Now showing items 1-3 of 3
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 ...