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Automated machine learning and asset pricing

Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

Persistent link: https://www.econbiz.de/10015066381

Commodity prices after COVID-19 : persistence and time trends

Monge González, Manuel; Lazcano, Ana - In: Risks : open access journal 10 (2022) 6, pp. 1-20

Since December 2019 we have been living with the virus known as SARS-CoV-2, a situation which has led to health policies being given prevalence over economic ones and has caused a paralysis in the demand for raw materials for several months due to the number confinements put in place around the...

Persistent link: https://www.econbiz.de/10013363006

Dealing with drift uncertainty : a Bayesian learning approach

De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: Risks : open access journal 7 (2019) 1/5, pp. 1-18

One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled …/covariance parameter is assumed to be estimated with a certain level of confidence, we focus on drift uncertainty in this paper. Building …

Persistent link: https://www.econbiz.de/10012018698

Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets

Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16

positively correlated with economic policy uncertainty, however, are negatively correlated with the monetary policy and fiscal … uncertainty for returns of the Dow-Jones Industrial Average (DJIA) and the S&P 500 Value stock index (VALUE), but negatively …

Persistent link: https://www.econbiz.de/10012292914

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Persistent link: https://www.econbiz.de/10010399713

Premium risk net of reinsurance : from short-term to medium-term assessment

Pallaria, Antonio; Savelli, Nino - In: Risks : open access journal 7 (2019) 3/72, pp. 1-29

Solvency II requirements introduced new issues for actuarial risk management in non-life insurance, challenging the market to have a consciousness of its own risk profile, and also investigating the sensitivity of the solvency ratio depending on the insurance risks and technical results on...

Persistent link: https://www.econbiz.de/10012127608

Are investors' attention and uncertainty aversion the risk factors for stock markets? : international evidence from the COVID-19 crisis

Shear, Falik; Ashraf, Badar Nadeem; Sadaqat, Mohsin - In: Risks : open access journal 9 (2021) 1/2, pp. 1-15

, measuring the national culture with the uncertainty avoidance index (the aspect of national culture which measures the cross … market returns is stronger in countries where investors possess higher uncertainty avoidance cultural values. Our findings … imply that uncertainty avoidance cultural values of investors promote financial market instability amid the crisis. …

Persistent link: https://www.econbiz.de/10012422883

Bank stock return reactions to the COVID-19 pandemic : the role of investor sentiment in MENA countries

Al-Baity, Mohamed; Mallek, Ray Saadaoui; Mustafa, Hasan - In: Risks : open access journal 10 (2022) 2, pp. 1-15

In this study, we investigated the impact of COVID-19 investor sentiment (CS), number of cases (CC), and deaths (CD) on bank stock returns in 16 MENA countries. In addition, we examined the interaction effects of CS with CC and CD on bank stock returns. Lastly, we looked at whether Islamic banks...

Persistent link: https://www.econbiz.de/10013093071

The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns

Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks : open access journal 10 (2022) 3, pp. 1-11

This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and expected stock returns. Using daily stock return data in the US market from the Center for Research in Security Prices (CRSP), we estimate monthly idiosyncratic volatility and...

Persistent link: https://www.econbiz.de/10013161497

The effect of jumps in the crude oil market on the sovereign risks of major oil exporters

Bouri, Elie - In: Risks : open access journal 7 (2019) 4/118, pp. 1-15

We study the jump behaviour in the sovereign risks of major oil-exporting countries and examine whether it is affected by jumps in the price and volatility of crude oil. Data used are daily from 14 February 2011, to 31 July 2019. We detect the presence of jumps in many oil exporters and find...

Persistent link: https://www.econbiz.de/10012127756

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