Distributional uncertainty and the cross-section of expected stock returns
Master Thesis
Συγγραφέας
Χάιτας, Νικόλαος - Χρήστος
Chaitas, Nikolaos Christos
Ημερομηνία
2022Επιβλέπων
Κουρογένης, ΝικόλαοςKourogenis, Nikolaos
Προβολή/ Άνοιγμα
Λέξεις κλειδιά
Distribution ; Stock returns ; UncertaintyΠερίληψη
My dissertation aims at understanding possible differences of the distribution of stock returns. With the help of the proxies for distribution uncertainty, I examine the difference of distribution uncertainty between each individual stock and the market return. The result is that those stocks with higher distribution uncertainty exhibit higher returns, therefore, the difference between portfolios with higher and lower distribution uncertainty is significantly positive. The empirical results for the impact of distribution uncertainty persist after taking into consideration individual firm characteristics.