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Momentum Trading, Return Chasing, and Predictable Crashes

Chabot, Benjamin - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies -- momentum. We find that momentum has earned abnormally high risk-adjusted returns -- a...

Persistent link: https://www.econbiz.de/10012458005

Nowcasting Net Asset Values : The Case of Private Equity

Brown, Gregory W. - 2020

We apply advances in analysis of mix frequency and sparse data to estimate "unsmoothed" private equity (PE) Net Asset Values (NAVs) at the weekly frequency for individual funds. Using simulations and a large sample of buyout and venture funds, we show that our method yields superior estimates of...

Persistent link: https://www.econbiz.de/10012845590

Testing a Large Set of Zero Restrictions in Regression Models, with an Application to Mixed Frequency Granger Causality

Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - 2019

This paper proposes a new test for a large set of zero restrictions in regression models based on a seemingly overlooked, but simple, dimension reduction technique. The procedure involves multiple parsimonious regression models where key regressors are split across simple regressions. Each...

Persistent link: https://www.econbiz.de/10014036040

Direct versus Iterated Multiperiod Volatility Forecasts

Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen I.; … - 2020

of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts … minutes), we are interested in forecasting variances 5, 10, 22, 44, and 66 days ahead. The empirical analysis, which is …

Persistent link: https://www.econbiz.de/10014102384

Chapter 9. Forecasting Real Estate Prices

Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen; … - In: Handbook of Economic Forecasting : volume 2, part A, (pp. 509-580). 2013

This chapter reviews the evidence of predictability in U.S. residential and commercial real estate markets. First, we highlight the main methodologies used in the construction of real estate indices, their underlying assumptions and their impact on the stochastic properties of the resultant...

Persistent link: https://www.econbiz.de/10014025540

Predicting the VIX and the volatility risk premium : the role of short-run funding spreads volatility factors

Andreou, Elena; Ghysels, Eric - 2020

Persistent link: https://www.econbiz.de/10014336139

Panel data nowcasting : the case of price-earnings ratios

Babii, Andrii; Ball, Ryan T.; Ghysels, Eric; Striaukas, … - In: Journal of applied econometrics 39 (2024) 2, pp. 292-307

Persistent link: https://www.econbiz.de/10014517329

Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series

Miller, J. Isaac; Ghysels, Eric - Economics Department, University of Missouri - 2013

We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration …. While it is well known that aggregation and sampling frequency do not affect the long-run properties of time series, we find … that the effects of aggregation on the size of commonly used tests may be severe. Matching sampling schemes of all series …

Persistent link: https://www.econbiz.de/10010933596

Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series

Ghysels, Eric; Miller, J. Isaac - C.E.P.R. Discussion Papers - 2013

We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We … find that the effects of aggregation on the size of the tests may be severe. Matching sampling schemes of all series …

Persistent link: https://www.econbiz.de/10011084358

Momentum trading, return chasing, and predictable crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies - momentum. We find that momentum has earned abnormally high risk-adjusted returns - a...

Persistent link: https://www.econbiz.de/10011460679