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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 …

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

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10010366935

Central clearing and asset prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that …

Persistent link: https://www.econbiz.de/10010224773

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

GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts

Ardia, David; Hoogerheide, Lennart - 2013

Persistent link: https://www.econbiz.de/10010191413

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage …

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

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

Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns

Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009

This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...

Persistent link: https://www.econbiz.de/10011379456

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