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How is the Volatility Priced by the Stock Market?

Description: Traditional portfolio theory suggests that, in equilibrium, only the market risk is priced in the cross-section of expected stock returns. However, if the market is not perfect and investors are constantly changing investing behaviors based on their perceptions about future market outlook, then non-traditional risk factors could potentially provide significant power of describing the expected stock returns. This dissertation has two essays on the pricing of volatility, in which the market is no… more
Date: August 2020
Creator: Yu, Huaibing
Partner: UNT Libraries
open access

The Two Sides of Value Premium: Decomposing the Value Premium

Description: Scholars and investors have studied the value premium for several decades. However, the debate over whether risk factors or biased market participants cause the value premium has never been settled. The risk explanation argues that value firms are fundamentally riskier than growth firms. At the same time, the behavioral explanation argues that biased market participants systematically misprice value and growth stocks. In this paper, I use the implied cost of equity capital to capture all risks … more
Date: August 2020
Creator: Xu, Hanzhi
Partner: UNT Libraries
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