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Size and momentum profitability in international stock markets

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2015 - This version: August 25, 2015

We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset … covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big … incurred when implementing this strategy. Thus, while small stocks exhibit momentum, exploiting this feature is hardly feasible …

Persistent link: https://www.econbiz.de/10011412159

Size and momentum profitability in internaitonal stock markets

Schmidt, Peter S.; Schrimpf, Andreas; Arx, Urs von; … - 2015

Persistent link: https://www.econbiz.de/10011389233

Common risk factors in international stock markets

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - In: Financial markets and portfolio management 33 (2019) 3, pp. 213-241

Persistent link: https://www.econbiz.de/10012427778

Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns

Grammig, Joachim G.; Schrimpf, Andreas - 2006

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. The novelty is that we use a broad cross-section of test assets, which provides a level playing field for a comparison to...

Persistent link: https://www.econbiz.de/10010297540

Evaluating conditional asset pricing models for the German stock market

Schrimpf, Andreas; Schröder, Michael; Stehle, Richard - 2006

We study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset...

Persistent link: https://www.econbiz.de/10010297814

Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns

Schrimpf, Andreas; Grammig, Joachim G. - 2007

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. We motivate an alternative model that accounts for the return on human capital as a determinant of the reference level....

Persistent link: https://www.econbiz.de/10010298018

International Stock Return Predictability Under Model Uncertainty

Schrimpf, Andreas - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10010298059

Long-horizon consumption risk and the cross-section of returns: New tests and international evidence

Grammig, Joachim G.; Schrimpf, Andreas; Schuppli, Michael - 2009

This paper investigates whether measuring consumption risk over long horizons can improve the empirical performance of the Consumption CAPM for size and value premia in international stock markets (US, UK, and Germany). In order to account for commonalities in size and book-tomarket sorted...

Persistent link: https://www.econbiz.de/10010302553

Macro expectations, aggregate uncertainty, and expected term premia

Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - 2010

Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...

Persistent link: https://www.econbiz.de/10010302583

International diversification benefits with foreign exchange investment styles

Kroencke, Tim Alexander; Schindler, Felix; Schrimpf, Andreas - 2011

This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...

Persistent link: https://www.econbiz.de/10010304454

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