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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17
measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to …
Persistent link: https://www.econbiz.de/10013475217
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Firm Characteristics and Expected Stock Returns
Han, Yufeng - 2020
We analyze the joint out-of-sample predictive ability of a comprehensive set of 299 firm characteristics for cross-sectional stock returns. We develop a cross-sectional out-of-sample R2 statistic that provides an informative measure of the accuracy of cross-sectional return forecasts in terms of...
Persistent link: https://www.econbiz.de/10012852228
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Asymmetric News and Asset Pricing
Suijs, Jeroen - 2011
This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...
Persistent link: https://www.econbiz.de/10013119323
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Modeling Sentiment, Temporal Volatility and Excess Returns : Empirical Evidence from Segmented Stock Market
Sadaqat, Mohsin - 2018
This study examines the ability of investor sentiment to predict conditional volatility and excess returns at both … been confirmed that bullish (bearish) sentiment increases (decreases) volatility which in-turn affect the mean variance … relationship. However, the commonality of the effect of investor sentiment via conditional volatility has not been uniform across …
Persistent link: https://www.econbiz.de/10012934287
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Multivariate GARCH for a large number of stocks
Raddant, Matthias; Wagner, Friedrich - 2016
second simple component to account for the remaining contribution to the volatility. This allows the analytical calculation …
Persistent link: https://www.econbiz.de/10011543357
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Multivariate GARCH for a large number of stocks
Raddant, Matthias; Wagner, Friedrich - 2016 - [revised version]
second simple component to account for the remaining contribution to the volatility. This allows the analytical calculation …
Persistent link: https://www.econbiz.de/10011603217
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Factorization Asset Pricing
Duan, Zhijian; Gong, Zhili; Qi, Qian - 2021
Conventional measurements of risk premiums are biased if the estimation models are potentially misspecified and …
Persistent link: https://www.econbiz.de/10013322090
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Factorization Asset Pricing
Gong, Zhili; Qi, Qian - 2023
We propose a new modeling approach for the cross-section of returns. Our model, Factorization Asset Pricing Model (FAPM), allows for predictor interactions by introducing second-order observable characteristics interactions regarding the unobservable high-order loadings. If the characteristics...
Persistent link: https://www.econbiz.de/10014256753
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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Estimating the volatility of asset pricing factors
Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018
allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …
Persistent link: https://www.econbiz.de/10011860248