Showing 1 - 10 of 13
Campbell, Serfaty-De Medeiros, and Viceira (2010) propose an optimized method to hedge currency risk in portfolios of international equities. In a demanding out-of-sample test, incorporating transaction and rebalancing costs, and margin requirements we find their method reduces risk in real...
Persistent link: https://www.econbiz.de/10012949646
We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...
Persistent link: https://www.econbiz.de/10013239927
We test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum and reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio outperforms the carry trade and other...
Persistent link: https://www.econbiz.de/10013008155
We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...
Persistent link: https://www.econbiz.de/10013239928
We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...
Persistent link: https://www.econbiz.de/10013239929
We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...
Persistent link: https://www.econbiz.de/10013240067
We examine the risk-return trade-off among alternative equity factors. We obtain a positivein-sample trade-off for the pro fitability (RMW) and investment (CMA/IA) factors of Famaand French (2015) and Hou, Xue, and Zhang (2015), while for the market and momentumfactors there is a negative...
Persistent link: https://www.econbiz.de/10013240111
Several theoretical studies suggest that coordination problems can cause arbitrageur crowding to push asset prices beyond fundamental value as investors feedback trade on each others' demands. Using this logic we develop a crowding model for momentum returns that predicts tail risk when...
Persistent link: https://www.econbiz.de/10012853681
Betting-against-risk (BAR) anomaly portfolios formed on past beta and idiosyncratic / total volatility produce large CAPM alphas. But these return spreads are well explained by the Fama--French six-factor model (FF6). Operating profitability, investment, and momentum factors subsume the low-risk...
Persistent link: https://www.econbiz.de/10012854917
We investigate whether transaction costs, arbitrage risk, and short-sale constraints explain the abnormal returns of volatility-managed equity portfolios. Even using five cost-mitigation strategies, after accounting for transaction costs, volatility management of common asset-pricing factors...
Persistent link: https://www.econbiz.de/10012853256