Similar Search Results

The acceleration effect and gamma factor in asset pricing

Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....

Persistent link: https://www.econbiz.de/10011411974

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397

An anatomy of the equity premium

Schneider, Paul - 2016

This paper introduces a model-free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return,...

Persistent link: https://www.econbiz.de/10011507822

A flexible regime switching model for asset returns

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - 2019

A non-Gaussian multivariate regime switching dynamic correlation model for fi nancial asset returns is proposed. It incorporates the multivariate generalized hyperbolic law for the conditional distribution of returns. All model parameters are estimated consistently using a new two-stage...

Persistent link: https://www.econbiz.de/10012051878

Value premium and technical analysis : evidence from the China stock market

Lam, Keith; Dong, Liang; Yu, Bo - In: Economies : open access journal 7 (2019) 3/92, pp. 1-21

We find value premium in the Chinese stock market using a conventional buy-and-hold approach which longs the portfolio with the highest BM ratio and shorts the one with the lowest BM ratio. Based on the finding, we test a new strategy by combining the value premium effect and technical analysis....

Persistent link: https://www.econbiz.de/10012132022

Extreme downside risk in asset returns

Ergun, Lerby M. - 2019

Does extreme downside risk require a risk premium in the pricing of individual assets? Extreme downside risk is a conditional measure for the co-movement of individual stocks with the market, given that the state of the world is extremely bad. This measure, derived from statistical extreme value...

Persistent link: https://www.econbiz.de/10012132335

Rolling regression CAPM on Zagreb stock exchange : can investors profit from it?

Škrinjarić, Tihana - In: Economic review : journal of economics & business 16 (2018) 2, pp. 7-22

This paper explores possibilities of using rolling regression CAPM on the Zagreb Stock Exchange in portfolio and risk … and return. Furthermore, the rolling regression approach to CAPM estimation has not yet been observed on the Croatian and … rolling regression CAPM on the Croatian market. Results from the analysis are used in simulating portfolio strategies in order …

Persistent link: https://www.econbiz.de/10012012610

Can social media marketing lead to abnormal portfolio returns?

Bank, Semra; Yazar, Evrim Erdogan; Sivri, Ugur - In: European research on management and business economics 25 (2019) 2, pp. 54-62

This study tests the impact of usage of Twitter as a microblogging service provider on shareholders' returns and abnormal returns. In accordance with this purpose, two portfolios were created based on measurement of whether firms had a Twitter account and, if so, their number of followers and...

Persistent link: https://www.econbiz.de/10012016588

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063

Do diamond stocks shine brighter than diamonds?

Jotanovic, Vera; D'Ecclesia, Rita L. - In: Journal of risk and financial management : JRFM 12 (2019) 2/79, pp. 1-19

This paper addresses two practical investment questions: Is investing in the diamond equity market a more feasible and liquid alternative to investing in diamonds? Additionally, is diamond equity affected by polished diamond prices? We assemble an original database of diamond mining stock prices...

Persistent link: https://www.econbiz.de/10012022114