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The Market-Based Probability of Stock Returns

Olkhov, Victor - 2023

We show how time-series of random market trade values and volumes completely describe stochasticity of stock returns. We derive equation that links up returns with current and past trade values and show how statistical moments of the trade values and volumes determine statistical moments of...

Persistent link: https://www.econbiz.de/10014254677

The Market-Based Statistics of 'Actual' Returns of Investors

Olkhov, Victor - 2023

The paper presents the unified theoretical description of three levels of the market-based statistical moments of “actual” returns, which Investors gain within their market sales. The market-based statistics of “actual” returns takes into account the size of the trade sale values,...

Persistent link: https://www.econbiz.de/10014351277

Returns, volatility and the cryptocurrency bubble of 2017-18

Cross, Jamie; Hou, Chenghan; Trinh, Kelly - In: Economic modelling 104 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013164208

One shape fits all? : a comprehensive examination of cryptocurrency return distributions

Szczygielski, Jan Jakub; Karathanasopoulos, Andreas; … - In: Applied economics letters 27 (2020) 19, pp. 1567-1573

Persistent link: https://www.econbiz.de/10012315670

Cryptocurrency returns before and after the introduction of Bitcoin futures

Deniz, Pinar; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 13 (2020) 6/116, pp. 1-21

This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post … important variable for Bitcoin for all periods, whereas for the other cryptocurrencies there are other variables that seem more …. Our empirical findings suggest that the top five cryptocurrencies are substitutes before the launch of Bitcoin futures …

Persistent link: https://www.econbiz.de/10012305140

Yield Curve Factors, Factor Volatilities, and the Predictability of Bond Excess Returns

Hautsch, Nikolaus; Ou, Yangguoyi - 2008

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term structure and are associated with the time-varying...

Persistent link: https://www.econbiz.de/10014219528

Mesdames Et Messieurs, Momentum Performance is Not so Abnormal after All!

Galariotis, Emilios C. - 2016

This paper provides evidence regarding the performance of momentum investment strategies that is consistent with neoclassical theory. More specifically, while momentum investment returns appear orthogonal to systematic risk in the extant literature, this paper illustrates that they due to...

Persistent link: https://www.econbiz.de/10013000913

Expectations and Risk Premia at 8 : 30am: Macroeconomic Announcements and the Yield Curve

Hördahl, Peter - 2017

We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...

Persistent link: https://www.econbiz.de/10012970137

Unitized Risk and Real Rates of Return : A Historical Evolution of the Leading International Stock Exchanges

Nowak, Alojzy Z. - 2015

Financial markets have experienced unprecedented transformations, signs of which have emerged since the late 1970s. In recent years substantial consolidation occurred. In response to changes in macroeconomic variables, such as GDP, industrial production, inflation and the political business...

Persistent link: https://www.econbiz.de/10013027466

On the Meaning of Internal Rates of Return and Why an Internal Rate of Return is Not an Investment Criterion

Osborne, Michael - 2011

All conceivable solutions to the internal rate of return equation are shown to have meaning as well as use. Internal rates of return are the units in which value is measured and the quantities of such units. This result implies a single internal rate of return cannot be an investment criterion....

Persistent link: https://www.econbiz.de/10013133342