Similar Search Results

Barberis, Nicholas - 2002

A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded …

Persistent link: https://www.econbiz.de/10012469819

David, Joel M. - 2015

information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our …

Persistent link: https://www.econbiz.de/10012457188

International Asset Allocation with Time-Varying Correlations

Ang, Andrew - 1999

It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a...

Persistent link: https://www.econbiz.de/10012471745

On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model

Chan, Louis K.C. - 1999

We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...

Persistent link: https://www.econbiz.de/10012471761

On the Correlation Structure of Microstructure Noise : A Financial Economic Approach

Diebold, Francis X. - 2010

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …

Persistent link: https://www.econbiz.de/10012462188

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2009

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We...

Persistent link: https://www.econbiz.de/10012463390

Risk Reduction in Large Portfolios : Why Imposing the Wrong Constraints Helps

Jagannathan, Ravi - 2002

Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single...

Persistent link: https://www.econbiz.de/10012469792

The Cross-Section of Risk and Return

Daniel, Kent - 2017

In the finance literature, a common practice is to create factor-portfolios by sorting on characteristics (such as book-to-market, profitability or investment) associated with average returns. The goal of this exercise is to create a parsimonious set of factor-portfolios that explain the...

Persistent link: https://www.econbiz.de/10012453549

Capital Flows and the Behavior of Emerging Market Equity Returns

Bekaert, Geert - 1998

find that increases in equity flows are associated with a lower cost of capital, higher correlation with world market …

Persistent link: https://www.econbiz.de/10012472142

Market Efficiency in an Irrational World

Daniel, Kent - 2000

This paper explains why investors are likely to be overconfident and how this behavioral bias affects investment decisions. Our analysis suggests that investor overconfidence can potentially generate stock return momentum and that this momentum effect is likely to be the strongest in those...

Persistent link: https://www.econbiz.de/10012471287

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