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Breaking bad trends
Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10014576152
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Autoregressive Conditional Skewness
Siddique, Akhtar R. - 2004
returns and volatility …
Persistent link: https://www.econbiz.de/10012739229
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Conditional Skewness in Asset Pricing Tests
Harvey, Campbell R. - 2017
If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model which incorporates conditional skewness. Our results show that conditional skewness helps explain the cross-sectional variation of...
Persistent link: https://www.econbiz.de/10012954972
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Conditional Skewness in Asset Pricing : 25 Years of Out-of-Sample Evidence
Harvey, Campbell R.; Siddique, Akhtar R. - 2022
Much attention is paid to portfolio variance, but skewness is also important for both portfolio design and asset pricing. We revisit the empirical research on systematic skewness that we initiated 25 years ago. In an out-of-sample test, we find that the risk premium associated with skewness is...
Persistent link: https://www.econbiz.de/10013288865
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…and the Cross-Section of Expected Returns
Harvey, Campbell R. - 2015
Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0....
Persistent link: https://www.econbiz.de/10013035730
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Emerging equity market volatility
Bekaert, Geert - In: Journal of financial economics 43 (1997) 1, pp. 29-77
Persistent link: https://www.econbiz.de/10001213778
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Emerging equity market volatility
Bekaert, Geert; Harvey, Campbell R. - 1995
Persistent link: https://www.econbiz.de/10000928776
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Emerging Equity Market Volatility
Bekaert, Geert - 1995
has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of … particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital …
Persistent link: https://www.econbiz.de/10012473563
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Decreasing Returns to Scale, Fund Flows, and Performance
Harvey, Campbell R. - 2019
Theoretical models imply fund size and performance should be negatively linked. However, empiricists have failed to uncover consistent support for this negative relation. Using a new econometric framework which includes fund-specific sensitivities to decreasing returns to scale, we find a both...
Persistent link: https://www.econbiz.de/10012901686
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Globalization and Asset Returns
Bekaert, Geert - 2016
We provide a comprehensive analysis of the impact of economic and financial globalization on asset return comovements over the past 35 years. Our globalization indicators draw a distinction between de jure openness that results from changes in the regulatory environment and de facto or realized...
Persistent link: https://www.econbiz.de/10012984374