This paper offers an alternative method for estimating expected returns. The proposed reward beta approach performs well empirically and is based on asset pricing theory. The empirical section compares this approach with the CAPM and the Fama-French three-factor model. In out-of-sample testing, both the CAPM and the three-factor model are rejected. In contrast, the reward beta approach easily p...

In this paper, we provide a model-free test for asymmetric correlations which suggest stocks tend to have greater correlations with the market when the market goes down than when it goes up. In addition, we evaluate the economic significance of asymmetric correlations by answering the question that what is the utility gain for an investor who switches from a belief of symmetric correlations int...

We study the predictive power of approximately 2.5 million stock picks submitted by individual users to the “CAPS” website run by the Motley Fool company (www.caps.fool.com). These picks prove to be surprisingly informative about future stock prices. Indeed, a strategy of shorting stocks with a disproportionate number of negative picks on the site and buying stocks with a disproportionate numbe...

THE PERFORMANCE OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS: A MONTE CARLO STUDY WITH AN APPLICATION TO THE THREE-FACTOR FAMA-FRENCH ASSET PRICING MODEL Surajit Ray and N. E. Savin a Bear Stearns Asset Management, 60 East 42nd Street, Suite 2544, New York, NY 10165 Department of Economics, Tippie College of Business, University of Iowa, 108 John Pappajohn Bus. Bldg., Iowa City, IA 52...

Prior research has shown that informed trading activity decreases the stock return volatility because trading causes stock prices to converge to fundamentals. On the contrary to existing studies, this paper documents the empirical asymmetric relation between informed trading activity and volatility. Stocks with relatively less private information are associated with lower participation of infor...

Multiple access can be realized by utilizing the spatial moments of deep fades, using fluid antennas. The interference immunity for antenna multiple (FAMA), nevertheless, comes with requirement a large number ports at each user. To alleviate this, we study synergy between opportunistic scheduling and FAMA. A pool users permits selection favourable FAMA decreases outage probability selected Our ...

This study provides new estimates of systematic risk and the cost of equity capital for the pharmaceutical, biotechnology, and medical device sectors using data for firms with publicly-traded stock on U.S. exchanges during 2001-2005 and 2006-2008. Two frameworks are employed for estimating firms’ risk and the cost of equity capital: (1) the capital asset pricing model, and (2) the Fama-French t...