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Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500
Chiarella, Carl; He, Xue-Zhong; Zwinkels, Remco C.J. - Finance Discipline Group, Business School - 2014
This paper empirically assesses heterogeneous expectations in asset pricing. We use a maximum likelihood approach on S&P500 data to estimate a structural model. Our empirical results are consistent with a market populated with fundamentalists and chartists. In addition, agents switch between...
Persistent link: https://www.econbiz.de/10010883504
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Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - Finance Discipline Group, Business School - 2005
Following the framework of a one risky - one riskless asset model developed by Brock and Hommes (1998), this paper considers a discrete-time model of a financial market where heterogeneous groups of agents allocate their wealth amongst multiple risky assets and a riskless asset. Agents follow...
Persistent link: https://www.econbiz.de/10004984536
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Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience
Bird, Ron; Casavecchia, Lorenzo - Finance Discipline Group, Business School - 2008
Academic and professional attention has been devoted in the past to the analysis of the potential value-enhancement generated by strategies based on macroeconomic models and applied to portfolios or indexes of style classes. In this paper, we analyse the extent of the excess returns that can be...
Persistent link: https://www.econbiz.de/10005073673
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Do Ex-Dividend Drop-Offs Differ Across Markets? Evidence from Internationally Traded (ADR) Stocks
Alaganar, VT; Partington, Graham; Stevenson, Max - Finance Discipline Group, Business School - 1999
This paper investigates whether the ex-dividend drop-offs for ADRs differ from the ex-dividend drop-offs of their underlying Australian stocks. An expected source of difference in the valuation of dividends, and hence in the drop-offs, is the availability of imputation tax credits to Australian...
Persistent link: https://www.econbiz.de/10005027644
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Liability Driven Investments under a Benchmark Based Approach
Baldeaux, Jan; Platen, Eckhard - Finance Discipline Group, Business School - 2013
In this paper, we present an alternative approach as a suitable framework under which liability driven investments can be valued and hedged. This benchmark approach values both assets and liabilities consistently under the real world probability measure using the best performing portfolio, the...
Persistent link: https://www.econbiz.de/10010883496
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The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?
Bird, Ron; Reddy, Krishna; Yeung, Danny - Finance Discipline Group, Business School - 2011
Numerous empirical studies dating back to Ball and Brown (1968) have investigated how markets react to the receipt of new information. However, it is only recently that authors have focussed on differentiating between, and learning from, how investors react to good and bad news. In this paper we...
Persistent link: https://www.econbiz.de/10009493157
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Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?
Hong, KiHoon Jimmy; Wu, Eliza - Finance Discipline Group, Business School - 2014
This paper provides new empirical evidence that price-based momentum indicator variables can enhance the ability of … horizons for particularly, small-cap stocks. Momentum variables are shown to be important in the shorter term horizons. This …
Persistent link: https://www.econbiz.de/10010883502
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Market Sentiment and Paradigm Shifts
Chu, Liya; He, Xue-Zhong; Li, Kai; Tu, Jun - Finance Discipline Group, Business School - 2015
variables and non-fundamental variables, such as time-series momentum. In this paper, we study the role of investor setiment in …
Persistent link: https://www.econbiz.de/10011266350
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Optimal Time Series Momentum
He, Xue-Zhong; Li, Kai; Li, Youwei - Finance Discipline Group, Business School - 2015
We develop a continuous-time asset price model to capture the time series momentum documented recently. The underlying … stochastic delay differential system facilitates the analysis of effects of different time horizons used by momentum trading. By … studying an optimal asset allocation problem, we find that the performance of time series momentum strategy can be …
Persistent link: https://www.econbiz.de/10011123928
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Long Memory, Heterogeneity and Trend Chasing
He, Xue-Zhong; Li, Youwei - Finance Discipline Group, Business School - 2005
Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...
Persistent link: https://www.econbiz.de/10004984561