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Dividend momentum and stock return predictability: A Bayesian approach
Antolín-Díaz, Juan; Petrella, Ivan; Rubio-Ramírez, … - 2021
predictability, which we label "dividend momentum." Compared to estimation based on ordinary least squares, our restricted …
Persistent link: https://www.econbiz.de/10012819002
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Feasible Momentum Strategies
Rey, David M.; Schmid, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2004
Momentum strategies based on continuations in stock prices have become increas-ingly popular among academics, money managers, and investors in recent years. While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties....
Persistent link: https://www.econbiz.de/10005858929
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Equilibrium Driven by Discounted Dividend Volatility
Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2009
We derive representations for the stock price drift and volatility in theequilibrium of agents with arbitrary … characteristic of the aggregate dividendprocess that we call the ”rate of discounting volatility” and showthat, in equilibrium, the … size of market price of risk is determined bythe market price of discounted dividend volatility (DDV), discountedat that …
Persistent link: https://www.econbiz.de/10005868698
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Why and how to integrate liquidity risk into a VaR-framework
Stange, Sebastian; Kaserer, Christoph - 2008
We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using...
Persistent link: https://www.econbiz.de/10010305731
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Testing for Predictability in a Noninvertible ARMA Model
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012
We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...
Persistent link: https://www.econbiz.de/10010500219
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Geschlossene Schifffonds - Portfolio- und Marktrisiken. Eine empirische Untersuchung anhand von Zweitmarktkursdaten
Küster Simic, André; Thönnessen, Rasmus - 2008
Der Zweitmarkt für geschlossene Fonds verzeichnet wachsende Umsätze und entwickelt sich zu einem festen Bestandteil des Kapitalmarktes. Der Nominalumsatz wird in 2009 erstmals die Grenze von über 1 Mrd. € überschreiten. Um ein Portfolio in optimaler Weise zusammen zu stellen und aktiv zu...
Persistent link: https://www.econbiz.de/10010302751
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Market liquidity risk: an overview
Stange, Sebastian; Kaserer, Christoph - 2009
Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...
Persistent link: https://www.econbiz.de/10010305705
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Measuring market liquidity risk - which model works best?
Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - 2009
Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...
Persistent link: https://www.econbiz.de/10010305708
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...
Persistent link: https://www.econbiz.de/10010307494
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Centralized trading of corporate bonds
Huber, Samuel; Kim, Jaehong - 2015
In the post-crisis period, increased regulation of financial intermediaries led to a significant decline in corporate bond market liquidity. In order to stabilize these markets, policy makers recently proposed that the trading of corporate bonds should be more centralized. In this paper, we show...
Persistent link: https://www.econbiz.de/10011420570