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Franzoni, Francesco - 2008

In the first three decades of CRSP data, value stocks have higher betas than growth stocks. Later on, the ranking is reversed and the gap in beta widens. What makes growth strategies nowadays bear more market risk than value strategies? What are the causes of the reversal in the ranking of...

Persistent link: https://www.econbiz.de/10003966097

Complexity in Factor Pricing Models

Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - 2023

We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance—in terms of SDF Sharpe ratio and average pricing errors—is improving in model parameterization (or “complexity”). Our results predict that the best...

Persistent link: https://www.econbiz.de/10014254198

Has the pricing of stocks become more global?

Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015

We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...

Persistent link: https://www.econbiz.de/10011412487

Empirical Asset Pricing via Ensemble Gaussian Process Regression

Filipović, Damir; Pasricha, Puneet - 2022

We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and...

Persistent link: https://www.econbiz.de/10014236083

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2013

This paper shows that the VIX market contains information on the variance of the S&P 500 returns, which is not already spanned by the S&P 500 market. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. We find that including...

Persistent link: https://www.econbiz.de/10010256394

Inflation risk premia, yield volatility and macro factors

Berardi, Andrea; Plazzi, Alberto - 2018

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds and survey...

Persistent link: https://www.econbiz.de/10011877284

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

Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM

Adrian, Tobias; Franzoni, Francesco - 2008

We complement the conditional CAPM by introducing unobservable long-run changes in risk factor loadings. In this … variation in betas, our approach circumvents recent criticisms of the conditional CAPM. When tested on portfolios sorted by size … and book-to-market, our learning-augmented conditional CAPM fails to be rejected …

Persistent link: https://www.econbiz.de/10003966158

The perils of performance measurement in the German mutual-fund industry

Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013

We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market...

Persistent link: https://www.econbiz.de/10009751161

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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