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Persistent link: https://www.econbiz.de/10015077948
Insurers and pension funds face the challenges of historically low interest rates and volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk...
Persistent link: https://www.econbiz.de/10013249746
Neutralizing portfolios from overall market risk is an important part of investment management particularly for hedge funds. In this paper we show an economically significant improvement in the accuracy of targeting market neutrality for equity portfolios. Key features of the approach are the...
Persistent link: https://www.econbiz.de/10012965156
Generating one-month-ahead systematic (beta) risk forecasts is common place in financial management. This paper evaluates the accuracy of these beta forecasts in three return measurement settings; monthly, daily and 30 minutes. It is found that the popular Fama-MacBeth beta from 5 years of...
Persistent link: https://www.econbiz.de/10013063045
Persistent link: https://www.econbiz.de/10012585979
Financial uncertainty and macroeconomic uncertainty are commonly proxied separately by the volatility of stock returns or key macroeconomic variables, respectively. We propose a portfolio-based measure (PBMEU) that aims to capture aggregate uncertainty in both financial markets and the...
Persistent link: https://www.econbiz.de/10012895945
Men are strikingly more optimistic about the future performance of key economic and financial indicators than women. We report surprisingly strong and highly significant gender differences in consumer confidence data of seventeen out of eighteen countries, including the US. We confirm these...
Persistent link: https://www.econbiz.de/10012766823
We investigate two alternative explanations why men may hold more stocks than women. Apart from a gender difference in risk aversion, gender differences in either optimism or in perceived risk of financial markets might cause men to hold more risky assets. Our results show that men tend to be...
Persistent link: https://www.econbiz.de/10013025768
This study provides empirical support for recent theoretical models that allow for time-varying rare disaster risk. Using a unique database of 447 international political crises during the period 1918–2006, we create a crisis index that shows substantial variation over time. We show that...
Persistent link: https://www.econbiz.de/10013146697
The profit to a standard short-term return reversal strategy can be decomposed analytically into four components: 1) across-industry return momentum, 2) withinindustry variation in expected returns, 3) under-reaction to within-industry cash flow news, and 4) a residual. Only the residual...
Persistent link: https://www.econbiz.de/10010287131