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Arithmetic and Continuous Return Mean-Variance Efficient Frontiers

Ferguson, Robert - 2019

The arithmetic mean-variance efficient frontier shows that taking more risk is always rewarded with higher expected arithmetic return. However, expected arithmetic return is a poor indicator of long-term arithmetic return, which corresponds to expected continuous return. For the continuous...

Persistent link: https://www.econbiz.de/10012901309

The Behaviour of the Distributions of Stock Returns : An Analysis of the European Market Using the Pearson System of Continuous Probability Distributions

Pizzutilo, Fabio - 2012

We employ the Pearson system of frequency curves to analyse the behaviour of unconditional daily return distributions for all the shares that constitute the STOXX Europe 600 index. Our results show that over finite time periods of analysis the distributions are adequately described as type IV....

Persistent link: https://www.econbiz.de/10013106625

Comparison of the Tails of Market Return Distributions

Koronkiewicz, Grzegorz - 2016

distributions. The second approach is based on the assumptions of the Extreme Value Theory (EVT) and the Pickands-Balkema-de Haan …

Persistent link: https://www.econbiz.de/10012978803

Average skewness matters!

Jondeau, Eric; Zhang, Qunzi - 2015

Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...

Persistent link: https://www.econbiz.de/10011412455

Asymmetric Extreme Tails and Prospective Utility of Momentum Returns

Gregory-Allen, Russell B. - 2012

We use extreme value theory to analyse the tails of a momentum strategy's return distribution. The asymmetry between …

Persistent link: https://www.econbiz.de/10013115667

Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk

Bugar, Gyöngyi; Maurer, Raimund; Vo, Huy Thanh - 2009

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...

Persistent link: https://www.econbiz.de/10003838424

Probabilistic Equilbirium of Stock Market Imminent on 'Capital Allocation'

Cherian, Mathew - 2010

"Capital Allocation" endows us to study the probabilistic equilbrium reached from the expected movments of the Stock Market and Treasury Bond market. This equilbirium is employed to calculate the expected time scope in which the equilbrim can be expected. This gives the zenith of the oscillation...

Persistent link: https://www.econbiz.de/10013147717

Threshold Asymmetries in Equity Return Distributions : Statistical Tests and Investment Implications

Yoldas, Emre - 2011

In this paper we investigate asymmetries in time-varying means, volatilities, correlations, and betas of equity returns in a multivariate threshold framework. We consider alternative specifications in which the threshold variable is based on well-established equity pricing factors and...

Persistent link: https://www.econbiz.de/10013118202

Index Options Realized Returns Distributions from Passive Investment Strategies

Dapena, José Pablo - 2016

form of a guarantee or margin (similar to net worth). We estimate realized returns from passive investment strategies, by …

Persistent link: https://www.econbiz.de/10012998750

Examining the Skewness and Kurtosis of Value vs. Glamour Portfolios

Otuteye, Eben - 2017

the context of how they reflect the behavioral traits or investment style of market participants. Normally, any …, defines investment as an operation that upon thorough analysis promises safety of principal and satisfactory returns. Anything … investment decisions in a manner consistent with Benjamin Graham's definition. In contrast to Benjamin Graham's definition …

Persistent link: https://www.econbiz.de/10012954946

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