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Time-Series Momentum in the Chinese Commodity Futures Market
Cho, Hoon - 2019
This study examines time-series momentum in the Chinese commodity futures market. The findings show that a time …-series momentum strategy performs best with a one-month look-back period and a one-month holding period. Furthermore, this strategy … outperforms passive long and cross-sectional momentum strategies in the Chinese futures market based on Sharpe ratios, risk …
Persistent link: https://www.econbiz.de/10012895464
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Betting against beta (and gamma) using government bonds
Durham, J. Benson - 2015
Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...
Persistent link: https://www.econbiz.de/10010467093
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The Price of Commodity Risk in Stock and Futures Markets
Boons, Martijn - 2014
We find that commodity risk is priced in the cross-section of US stock returns. Following the financialization of commodities, investors hedge commodity price risk directly in the futures market, primarily via commodity index investments, whereas before they gained commodity exposure mainly via...
Persistent link: https://www.econbiz.de/10013068442
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A Model-based Commodity Risk Measure on Commodity and Stock Market Returns
Hou, Ai Jun; Platanakis, Emmanouil; Ye, Xiaoxia; Zhou, Guofu - 2022
We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets, outperforms well-known characteristics in explaining the...
Persistent link: https://www.econbiz.de/10014239736
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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 … stocks. Momentum premia are considerably diminished by trading costs, when taking into account the actual portfolio turnover …
Persistent link: https://www.econbiz.de/10011412159
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Has the pricing of stocks become more global?
Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015
We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...
Persistent link: https://www.econbiz.de/10011412487
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Stock pledged loans and market crash risk : evidence from China
Li, Feng; Qian, Jun; Wang, Haofei; Zhu, Julie Lei - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-26
Stock pledged loans have become prevalent among large shareholders of listed firms in China. The largest shareholder pledges a greater fraction of her holdings as collateral for credit when the firm is in growth industries, less profitable, not state owned, and has higher leverage. Stock...
Persistent link: https://www.econbiz.de/10014514168
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Arbitrage-free models of stocks and bonds
Durham, J. Benson - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...
Persistent link: https://www.econbiz.de/10010222892
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Seasonality Effect Anomalies in Emerging Stock Markets : Evidence from Asia and Africa
Youssef, Abdelmoneim - 2012
This paper will examine seasonal effect anomalies in emerging stock markets using monthly returns in a number of emerging stock markets from Africa and Asia. In addition, the paper will try to report an explanation for this phenomenon in case that it occurs. This study utilizes methodologies...
Persistent link: https://www.econbiz.de/10013105999
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The Efficiency of Emerging Stock Markets : Evidence from Asia and Africa
Youssef, Abdelmoneim - 2012
This paper examines the efficiency in pricing securities as well as the relation between exchange rate and dynamics of equity returns in a number of emerging stock markets from Africa and Asia,. This study utilizes methodologies based on Single variance ratio test of Lo and Mackinlay (1988),...
Persistent link: https://www.econbiz.de/10013106010