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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models …. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding … of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …
Persistent link: https://www.econbiz.de/10011598385
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The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
Billio, Monica - 2017
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models …. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding … of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …
Persistent link: https://www.econbiz.de/10012963394
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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: Network connectivity, systematic and systemic risk, (pp. 9-51). 2018
Persistent link: https://www.econbiz.de/10012305837
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The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: International review of economics & finance : IREF 84 (2023), pp. 196-223
Persistent link: https://www.econbiz.de/10014343115
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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
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Financial Machine Learning
Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023
We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...
Persistent link: https://www.econbiz.de/10014322889
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Automated machine learning and asset pricing
Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12
We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...
Persistent link: https://www.econbiz.de/10015066381
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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Changes in the span of systematic risk exposures
Liao, Yuan; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 817-847
We develop a test for deciding whether the linear spaces spanned by the factor exposures of a large cross-section of assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset returns in local windows around the two time points. The...
Persistent link: https://www.econbiz.de/10015053883
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Stock profiling using time-frequency-varying systematic risk measure
Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29
(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … different asset allocation. We conclude that the standard CAPM assumes short-run investment. Then, investors should consider … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. …
Persistent link: https://www.econbiz.de/10014289044