Value-at-Risk and Expected Stock Returns: Evidence from Pakistan
نویسندگان
چکیده
منابع مشابه
Value at Risk and Expected Stock Returns
This paper provides empirical evidence that firm size, liquidity, and Value-at-Risk (VaR) explain the cross-sectional variation in expected returns, while market beta and total volatility have almost no power to capture the cross-section of expected returns at the firm level. The strong positive relation between average returns and VaR turns out to be robust across different investment horizons...
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This paper aims to estimate the Value-at-Risk (VaR) using GARCH type models with improved return distribution. Value at Risk (VaR) is an essential benchmark for measuring the risk of financial markets quantitatively. The parametric method, historical simulation, and Monte Carlo simulation have been proposed in several financial mathematics and engineering studies to calculate VaR, that each of ...
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Is the value premium predictable? We study time variations of the expected value premium using a two-state Markov switching model. We find that when conditional volatilities are high, the expected excess returns of value stocks are more sensitive to aggregate economic conditions than the expected excess returns of growth stocks. As a result, the expected value premium is time varying. It spikes...
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If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and rising markets. We find that stocks with high downs...
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This paper studies the role of detrended wealth in predicting stock returns. We call a transitory movement in wealth one that produces a deviation from its shared trend with consumption and labor income. Using U.S. quarterly stock market data we find that these trend deviations in wealth are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find ...
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ژورنال
عنوان ژورنال: THE LAHORE JOURNAL OF ECONOMICS
سال: 2014
ISSN: 1811-5446
DOI: 10.35536/lje.2014.v19.i2.a3