Narrow search
Showing 1 - 10 of 10,586
Cover Image
Asymmetric beta comovement and systematic downside risk
Jondeau, Eric; Zhang, Qunzi - 2014
In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...
Persistent link: https://www.econbiz.de/10010442899
Cover Image
Which beta is best? : on the information content of option-implied betas
Baule, Rainer; Korn, Olaf; Saßning, Sven - In: European financial management : the journal of the … 22 (2016) 3, pp. 450-483
Persistent link: https://www.econbiz.de/10011712948
Cover Image
Beta risk in the cross-section of equities
Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017
We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...
Persistent link: https://www.econbiz.de/10011646407
Cover Image
The CAPM strikes back? : an investment model with disasters
Bai, Hang; Hou, Kewei; Kung, Howard; Zhang, Lu - 2015
in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. Our single-factor model … reproduces the failure of the CAPM in explaining the value premium in finite samples without disasters, and its relative success … in samples with disasters. The standard consumption CAPM fails in simulations, even though a nonlinear model with the …
Persistent link: https://www.econbiz.de/10010531874
Cover Image
Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …
Persistent link: https://www.econbiz.de/10009770247
Cover Image
Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...
Persistent link: https://www.econbiz.de/10011539896
Cover Image
The perils of performance measurement in the German mutual-fund industry
Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013
We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market...
Persistent link: https://www.econbiz.de/10009751161
Cover Image
Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...
Persistent link: https://www.econbiz.de/10014372444
Cover Image
Complexity in Factor Pricing Models
Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - National Bureau of Economic Research - 2023
We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance--in terms of SDF Sharpe ratio and test asset pricing errors--is improving in model parameterization (or "complexity"). Our empirical findings verify the...
Persistent link: https://www.econbiz.de/10014372446
Cover Image
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