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Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
returns and a negative relationship with volatility and trading volume. Conclusions Our study contributes to understanding the …
Persistent link: https://www.econbiz.de/10015108409
In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...
Persistent link: https://www.econbiz.de/10012972769
In this paper, we show that the way in which fund managers are compensated can, under plausible conditions, lead them to act in a way that does not maximise the wellbeing of their clients. Due to performance bonuses in fund managers' rewards, there is a highly non-linear relationship between the...
Persistent link: https://www.econbiz.de/10014258544
There is limited evidence of intraday predictability both in the cross-section of US stock returns (see Heston et al., 2010) and in the time-series of the aggregate stock market (see Gao et al., 2015). I find that statistical time-series predictability does not imply economic profitability,...
Persistent link: https://www.econbiz.de/10012964682
This article explores the relationship between option markets for the S&P500 (SPX) and CBOE's Volatility Index (VIX … computed from SPX put options with different maturities, which results in a term structure for squared volatility. This term … is also used to measure volatility-of-volatility (vol-of-vol) and the volatility leverage effect. There may emerge small …
Persistent link: https://www.econbiz.de/10012971603
the index stock volatilities and aggregate stock market volatility, and give rise to countercyclical Sharpe ratios. Trades …
Persistent link: https://www.econbiz.de/10013116286
important mathematical factor anomalies: low volatility and momentum. By applying an explicit trend model, we show that both …. Furthermore, the model allows us to describe how low volatility uses implicitly asymmetric trend characteristics while momentum … exponent in itself allows for a momentum strategy, and it can also be utilized to significantly improve low volatility …
Persistent link: https://www.econbiz.de/10012928032
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...
Persistent link: https://www.econbiz.de/10009764762
This study fi nds that a novel transformation of the idiosyncratic volatility (IVOL), the unit shocks of IVOL (US …
Persistent link: https://www.econbiz.de/10012901713