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Downside Risk
Ang, Andrew - 2011
compensation for holding stocks with high downside risk. We show that the cross-section of stock returns reflects a premium for … downside risk. Stocks that covary strongly with the market when the market declines have high average returns. We estimate that …Agents who place greater weight on the risk of downside losses than they are attach to upside gains demand greater …
Persistent link: https://www.econbiz.de/10012714789
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Downside Correlation and Expected Stock Returns
Ang, Andrew - 2011
demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the …If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to … asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and rising markets …
Persistent link: https://www.econbiz.de/10012715018
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Testing Conditional Factor Models
Ang, Andrew; Kristensen, Dennis - National Bureau of Economic Research (NBER) - 2011
Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The...
Persistent link: https://www.econbiz.de/10009359903
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Downside Risk
Ang, Andrew; Chen, Joseph; Xing, Yuhang - National Bureau of Economic Research (NBER) - 2005
place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside … market movements. We show that the cross-section of stock returns reflects a premium for downside risk. Specifically, stocks … that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk …
Persistent link: https://www.econbiz.de/10005718657
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Testing conditional factor models
Ang, Andrew; Kristensen, Dennis - In: Journal of Financial Economics 106 (2012) 1, pp. 132-156
Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The estimators and tests can be implemented for a single asset or...
Persistent link: https://www.econbiz.de/10010593836
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International Asset Allocation with Time-Varying Correlations
Bekaert, Geert - 2011
small for moderate levels of risk aversion, and the intertemporal hedging demands induced by time-varying correlations are …
Persistent link: https://www.econbiz.de/10012715152
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Testing Conditional Factor Models
Kristensen, Dennis; Ang, Andrew - School of Economics and Management, University of Aarhus - 2009
We develop a new methodology for estimating time-varying factor loadings and conditional alphas based on nonparametric techniques. We test whether long-run alphas, or averages of conditional alphas over the sample, are equal to zero and derive test statistics for the constancy of factor...
Persistent link: https://www.econbiz.de/10005198853
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Stock Return Predictability : Is it There?
Bekaert, Geert - 2011
earnings growth, payout ratios and the short rate as state variables. We use this model imposing a constant risk premium to …
Persistent link: https://www.econbiz.de/10012715055
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Short Rate Nonlinearities and Regime Switches
Bekaert, Geert - 2011
Using non-parametric estimation methods, various authors have shown distinct non-linearities in the drift and volatility function of the US short rate, which are inconsistent with standard affine term structure models. We document how a regime-switching model with state dependent transition...
Persistent link: https://www.econbiz.de/10012715078
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Why Stocks May Disappoint
Ang, Andrew - 2011
-varying opportunity sets, but unless investors are unreasonably risk averse, optimal holdings include unreasonably large equity positions …
Persistent link: https://www.econbiz.de/10012715114