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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Center for Financial Studies - 2011
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...
Persistent link: https://www.econbiz.de/10010958793
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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014
plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Our results …
Persistent link: https://www.econbiz.de/10010986365
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Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models
Grammig, Joachim; Schaub, Eva-Maria - Center for Financial Studies - 2014
solubility and weak identification. We propose a twostep estimation strategy that combines GMM and SMM, and for which we elicit … moments when necessary and determine the crucial factors required for both identification and reasonable estimation precision … estimation of a non-linear dynamic asset pricing model. Our study provides a blueprint for successful estimation of the LRR model. …
Persistent link: https://www.econbiz.de/10010958629
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Cash flow and discount rate risk in up and down markets: What is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - Center for Financial Studies - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010986418
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Revisiting the home bias puzzle: Downside equity risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10010986470
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Who are the value and growth investors?
Betermier, Sebastien; Calvet, Laurent E.; Sodini, Paolo - Center for Financial Studies - 2014
This paper investigates the determinants of value and growth investing in a large administrative panel of Swedish residents over the 1999-2007 period. We document strong relationships between a household's portfolio tilt and the household's financial and demographic characteristics. Value...
Persistent link: https://www.econbiz.de/10010958609
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Revisiting the Home Bias Puzzle. Downside Equity Risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10005600445
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010
.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …
Persistent link: https://www.econbiz.de/10010958491
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Copula-based dynamic conditional correlation multiplicative error processes
Bodnar, Taras; Hautsch, Nikolaus - Center for Financial Studies - 2013
-frequency volatility, cumulative trading volumes, trade counts and market depth of various stocks traded at the NYSE, we show that the …
Persistent link: https://www.econbiz.de/10010958506
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The dynamics of spillover effects during the European sovereign debt turmoil
Alter, Adrian; Beyer, Andreas - Center for Financial Studies - 2012
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...
Persistent link: https://www.econbiz.de/10010958562