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Understanding Defensive Equity
Novy-Marx, Robert - 2014
the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the …
Persistent link: https://www.econbiz.de/10012458074
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2014
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10013040236
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2014
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10012457922
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2018
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10012913073
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Bear beta or speculative beta? : reconciling the evidence on downside risk premium
Wang, Tong - In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 325-367
Persistent link: https://www.econbiz.de/10013543164
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Essays on asset and portfolio management : rethinking portfolio rebalancing
Wittig, Hagen - 2015
Vergleich zu einer Buy and Hold Strategie, einer idealisierten SAA Strategie sowie einer ansonsten vergleichbaren … characteristics, namely the relative price and volatility levels. The empirical analysis reveals significant excess returns in … comparison to a buy and hold strategy, an idealized SAA strategy, as well as a rebalancing strategy with static bandwidths but …
Persistent link: https://www.econbiz.de/10011418707
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In search of cushion? : crash aversion and the cross-section of expected stock returns worldwide
Weigert, Florian - 2013 - This version: March 2013
Persistent link: https://www.econbiz.de/10010410456
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Continuous and jump betas : implications for portfolio diversification
Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15
Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...
Persistent link: https://www.econbiz.de/10011506397
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Asymmetric jump beta estimation with implications forportfolio risk management
Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - 2017
Persistent link: https://www.econbiz.de/10012806610
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18
This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...
Persistent link: https://www.econbiz.de/10011906234