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Empirical risk factors in realized stock returns

Novák, Jiří; Petr, Dalibor - 2009

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...

Persistent link: https://www.econbiz.de/10010322253

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011

insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …

Persistent link: https://www.econbiz.de/10010307494

Combining equity country selection strategies

Zaremba, Adam - In: Contemporary Economics 11 (2017) 1, pp. 107-126

The recent increase in passive investment products has provided investors with easy access to international markets. The basic motivation of this paper is to offer new tools to investors who want to allocate assets across countries. This study investigates the performance of equity country...

Persistent link: https://www.econbiz.de/10011659908

Investment style of Jordanian mutual funds

Hacini, Ishaq; Dahou, Khadra; Benbouziane, Mohamed - In: International Journal of Economic Sciences and Applied … 5 (2012) 2, pp. 113-127

a variable that account for momentum effect. These factors are used as benchmarks to investigate the investment style …

Persistent link: https://www.econbiz.de/10010289385

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012611108

Risk Factors for the Swiss Stock Market

Ammann, Manuel; Steiner, Michael - In: Swiss Journal of Economics and Statistics 144 (2008) 1, pp. 1-35

The four risk factors controlling for the market, size, value and momentum effect have become a state …

Persistent link: https://www.econbiz.de/10011933164

Size, value, and momentum in Polish equity returns: Local or international factors?

Zaremba, Adam; Konieczka, Przemysław - In: International Journal of Management and Economics 53 (2017) 3, pp. 26-47

for value and momentum effects, but only weak evidence for size premium. We formed portfolios double-sorted on size and … book-to-market ratios, as well as on size and momentum, and we explain their returns with the above-mentioned asset pricing …, but fail to explain returns on the size and momentum sorted portfolios. With the exception of the momentum factor, local …

Persistent link: https://www.econbiz.de/10015192189

Autoencoder asset pricing models and economic restrictions - International evidence

Nechvátalová, Lenka - 2024

We evaluate the performance of the Conditional Autoencoder (CAE) model by Gu et al. (2021) in an international context and under economic constraints, such as the exclusion of microcap and illiquid firms, and accounting for transaction costs. The CAE model leverages latent factors and factor...

Persistent link: https://www.econbiz.de/10015045967

Revisiting the home bias puzzle: Downside equity risk

Campbell, Rachel A.; Kräussl, Roman - 2006

Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...

Persistent link: https://www.econbiz.de/10010298345

Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators

Uhlenbrock, Birgit - 2009

Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

Persistent link: https://www.econbiz.de/10010298784