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Atanasov, Victoria - 2014 - This version: May 26, 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...

Persistent link: https://www.econbiz.de/10010362976

The size effect in value and momentum factors : implications for the cross-section of international stock returns

Atanasov, Victoria; Nitschka, Thomas - 2013

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...

Persistent link: https://www.econbiz.de/10010224775

Simple market timing with moving averages

Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018

Consider using the simple moving average (MA) rule of Gartley (1935) to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show...

Persistent link: https://www.econbiz.de/10011848115

Cash flow and discount rate risk in up and down markets : what is actually priced?

Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 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/10011382429

Income inequality and stock market returns

Markiewicz, Agnieszka; Raciborski, Rafal - 2018

increase of the share of capital owners' income from risky capital leads to higher equity premium and a rise in their non …-risky, labor share of income reduces it. When we calibrate our model to match the empirical size of shifts in the last five decades …, we find that the negative impact of the higher labour share of income of capital owners dominates and brings the equity …

Persistent link: https://www.econbiz.de/10011916413

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...

Persistent link: https://www.econbiz.de/10010465152

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

Persistent link: https://www.econbiz.de/10011531096

Predicting the daily covariance matrix for S&P 100 stocks using intraday data : but which frequency to use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2006

This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency,...

Persistent link: https://www.econbiz.de/10011346450

A meta-analysis of the equity premium

Ewijk, Casper van; Groot, Henri L. F. de; Santing, Coos - 2010

The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis....

Persistent link: https://www.econbiz.de/10011381035

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...

Persistent link: https://www.econbiz.de/10010259626