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Chapter 19. Market Liquidity—Theory and Empirical Evidence
Vayanos, Dimitri; Wang, Jiang - 2013
basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …
Persistent link: https://www.econbiz.de/10014025359
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Stock selection strategies in emerging markets
Hart, Jaap van; Slagter, Erica; Dijk, Dick van - 2001
Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in severaldirections. First, we examine a broader range of stock selection strategies, including strategiesbased on analysts'...
Persistent link: https://www.econbiz.de/10011313928
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Commodity futures return predictability and intertemporal asset pricing
Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020
We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....
Persistent link: https://www.econbiz.de/10012418356
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Hedging against inflation : housing vs. equity
Fehrle, Daniel - 2021
in the long run in the post-war period. Thus, housing is, at least weakly, superior in hedging against inflation. The …
Persistent link: https://www.econbiz.de/10012544584
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Optimal Carry and Momentum Returns in Futures Markets : A Compensation for Capital Constrained Hedge Funds?
Ahmerkamp, Jan Danilo - 2013
We provide evidence that speculative capital of hedge funds is a key determinant for the profitability of optimal carry and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from the perspective of a utility maximizing risk averse...
Persistent link: https://www.econbiz.de/10013085038
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Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity
Dubrana, Ludovic - 2011
Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...
Persistent link: https://www.econbiz.de/10013118101
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …
Persistent link: https://www.econbiz.de/10013149486
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Currency Hedging Strategies Using Dynamic Multivariate GARCH
Chang, Chia-Lin - 2012
This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …
Persistent link: https://www.econbiz.de/10013113663
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Value of Hedge and Expected Returns
Ma, Jinpeng - 2015
We demonstrate how it is possible to generate value for an investor with a hedge attached to the buy-and-hold strategy of a S&P 500 index fund. We study the S&P 500 index portfolio (not including dividends) and the CRSP value weighted S&P 500 index portfolio (including dividends) for...
Persistent link: https://www.econbiz.de/10013009981
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The contribution of frictions to expected returns
Hirakiy, Kazuhiro; Skiadopoulos, George - 2018
We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...
Persistent link: https://www.econbiz.de/10011932555