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Information Uncertainty And The Momentum Effect, Nicholas Liu Chang Cher
Information Uncertainty And The Momentum Effect, Nicholas Liu Chang Cher
Dissertations and Theses Collection (Open Access)
I identify simple proxies for uncertainty and attempt to determine if the returns to a momentum strategy vary with these proxies. The proxies identified include the stock's daily 6-month historical return volatility, the magnitude of alpha in a 6-month historical regression of the stock's daily returns on the Fama-French factors and the (1-R2) value of the regression. The exposures to each of the risk factors were also tested as possible proxies for uncertainty related to the factors.
Using daily stock return data from CRSP from 1926 to 2006, stocks are first sorted into quintiles based on these proxies. A momentum …
The Cross-Section Of Stock Return And Volatility, Hongchao Han
The Cross-Section Of Stock Return And Volatility, Hongchao Han
Dissertations and Theses Collection (Open Access)
There has been increasing research on the cross-sectional relation between stock return and volatility. Conclusions are, however, mixed, partially because volatility or variance is modeled or parameterized in various ways. This paper, by using the Jiang and Tian (2005)'s model-free method, estimates daily option implied volatility for all US individual stocks from 1996:01 to 2006:04, and then employs this information to extract monthly volatilities and their idiosyncratic parts for cross-sectional regression analyses. We follow the Fama and French (1992) cross-sectional regression procedure and show that each of the 4 monthly measures of change of total volatility, total volatility, expected idiosyncratic …
The Impact Of Credit Watch And Bond Rating Changes On Abnormal Stock Returns For Non-Usa Domiciled Corporations, Benjamin Boon Ching Ee
The Impact Of Credit Watch And Bond Rating Changes On Abnormal Stock Returns For Non-Usa Domiciled Corporations, Benjamin Boon Ching Ee
Dissertations and Theses Collection (Open Access)
In this paper, we investigate whether credit watches and bond rating changes issued by Moodys' and S&P Credit Rating Agencies provide significant new information to investors for Non-USA domiciled corporations. We also examine whether the stock related cumulative abnormal return (CAR) differs according to the classification of the country of domicile (emerging or developed) of the corporation, and varies by state of the local stock market during the time of the rating event.
We find that on average, negative credit watches as well as long term rating downgrades result in significant stock related CAR for Non-USA domiciled 4 corporations. However, …