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Ang, Andrew; Kristensen, Dennis - National Bureau of Economic Research (NBER) - 2011

Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The...

Persistent link: https://www.econbiz.de/10009359903

Downside Risk

Ang, Andrew; Chen, Joseph; Xing, Yuhang - National Bureau of Economic Research (NBER) - 2005

place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside … market movements. We show that the cross-section of stock returns reflects a premium for downside risk. Specifically, stocks … that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk …

Persistent link: https://www.econbiz.de/10005718657

Optimal Inference in Regression Models with Nearly Integrated Regressors

Jansson, Michael; Moreira, Marcelo J. - National Bureau of Economic Research (NBER) - 2004

This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper...

Persistent link: https://www.econbiz.de/10005248990

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Shanken, Jay; Kan, Raymond; Robotti, Cesare - National Bureau of Economic Research (NBER) - 2009

misspecification-robust asymptotic standard errors of the risk premia estimates. We also derive the asymptotic distribution of the …

Persistent link: https://www.econbiz.de/10005025630

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Ait-Sahalia, Yacine; Jacod, Jean - National Bureau of Economic Research (NBER) - 2010

This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...

Persistent link: https://www.econbiz.de/10008597185

Testing Portfolio Efficiency with Conditioning Information

Ferson, Wayne; Siegel, Andrew F. - National Bureau of Economic Research (NBER) - 2006

We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our...

Persistent link: https://www.econbiz.de/10005034911

Rare Events, Financial Crises, and the Cross-Section of Asset Returns

Bianchi, Francesco - National Bureau of Economic Research (NBER) - 2015

-value stocks. This helps to explain the cross section of asset returns when risk is priced according to a version of the "Bad Beta … Recession. The Great Depression regime implies a collapse of the stock market, with small-growth stocks outperforming small …

Persistent link: https://www.econbiz.de/10011213652

The Myth of Long-Horizon Predictability

Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert - National Bureau of Economic Research (NBER) - 2005

The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost...

Persistent link: https://www.econbiz.de/10005087466

Closed-Form Likelihood Expansions for Multivariate Diffusions

Ait-Sahalia, Yacine - National Bureau of Economic Research (NBER) - 2002

This paper provides closed-form expansions for the transition density and likelihood function of arbitrary multivariate diffusions. The expansions are based on a Hermite series, whose coefficients are calculated explicitly by exploiting the special structure afforded by the diffusion hypothesis....

Persistent link: https://www.econbiz.de/10005710367

A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

Ait-Sahalia, Yacine; Zhang, Lan; Mykland, Per A. - National Bureau of Economic Research (NBER) - 2003

It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. This work attempts to lay out theoretical grounds that...

Persistent link: https://www.econbiz.de/10005828540

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