished role of firm size, the size variable remains a significant force in explaining the cross-section of expected returns. (Reprinted by permission of the publisher.)

---

Good news, bad news, volatility, and betas

Article Abstract:

we investigate the conditional covariances of stock returns using bivariate exponential ARCH (EGARCH) models. These models allow market volatility, portfolio-specific volatility, and beta to respond asymmetrically to positive and negative market and portfolio returns, i.e., "leverage" effects. Using monthly data, we find strong evidence of conditional heteroskedasticity in both market and non-market components of returns, and weaker evidence of time-varying conditional betas. Surprisingly while leverage effects appear strong in the market component of volatility, they are absent in conditional betas and weak and/or inconsistent in nonmarket sources of risk. (Reprinted by permission of the publisher.)

---

The puzzle in post-listing common stock returns

Article Abstract:

Prior studied indicate that common stocks tend to earn negative returns immediately following listing on the NYSE. The authors document the phenomenon in detail and investigate a number of possible explanations. No full explanation is discovered, although several are ruled out. (Reprinted by permission of the publisher.)

Similar abstracts:

• Abstracts: The seasonal stability of the factor structure of stock returns. On testing the Arbitrage Pricing Theory: inter-battery factor analysis
• Abstracts: Dearing Report: the author replies. Product strength: the essential feature. Stanley Grinstead: a man who prefers to make things happen
• Abstracts: The role of options in the resolution of agency problems: a comment. The role of options in the resolution of agency problems: a reply
• Abstracts: Strategic renewal and the interaction of cumulative stress and inertia. Using simulated mergers to evaluate corporate diversification strategies
• Abstracts: Environmental analysis units and strategic decision-making: a field study of selected 'leading edge' corporations

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.