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A Comparison of the Efficacy of Liquidity, Momentum, Size and Book-to-Market Value Factors in Equity Pricing on a Heterogeneous Sample : Evidence from Asia
Hearn, Bruce Allen - 2016
This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top...
Persistent link: https://www.econbiz.de/10013000951
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Common risk factors in equity markets
Atanasov, Victoria - 2014 - This version: May 26, 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
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Continuous and jump betas : implications for portfolio diversification
Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15
Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...
Persistent link: https://www.econbiz.de/10011506397
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The Cross-Section of Equity Returns and Assets’ Fundamental Cash-Flow Risk
Galsband, Victoria - 2011
The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets' discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that...
Persistent link: https://www.econbiz.de/10013132049
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Active Asset Allocation Among a Large Set of Stocks : How Effective is the Parametric Rule?
Zhang, Huacheng - 2013
In this study we measure the value of active money management. We explore this issue by comprehensively examining the parametric rule proposed by Brandt, Santa-Clara and Valkanov (2009) (the BSV rule) out-of-sample for cross-sectional portfolio choice among a large number of assets and comparing...
Persistent link: https://www.econbiz.de/10013090308
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Time Diversification and Financial Forecasts for Bond and Equity Markets
Gabbi, Giampaolo - 2009
Depending tactical asset allocation upon the forecasting model choice, it is often discussed the existence of a time diversification opportunity. We focus the analysis on MSCI and JPMorgan benchmarks for equity and fixed income market in Italy, Switzerland, UK, Europe, USA, Japan, and Far East....
Persistent link: https://www.econbiz.de/10013156241
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Betting Against Other Betas
Murray, Scott - 2020
Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...
Persistent link: https://www.econbiz.de/10012841238
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CoAnomaly : Correlation Risk in Stock Market Anomalies
Guo, James Tengyu - 2019
I propose a simple time-series risk measure in trading stock market anomalies, CoAnomaly, the time-varying average pairwise correlation among 34 anomalies, which helps to explain both the time-series and the cross-sectional anomaly return patterns. Since correlations among underlying assets...
Persistent link: https://www.econbiz.de/10012900148
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Cojumps and Asset Allocation in International Equity Markets
Arouri, Mohamed - 2018
This paper examines the patterns of intraday cojumps between international equity markets as well as their impact on international asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds as proxies for international equity markets, we...
Persistent link: https://www.econbiz.de/10012907781
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Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108