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Absolute Return Equity Risk Attribution and Forecasting

Cooper, Ricky - 2015

This article develops an intuitive absolute return based attribution framework for the volatility and information ratio of a trading strategy. The results are valid for strategies at all trading frequencies given the appropriate selection of measurement and decision frequencies. The paper also...

Persistent link: https://www.econbiz.de/10013029311

Dependence Structure between the Equity Market and the Foreign Exchange Market – A Copula Approach

Ning, Cathy - 2015

This paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas. In particular, several copulas with different dependence structure are compared and used to directly model the underlying dependence structure. We find that there exists...

Persistent link: https://www.econbiz.de/10013029560

Hedge Fund Flows and Performance Streaks : How Investors Weigh Information

Baquero, Guillermo - 2015

We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with the one of econometric forecast models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly...

Persistent link: https://www.econbiz.de/10013029677

Modeling the Conditional Heteroscedasticity and Leverage Effect in the BSE Sectoral Indices

Bhat, Sajad Ahmad - 2015

The study uses three volatility models of the GARCH family to examine the volatility behavior and in particular volatility persistence or long memory of the return series of four Bombay Stock Exchange (BSE) sectoral indices. The study uses the daily data from January 1, 2002 to December 31,...

Persistent link: https://www.econbiz.de/10013029720

Long-Term Price Overreactions : Are Markets Inefficient?

Caporale, Guglielmo Maria - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10013029864

A Forecast Evaluation of Expected Equity Return Measures

Chin, Michael - 2015

Recent studies find evidence in favour of return predictability, and argue that their positive findings result from their ability to capture expected returns. We assess the forecasting performance of two popular approaches to estimating expected equity returns, a dividend discount model (DDM)...

Persistent link: https://www.econbiz.de/10013030200

Equilibrium Liquidity Premia of Private Equity Funds

Buchner, Axel - 2015

This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset …-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which … parameters closely match data of buyout funds and is illustrated by using numerical simulations. The theory generates a rich set …

Persistent link: https://www.econbiz.de/10013030408

Portfolio Dynamics and Expected Returns Under Illiquidity

Buchner, Axel - 2015

Using a novel continuous-time framework, this paper explores the effects of illiquidity on portfolio dynamics and expected returns. In summary, the paper makes three key contributions to the existing literature on asset pricing and illiquidity. First, it illustrates that illiquidity leads to...

Persistent link: https://www.econbiz.de/10013030411

Uncertainty Elasticity of Liquidity and Expected Stock Returns in China

Sun, Ping-Wen - 2015

We examine the uncertainty elasticity of liquidity (UEL: percentage change in the individual stock's liquidity given percentage change in the market volatility) and its influences on expected stock returns in the Chinese stock market from 2002 to 2014. We find that stocks of firms with lower...

Persistent link: https://www.econbiz.de/10013030699

M&A Portfolios and Market Returns

Evgeniou, Theodoros - 2015

M&A activity and the returns of targets and acquirers may provide information about both the companies involved and the overall market conditions. This paper shows evidence that a number of M&A related measurements, such as the number of live deals or the beta of a portfolio of cash targets, may...

Persistent link: https://www.econbiz.de/10013030878