Now showing items 1-4 of 4
High short interest effect and aggregate volatility risk
(University of Georgia, 2013-07)
We propose a risk-based firm-type explanation on why stocks of firms with high relative short interest (RSI) have lower future returns. We argue that these firms have negative alphas because they are a hedge against expected ...
Firm complexity and post-earnings-announcement drift
(University of Georgia, 2013-11)
The paper shows that the post-earnings-announcement drift is stronger for conglomerates, despite conglomerates being larger, more liquid, and more actively researched by investors. We attribute this finding to slower ...
Stocks with extreme past returns: Lotteries or insurance?
(University of Georgia, 2013-10)
The paper shows that lottery-like stocks are hedges against unexpected increases in market volatility. The loading on the aggregate volatility risk factor explains low returns to stocks with high maximum returns in the ...
Analyst disagreement and aggregate volatility risk
(University of Georgia, 2012-08-01)
The paper explains why firms with high dispersion of analyst forecasts earn low future returns. These firms beat the CAPM in periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility ...