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We test for price discontinuities, or jumps, in a panel of high-frequency intraday returns for forty large-cap stocks … and an equiweighted index from these same stocks. Jumps are naturally classified into two types: common and idiosyncratic …. Common jumps affect all stocks, albeit to varying degrees, while idiosyncratic jumps are stock-specific. Despite the fact …
Persistent link: https://www.econbiz.de/10005787560
returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …
Persistent link: https://www.econbiz.de/10011205311
In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...
Persistent link: https://www.econbiz.de/10005328981
hypothesis that as investors become overconfident, they underestimate risk and thereby trade in riskier stocks. … traders tend to title their investment toward smaller-cap and growth stocks, consistent with the prediction of overconfident …
Persistent link: https://www.econbiz.de/10005080770
Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The...
Persistent link: https://www.econbiz.de/10009359903
This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...
Persistent link: https://www.econbiz.de/10009275516
We investigate the oil price risk exposure of the U.S. Travel and Leisure industry. In this paper, we utilize the Fama …–French–Carhart's (1997) four-factor asset pricing model augmented with oil price risk factor. The results of our study suggest that oil price … subsectors including airlines, recreational services and restaurants and bars. We also document that oil price risk exposures …
Persistent link: https://www.econbiz.de/10010729341
Various forms of instability can be observed in macroeconomic and financial data including changes in variance, changes in cycle properties, or both. Traditional tests do not allow to distinguish between these different cases. This paper proposes and compares two alternative approaches. The...
Persistent link: https://www.econbiz.de/10010636253
place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside … market movements. We show that the cross-section of stock returns reflects a premium for downside risk. Specifically, stocks … that covary strongly with the market when the market declines have high average returns. We estimate that the downside risk …
Persistent link: https://www.econbiz.de/10005718657
We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...
Persistent link: https://www.econbiz.de/10008550314