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Challenges of Indexation in S&P 500 Index Volatility Investment Strategies
Sundberg, Margaret - 2019
S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …
Persistent link: https://www.econbiz.de/10012865881
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences …
Persistent link: https://www.econbiz.de/10013057742
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The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2022 - Last updated: January 14, 2022
against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices …
Persistent link: https://www.econbiz.de/10012798791
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Does Idiosyncratic Volatility Proxy for a Missing Risk Factor? Evidence Using Portfolios as Test Assets
Gempesaw, David; Kassa, Haim; Zykaj, Blerina Bela - 2021
One of the main explanations for the idiosyncratic volatility (IVOL) puzzle (i.e., the negative relation between lagged …
Persistent link: https://www.econbiz.de/10013235185
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Long-Term Stock Returns in Brazil : Volatile Equity Returns for U.S.-Like Investors
Araújo, Eurilton - 2020
volatility discourages heavier investments in stocks …
Persistent link: https://www.econbiz.de/10012831921
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics … allows for conditional variance in each of the components as well as dynamic feedback between the components. Special cases …
Persistent link: https://www.econbiz.de/10009767120
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Arbitrage, Idiosyncratic Risk and the Rationality of Discounts on Closed-End Funds
Gemmill, Gordon - 2011
We examine the roles of rational and behavioural factors in explaining long-run premiums/discounts on closed-end funds, using evidence on equity funds from the US and UK. Although the processes by which fund prices converge towards long-run premiums or discounts are similar in the two countries,...
Persistent link: https://www.econbiz.de/10013128561
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Equity Dispersion : Value Stocks Yet to Be Rewarded
Institute, Brandes - 2011
The correlation of returns for various equity asset classes has been high. In addition, the range or "dispersion" of returns across asset classes - and across sectors within those asset classes - has been low. These factors have made it difficult for active managers to outperform. But dispersion...
Persistent link: https://www.econbiz.de/10013121789
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The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
Billio, Monica - 2017
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...
Persistent link: https://www.econbiz.de/10012963394
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Evolution of Historical Prices in Momentum Investing
Chen, Li-Wen - 2017
We find that the acceleration and deceleration patterns of historical prices are predictive of future expected returns in momentum investing in the U.S. equity market from 1962 to 2014. Winners with accelerated historical price increases deliver higher future expected returns and losers with...
Persistent link: https://www.econbiz.de/10012951129