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The value premium and uncertainty : an approach by support vector regression algorithm
Bui Thanh Khoa; Tran Trong Huynh - In: Cogent economics & finance 11 (2023) 1, pp. 1-15
crises. This study aimed to build the uncertainty index and control it in the regression analysis model to solve the …
Persistent link: https://www.econbiz.de/10014500739
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Low risk and high return : how emotions shape expectations on the stock market
Kempf, Alexander; Niessen, Alexandra; Merkle, Christoph - 2009
This experimental paper investigates the impact of emotions on risk and return estimates of stocks. Participants rate well-known blue-chip firms on an emotional scale and forecast risk and return of the firms' stock. We find that positive emotions lead to a prediction of high return and low...
Persistent link: https://www.econbiz.de/10003919373
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Risk and Return in General : Theory and Evidence
Falkenstein, Eric G. - 2011
Empirically, standard, intuitive measures of risk like volatility and beta do not generate a positive correlation with average returns in most asset classes. It is possible that risk, however defined, is not positively related to return as an equilibrium in asset markets. This paper presents a...
Persistent link: https://www.econbiz.de/10013134606
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Reward-Risk Ratios
Cheridito, Patrick - 2013
We introduce three new families of reward-risk ratios, study their properties and compare them to existing examples. All ratios in the three families are monotonic and quasi-concave, which means that they prefer more to less and encourage diversification. Members of the second family are also...
Persistent link: https://www.econbiz.de/10013090253
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Macroeconomic Uncertainty, Risk, and Country Index Returns : International Evidence
Jiang, Christine X. - 2013
This paper investigates the relation between uncertainty and stock index returns for 15 countries. An innovation is to … use macro-uncertainty at both the country and global level. Our results suggest that country-specific GDP uncertainty, but … not global GDP uncertainty is positively correlated with country returns. In contrast, we find that global inflation …
Persistent link: https://www.econbiz.de/10013090305
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Asset Allocations and Risk-Return Tradeoffs of Target-Date Funds
Pang, Gaobo - 2009
This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade-offs between wealth creation and security. The dynamic portfolio adjustment of marketed target-date funds, with varied asset allocations, along age and various time horizons is shown....
Persistent link: https://www.econbiz.de/10013158197
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Assessing the Risk-Return Trade-Off in Loans Portfolios
Mencia, Javier - 2009
This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...
Persistent link: https://www.econbiz.de/10013158964
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Teasing Out Tail Risk or, Quantum Mechanics to the Rescue : A Practical Method for Characterizing Downside Risk in Non-Gaussian Return Distributions
Stock, Robert D. - 2020
Using equations that arise in quantum mechanics, this paper describes a way to more accurately and efficiently represent non-Gaussian return distributions than the standard method of invoking skewness and kurtosis. Then, it provides a new single intuitive number, defined here as the “crash...
Persistent link: https://www.econbiz.de/10012844430
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Ambiguity, Long-Run Risks, and Asset Prices
Wei, Bin - 2019
We generalize the long-run risks (LRR) model in Bansal and Yaron (2004) by incorporating the recursive smooth ambiguity aversion preferences of Klibanoff, Marinacci, and Mukerji (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model remains...
Persistent link: https://www.econbiz.de/10012896734
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Robust Return Risk Measures
Bellini, Fabio - 2017
In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in Weber (2006). From a financial point of view, Orlicz risk...
Persistent link: https://www.econbiz.de/10012968370