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Upside and Downside Risks in Momentum Returns
Dobrynskaya, Victoria - 2020
I provide a novel risk-based explanation for the profitability of momentum strategies. I show that the past winners and the past losers are differently exposed to the upside and downside market risks. Winners systematically have higher relative downside market betas and lower relative upside...
Persistent link: https://www.econbiz.de/10012855873
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Dynamic Momentum and Contrarian Trading
Dobrynskaya, Victoria - 2017
High momentum returns cannot be explained by risk factors, but they are negatively skewed and subject to occasional severe crashes. I explore the timing of momentum crashes and show that momentum strategies tend to crash in 1-3 months after the local stock market plunge. Next, I propose a simple...
Persistent link: https://www.econbiz.de/10012947228
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Fundamental Factors Affecting The Moex Russia Index : Structural Break Detection In A Long-Term Time Series
Lozinskaia, Agata - 2019
interest rates in Russia and the USA) on the MOEX Russia Index over long time interval from 2003 to 2018. The analysis of the … fundamental factors which are probably caused by the structural instability revealed earlier in Russia and other stock markets …
Persistent link: https://www.econbiz.de/10012861490
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The Effects of Mergers on Sellers, Customers, and Competitors in Russia's Ferrous and Non-Ferrous Metal Industries : The Application of Financial Event Study
Tsytsulina, Dina - 2013
. Their market power is limited on the world market due to the presence of competitors, while in Russia most of them have …. During 1999-2011 numerous mergers in these industries were completed and approved by the Federal Antitrust Service – Russia …'s competition agency. The key problem of merger analysis in Russia's ferrous and non-ferrous metal industries is the trade …
Persistent link: https://www.econbiz.de/10013074690
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An Asymmetric Approach to the Cost of Equity Estimation : Empirical Evidence from Russia
Dranev, Yury - 2013
The choice of an appropriate model for the estimation of the cost of equity in emerging markets is still a very challenging problem. Market inefficiency, limited opportunities for diversification, as well as liquidity issues inspire researches to look for risk characteristics beyond the...
Persistent link: https://www.econbiz.de/10013085950
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Lego - The Toy of Smart Investors
Dobrynskaya, Victoria - 2020
We study financial returns on alternative collectible investment assets – toys - using LEGO sets as an example. Such iconic toys with diminishing over time supply and high collectable values appear to yield high returns on the secondary market. We find that LEGO investments outperform large...
Persistent link: https://www.econbiz.de/10012823035
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Is Downside Risk Priced In Cryptocurrency Market?
Dobrynskaya, Victoria - 2020
I look at the cryptocurrency market through the prism of standard multifactor asset-pricing models with particular attention to the downside market risk. The analysis for 1,700 coins reveals that there is a significant heterogeneity in the exposure to the downside market risk, and that a higher...
Persistent link: https://www.econbiz.de/10012823037
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Study of Consistency of Bond and CDS Quotes
Kurbangaleev, Marat - 2015
In this paper, we study the consistency of bonds and CDS quotes data within a widely accepted credit risk pricing framework, allowing for non-trivial term structures of risk-free interest rates and default intensities. We propose an approach to test this consistency and a procedure to deal with...
Persistent link: https://www.econbiz.de/10013025025
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Colog Asset Pricing, Evidence from Emerging Markets
Dranev, Yury - 2014
We introduce a new asset pricing model to account for risk asymmetrically in a very natural way. Assuming asymmetric investor behavior we develop a utility function similar to a quadratic utility but include a colog measure for capturing risk attitude. Asymmetry in investor preferences follows...
Persistent link: https://www.econbiz.de/10013060302
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Cryptocurrencies Meet Equities : Risk Factors And Asset Pricing Relationships
Dobrynskaya, Victoria; Dubrovskiy, Mikhail - 2022
We consider a variety of cryptocurrency and equity risk factors as potential forces that drive cryptocurrency returns and carry risk premiums. In a cross-section of 2,000 biggest cryptocurrencies, only downside market risk, cryptocurrency size and policy uncertainty factors are systematically...
Persistent link: https://www.econbiz.de/10013298411