Distribution uncertainty and expected stock returns

Title
Distribution uncertainty and expected stock returns
Author
이은정
Keywords
Distribution uncertainty; Expected stock returns; Differences of return distribution; ASSET ALLOCATION; CROSS-SECTION; AMBIGUITY; RISK; PREFERENCES
Issue Date
2017-11
Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
Citation
FINANCE RESEARCH LETTERS, v. 25, Page. 55-61
Abstract
We investigate the significance of differences of the return distribution (distribution uncertainty) in the cross-sectional pricing of stocks. Our parsimonious proxies for distribution uncertainty measure the difference of distributions between an individual stock return and the market return. We find that stocks with higher distribution uncertainty exhibit higher returns, and the difference between the returns on the portfolios with the highest and lowest distribution uncertainty is significantly positive. We investigate the robustness of our empirical results and find that the impact of distribution uncertainty persists after accounting for firm characteristics.
URI
https://www.sciencedirect.com/science/article/pii/S1544612317303574http://repository.hanyang.ac.kr/handle/20.500.11754/72577
ISSN
1544-6123; 1544-6131
DOI
10.1016/j.frl.2017.10.006
Appears in Collections:
COLLEGE OF BUSINESS AND ECONOMICS[E](경상대학) > BUSINESS ADMINISTRATION(경영학부) > Articles
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