All Outputs (3)

Default risk, macroeconomic conditions, and the market skewness risk premium (2022)
Journal Article
Xu, Z., Li, X., Chevapatrakul, T., & Gao, N. (2022). Default risk, macroeconomic conditions, and the market skewness risk premium. Journal of International Money and Finance, -. https://doi.org/10.1016/j.jimonfin.2022.102683

Previous literature finds that stocks with low market skewness risk outperform stocks with high market skewness risk. Using the portfolio sort approach, we show that this market skewness risk premium is much more pronounced among stocks with low defa... Read More about Default risk, macroeconomic conditions, and the market skewness risk premium.

Investor Sentiment, Limited Arbitrage, and the Cash Holding Effect (2016)
Journal Article
Li, X., & Luo, D. Investor Sentiment, Limited Arbitrage, and the Cash Holding Effect. Review of Finance, rfw031. https://doi.org/10.1093/rof/rfw031

We examine the investor sentiment and limits-to-arbitrage explanations for the positive cross-sectional relation between cash holdings and future stock returns. Consistent with the investor sentiment hypothesis, we find that the cash holding effect i... Read More about Investor Sentiment, Limited Arbitrage, and the Cash Holding Effect.

Idiosyncratic volatility and the pricing of poorly-diversified portfolios (2013)
Journal Article
Miffre, J., Brooks, C., & Li, X. (2013). Idiosyncratic volatility and the pricing of poorly-diversified portfolios. International Review of Financial Analysis, 30, 78-85. https://doi.org/10.1016/j.irfa.2013.05.007

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stoc... Read More about Idiosyncratic volatility and the pricing of poorly-diversified portfolios.