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Covariance forecasting in equity markets

Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168

Persistent link: https://www.econbiz.de/10011967197

Back to the future betas : empirical asset pricing of US and Southeast Asian markets

French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13

The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery...

Persistent link: https://www.econbiz.de/10011526799

The Black-Litterman Model : The Definition of Views Based On Volatility Forecasts

Duqi, Andi - 2016

formulate a volatility forecast of returns used as an input for determining some subjective views to be included in the Black …

Persistent link: https://www.econbiz.de/10012998423

Beta Measurement and Forecasting with High Frequency Returns

Doan, Bao Huy - 2020

Analysis with high frequency returns has become a core part of modern financial econometrics. Particularly in the measurement and forecasting of variance, covariance, correlation and Capital Asset Pricing Model (CAPM) beta. This paper studies CAPM beta measurement and forecasting with high...

Persistent link: https://www.econbiz.de/10012848006

Crude Oil Prices, Risk Preferences, and Intertemporal Variation in Market Expected Returns : Empirical Evidence from the Nigerian Stock Exchange (NSE)

Obrimah, Oghenovo A. - 2019

volatility risk and oil price risk. I refer to this effect as the `risk' effect on stock returns. Independent of effects on risk …

Persistent link: https://www.econbiz.de/10012903916

Asset Pricing : Time-Series Predictability

Rapach, David; Zhou, Guofu - 2022

Asset returns change with fundamentals and other factors, such as technical information and sentiment over time. In modeling time-varying expected returns, this article focuses on the out-of-sample predictability of the aggregate stock market return via extensions of the conventional predictive...

Persistent link: https://www.econbiz.de/10013322523

Forecasting with CAPM

Le, Thu - 2016

Capital asset pricing model is a popular formula using to calculate asset prices. This research looks at the sample forecasting of three CAPM constant beta model from 2005 to 2014. This research is going to look at the capabilities of CAPM by using the past varying. Five US sectors, five ASEAN...

Persistent link: https://www.econbiz.de/10012980849

The memory of stock return volatility : asset pricing implications

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017

This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility … capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross …-section. Buying stocks with shorter memory and selling stocks with longer memory in volatility generates significant excess returns of …

Persistent link: https://www.econbiz.de/10011750708

Stock Market Volatility and Mathematical Expectations

James, Robert G. - 2019

It is generally believed that excessive stock market volatility reflects non-mathematical market expectations that are …

Persistent link: https://www.econbiz.de/10012862894

Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries

Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...

Persistent link: https://www.econbiz.de/10011437764

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