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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

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

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

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

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

The cross section of positively weighted portfolios

Niedermayer, Daniel; Zimmermann, Heinz - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007

This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...

Persistent link: https://www.econbiz.de/10005862639

Feasible Momentum Strategies - Evidence from the Swiss Stock Market

Rey, David M.; Schmid, Markus M. - Wirtschaftswissenschaftliches Zentrum <Basel> - 2005

While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most important, chasing momentum can generate high turnover. Though there are already several attempts to make momentum strategies less expensive with respect...

Persistent link: https://www.econbiz.de/10005862981

Incomplete-Market Equilibria Solved Recursively on anEvent Tree

Dumas, Bernard; Lyasoff, Andrew - National Centre of Competence in ResearchFinancial … - 2008

We develop a method that allows one to compute incomplete-market equilibria routinely forMarkovian equilibria (when they exist). The main difficulty to be overcome arises from the setof state variables. There are, of course, exogenous state variables driving the economy but, in anincomplete...

Persistent link: https://www.econbiz.de/10005868691

From Discrete to Continuous Time EvolutionaryFinance Models

Palczewski, Jan; Schenk-Hoppé, Klaus R. - Finrisk - 2008

This paper aims to open a new avenue for research in continuoustimenancial market models with endogenous prices and heterogenousinvestors. The main result is the derivation of the limit of a discretetimeevolutionary stock market model as the length of the time periodtends to zero.[...]

Persistent link: https://www.econbiz.de/10005868842

Bubbles and multiplicity of equilibria under portfolioconstraints

Hugonnier, Julien - Finrisk - 2008

This article shows that, as long as agents are required to maintain positivewealth, the presence of portfolio constraints may give rise to asset pricingbubbles in equilibrium even if there are unconstrained agents in the economywho can benefit from the induced arbitrage opportunity. Furthermore,...

Persistent link: https://www.econbiz.de/10005868914