Showing 1 - 10 of 20
In this paper, we propose two asymmetry measures for stock returns. Unlike the popular skewness measure, our measures are based on the distribution function of the data rather than just the third central moment. We present empirical evidence that greater upside asymmetries calculated using our...
Persistent link: https://www.econbiz.de/10012856008
We construct a lottery factor that aggregates the information of 16 commonly used lottery features. The lottery factor significantly improves the explanatory power of the four-factor q model in Hou, Xue, and Zhang (2015) and explains all but a few major anomaly returns. In assessing the...
Persistent link: https://www.econbiz.de/10012834754
We provide evidence regarding mutual funds' motivation to hold lottery stocks. Funds with higher managerial ownership invest less in lottery stocks, suggesting that managers themselves do not prefer such stocks. The evidence instead supports that managers cater to fund investors' preference for...
Persistent link: https://www.econbiz.de/10012307680
Mutual fund returns are significantly related to stock characteristics in the cross section after controlling for risk via factor models. We develop a new double-adjusted approach that controls for both factor-model betas and stock characteristics in one performance measure. The new measure...
Persistent link: https://www.econbiz.de/10012856477
In this paper, we examine how liquidity affects cryptocurrency market efficiency and study commonalities in anomaly performance in cryptocurrency market. Based on the unique features of cryptocurrencies, we build a model with anonymous traders valuing cryptocurrencies as payments for goods and...
Persistent link: https://www.econbiz.de/10012838356
We document statistically significant relations between fund beta and past market returns that affect standard estimates of mutual fund market timing. Our evidence of “artificial” market timing emerges when we estimate market timing regressions across time periods that span time variation in...
Persistent link: https://www.econbiz.de/10012839487
When using daily mutual fund returns to study the market timing, heavy tails and heteroscedasticity significantly challenge the existing methods. We to accommodate them, we propose a new measure and an efficient test for market timing ability and find that the traditional test misclassifies...
Persistent link: https://www.econbiz.de/10012840933
We find that a large portion of U.S. equity mutual funds almost second-order stochastically dominates the market portfolio. Consistent with the canonical definition of second-order stochastic dominance, both fund investors and managers reveal their preference for funds with a higher degree of...
Persistent link: https://www.econbiz.de/10012841194
We show that two prominent bootstrap tests for fund skill have distorted test sizes because many funds have short return records and skewed return residuals, and they lack test power to detect skilled funds when a substantial number of unskilled funds are present. We develop the theory for a...
Persistent link: https://www.econbiz.de/10012844796
In studies of time series momentum (TSM), the Newey-West t-test has size distortion for linear predictive regression with excess returns because of non-stationarity, endogeneity due to correlated errors, and a lack of finite moments due to heavy tails. To solve these problems, we propose a new...
Persistent link: https://www.econbiz.de/10012825034