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Gong, Qiang; Liu, Ming; Liu, Qianqiu - In: Journal of Banking & Finance 50 (2015) C, pp. 169-182

within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum … but an underestimation of recent past momentum in the US market. There is no significant difference between the … construction of momentum strategies in the US and each of the 26 major international markets. …

Persistent link: https://www.econbiz.de/10011118112

Higher co-moments and asset pricing on London Stock Exchange

Kostakis, Alexandros; Muhammad, Kashif; Siganos, Antonios - In: Journal of Banking & Finance 36 (2012) 3, pp. 913-922

are genuinely priced in the UK market, over and above what covariance risk, size, value and momentum factors can explain …

Persistent link: https://www.econbiz.de/10010577956

Long-term U.S. infrastructure returns and portfolio selection

Bianchi, Robert J.; Bornholt, Graham; Drew, Michael E.; … - In: Journal of Banking & Finance 42 (2014) C, pp. 314-325

Our understanding of the long-term return behavior and portfolio characteristics of public infrastructure investments is limited by a relatively short history of empirical data. We re-construct U.S. listed infrastructure index returns by mapping their monthly performance to received systematic...

Persistent link: https://www.econbiz.de/10010753674

Downside risk of international stock returns

Galsband, Victoria - In: Journal of Banking & Finance 36 (2012) 8, pp. 2379-2388

This paper investigates the downside risk exposure of international stock returns in 14 major industrialized economies around the world. For the period 1975–2010, we find that differences in returns on value and growth portfolios can be rationalized by assets’ reagibilities to market’s...

Persistent link: https://www.econbiz.de/10010599654

Downside risk aversion, fixed-income exposure, and the value premium puzzle

Baltussen, Guido; Post, Gerrit T.; Van Vliet, Pim - In: Journal of Banking & Finance 36 (2012) 12, pp. 3382-3398

The value premium is relatively small for investors with a material fixed-income exposure, such as insurance companies and pension funds, especially when they are downside-risk-averse. Value stocks are less attractive to these investors because they offer a relatively poor hedge against poor...

Persistent link: https://www.econbiz.de/10010580914

Asset pricing with heterogeneous beliefs and relative performance

Huang, Shiyang; Qiu, Zhigang; Shang, Qi; Tang, Ke - In: Journal of Banking & Finance 37 (2013) 11, pp. 4107-4119

We propose an equilibrium asset pricing model in which agents with heterogeneous beliefs care about relative performance. We find that the concern with relative performance leads agents to trade more similarly, a development that has two effects. First, similar trading directly decreases...

Persistent link: https://www.econbiz.de/10010703253

Return decomposition and the Intertemporal CAPM

Maio, Paulo - In: Journal of Banking & Finance 37 (2013) 12, pp. 4958-4972

size/book-to-market portfolios. More specifically, it is the covariance with the lagged innovation in one of the state …

Persistent link: https://www.econbiz.de/10010709508

Assessing the risk-return trade-off in loan portfolios

Mencía, Javier - In: Journal of Banking & Finance 36 (2012) 6, pp. 1665-1677

This paper proposes a methodology to analyse the risk and return of large loan portfolios in a joint setting. I propose a tractable model to obtain the distribution of loan returns from observed interest rates and default frequencies. I follow a sectoral approach that captures the heterogeneous...

Persistent link: https://www.econbiz.de/10011065599

Saving-based asset-pricing

Dreyer, Johannes K.; Schneider, Johannes; Smith, William T. - In: Journal of Banking & Finance 37 (2013) 9, pp. 3704-3715

This paper explores the implications of a novel class of preferences for the behavior of asset prices. Following a suggestion by Marshall (1920), we entertain the possibility that people derive utility not only from consumption, but also from the very act of saving. These “saving-based”...

Persistent link: https://www.econbiz.de/10011065662

Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading

Levy, Ariel; Lieberman, Offer - In: Journal of Banking & Finance 37 (2013) 5, pp. 1412-1421

In this paper we study the intraday price formation process of country Exchange Traded Funds (ETFs). We identify specific parts of the US trading day during which Net Asset Values (NAVs), currency rates, premiums and discounts, and the S&P 500 index have special effects on ETF prices, and...

Persistent link: https://www.econbiz.de/10010741762

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