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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

Carry Trades and Global FX Volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - 2009

We investigate the relation between global FX volatility and the excess returns to carry trade portfolios. We find a significantly negative return co-movement of high interest rate currencies with global volatility, whereas low interest rate currencies provide a hedge against volatility shocks....

Persistent link: https://www.econbiz.de/10015216553

Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?

Schmeling, Maik; Schrimpf, Andreas - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminatingbetween competing sources of this return predictability...

Persistent link: https://www.econbiz.de/10005860531

Constrained Dealers and Market Efficiency

Huang, Wenqian; Ranaldo, Angelo; Schrimpf, Andreas; … - 2022

Persistent link: https://www.econbiz.de/10013359268

Global Production Linkages and Stock Market Comovement

Auer, Raphael; Iwadate, Bruce; Schrimpf, Andreas; … - 2023

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

Persistent link: https://www.econbiz.de/10014377466

On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - Institut für Schweizerisches Bankwesen <Zürich> - 2011

Demand is growing for a better understanding of how assets are priced in countries outside of the U.S.While financial data are available for many firms world-wide, it is important to have a reliable andreplicable method of constructing high-quality systematic risk factors from these data. This...

Persistent link: https://www.econbiz.de/10009249004

Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns

Grammig, Joachim; Schrimpf, Andreas - 2009

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/10010308664

Peso problems in the estimation of the C-CAPM

Parra-Alvarez, Juan Carlos; Posch, Olaf; Schrimpf, Andreas - In: Quantitative Economics 13 (2022) 1, pp. 259-313

This paper shows that the consumption-based capital asset pricing model (C-CAPM) with low-probability disaster risk rationalizes pricing errors. We find that implausible estimates of risk aversion and time preference are not puzzling if market participants expect a future catastrophic change in...

Persistent link: https://www.econbiz.de/10014537035