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Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

Persistent link: https://www.econbiz.de/10011518800

Optimal long-term allocation with pension fund liabilities

Jondeau, Eric; Rockinger, Michael - 2014

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

Persistent link: https://www.econbiz.de/10010442892

Average skewness matters!

Jondeau, Eric; Zhang, Qunzi - 2015

Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...

Persistent link: https://www.econbiz.de/10011412455

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013362020

Have we solved the idiosyncratic volatility puzzle?

Hou, Kewei; Loh, Roger K. - 2012 - This draft: December 2012

We propose a simple methodology to evaluate a large number of potential explanations for the negative relation between idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing explanations explain less than 10% of the...

Persistent link: https://www.econbiz.de/10009699414

Strategic risk shifting and the idiosyncratic volatility puzzle

Chen, Zhiyao; Strebulaev, Ilya A.; Xing, Yuhang; Zhang, … - 2014

We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between … idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their … when the market risk premium is high. The negative covariance between the equity beta and the market risk premium causes …

Persistent link: https://www.econbiz.de/10010387144

Feedback loops in industry trade networks and the term structure of momentum profits

Sharifkhani, Ali; Simutin, Mikhail - 2016

Industries are economically linked through customer-supplier trade flows. We show that industry shocks propagating along this inter-sectoral trade network can feed back to the originating industry, causing an "echo" -- intermediate-term autocorrelation in returns. Adopting techniques from graph...

Persistent link: https://www.econbiz.de/10011646318

Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

Persistent link: https://www.econbiz.de/10010442899

Procyclical Stocks Earn Higher Returns

Goetzmann, William N.; Watanabe, Akiko; Watanabe, Masahiro - National Bureau of Economic Research - 2024

loading on the expected real GDP growth rate is a priced risk measure. A fully tradable, ex-ante portfolio formed on this …

Persistent link: https://www.econbiz.de/10014544787

The impact at stake : risk and return in publicly listed social impact firms

Giacomini, Emanuela; Marinelli, Nicoletta; Riccetti, Luca - In: Business ethics, the environment & responsibility 32 (2023) 2, pp. 713-741

Persistent link: https://www.econbiz.de/10014315137

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