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The role of stock indices in analyst career outcomes and stock recommendations
Pursiainen, Vesa - 2023
Random changes in firms' stock index membership have important implications on sell-side analysts' career outcomes …-career analysts. This is reflected in analyst recommendations. For firms that are just above the index threshold - that might move to … of defining the index weights that determine index membership …
Persistent link: https://www.econbiz.de/10014351259
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Conditioning the information in portfolio optimization
Sala, Carlo; Barone-Adesi, Giovanni - 2015
This paper proposes a theoretical analysis on the impacts of using a suboptimal information set on the three main components used in asset pricing, namely the risk physical and neutral measures and the relative pricing kernel.The analysis is carried out by means of a portfolio optimization...
Persistent link: https://www.econbiz.de/10011506342
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Average skewness matters!
Jondeau, Eric; Zhang, Qunzi - 2015
Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...
Persistent link: https://www.econbiz.de/10011412455
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Optimal long-term allocation with pension fund liabilities
Jondeau, Eric; Rockinger, Michael - 2014
We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...
Persistent link: https://www.econbiz.de/10010442892
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Asymmetric beta comovement and systematic downside risk
Jondeau, Eric; Zhang, Qunzi - 2014
In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...
Persistent link: https://www.econbiz.de/10010442899
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The virtue of complexity in machine learning portfolios
Kelly, Bryan T.; Malamud, Semyon; Zhou, Kangying - 2021
Contrary to conventional wisdom in nance, return prediction R2 and optimal portfolio Sharpe ratio generally increase with model parameterization, even when minimal regularization is used. We theoretically characterize the behavior of return prediction models in the high complexity regime, i.e....
Persistent link: https://www.econbiz.de/10012800453
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Principal portfolios
Kelly, Bryan T.; Malamud, Semyon; Pedersen, Lasse Heje - 2020 - This version: June 8, 2020
We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes...
Persistent link: https://www.econbiz.de/10012271188
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Self-fulfilling risk panics
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2010
Recent crises have seen very large spikes in asset price risk without dramatic shifts in fundamentals. We propose an explanation for these risk panics based on self-fulfilling shifts in risk made possible by a negative link between the current asset price and risk about the future asset price....
Persistent link: https://www.econbiz.de/10008797071
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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452
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S&P 500 index, an option-implied risk analysis
Barone-Adesi, Giovanni; Legnazzi, Chiara; Sala, Carlo - 2018
classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …
Persistent link: https://www.econbiz.de/10011899623