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Crash sensitivity and the cross section of expected stock returns
Chabi-Yo, Fousseni; Ruenzi, Stefan; Weigert, Florian - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 3, pp. 1059-1100
Persistent link: https://www.econbiz.de/10011930029
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Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - In: Journal of financial economics 145 (2022) 1, pp. 129-153
Persistent link: https://www.econbiz.de/10013473731
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The acceleration effect and gamma factor in asset pricing
Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974
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Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012489163
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Asymmetric dependence in real estate investment trusts : an asset-pricing analysis
Alcock, Jamie; Andrlikova, Petra - In: The journal of real estate finance and economics 56 (2018) 2, pp. 183-216
Persistent link: https://www.econbiz.de/10011966511
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Semiparametric estimation of multi-asset portfolio tail risk
Dias, Alexandra - In: Journal of Banking & Finance 49 (2014) C, pp. 398-408
When correlations between assets turn positive, multi-asset portfolios can become riskier than single assets. This article presents the estimation of tail risk at very high quantiles using a semiparametric estimator which is particularly suitable for portfolios with a large number of assets. The...
Persistent link: https://www.econbiz.de/10011118106
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Asset pricing with skewed-normal return
Carmichael, Benoıˆt; Coën, Alain - In: Finance Research Letters 10 (2013) 2, pp. 50-57
Despite the fact that it is easy to see intuitively why skewness and coskewness should matter for asset pricing, it is … distribution of shocks. This paper takes up the challenge and studies the effect of skewness and coskewness on asset valuation. To …
Persistent link: https://www.econbiz.de/10011065846
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International Equity Flows and Returns: A Quantitative Equilibrium Approach
Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - C.E.P.R. Discussion Papers - 2005
This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...
Persistent link: https://www.econbiz.de/10005791707
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Higher co-moments and asset pricing on London Stock Exchange
Kostakis, Alexandros; Muhammad, Kashif; Siganos, Antonios - In: Journal of Banking & Finance 36 (2012) 3, pp. 913-922
coskewness or positive cokurtosis should yield higher premia relative to counterpart firms with positive coskewness and negative … the London Stock Exchange during the period 1986–2008. Our empirical results confirm that coskewness and cokurtosis premia … over the cross-section of coskewness and cokurtosis portfolio returns. …
Persistent link: https://www.econbiz.de/10010577956
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Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia
Docherty, Paul; Chan, Howard; Easton, Steve - In: Pacific-Basin Finance Journal 22 (2013) C, pp. 107-124
By examining the correlation between the size, value and momentum empirical regularities and macroeconomic variables we investigate whether these regularities may be explained as risk factors within Merton's (1973) ICAPM. We examine the commodity-based Australian economy where financial asset...
Persistent link: https://www.econbiz.de/10010608152