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A Comparison of the Efficacy of Liquidity, Momentum, Size and Book-to-Market Value Factors in Equity Pricing on a Heterogeneous Sample : Evidence from Asia
Hearn, Bruce Allen - 2016
This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top...
Persistent link: https://www.econbiz.de/10013000951
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Non-standard errors in carbon premia
Beyer, Victor; Bauckloh, Michael Tobias - 2024
This research investigates the influence of methodological choices in portfolio sorts on the size of the carbon premium. By analyzing more than 100,000 methodological paths, we find that variations in the construction of brown-minus-green portfolios create substantial non-standard errors. From...
Persistent link: https://www.econbiz.de/10014631855
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Generalized Euler Equation Errors for Discrete Time Dynamic Portfolio Choice Models
Dillschneider, Yannick - 2020
The solution to dynamic portfolio choice models can be formulated in terms of a value function by the Bellman principle of optimality, which reduces the multi-period optimal policy choice problem to a sequence of one-period maximization problems. For two adjacent periods, economists compute the...
Persistent link: https://www.econbiz.de/10012847882
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Non-Standard Errors in Portfolio Sorts
Walter, Dominik; Weber, Rüdiger; Weiss, Patrick - 2022
We study the size and drivers of non-standard errors (Menkveld et al., 2021) in portfolio sorts across 14 common methodological decision nodes and 40 sorting variables. These non-standard errors range between 0.05 and 0.26 percent and are, on average, larger than standard errors. Supposedly...
Persistent link: https://www.econbiz.de/10013404257
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Convergence of the Embedded Mean-Variance Optimal Points with Discrete Sampling
Dang, Duy-Minh - 2017
numerical algorithm will generate only a discrete sampling of the solution set of the embedded problem. In this paper, we …
Persistent link: https://www.econbiz.de/10012973834
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Sample Selection Bias, Return Moments, and the Performance of Optimal versus Naive Diversification
Li, Bowei - 2016
I examine the sample selection bias in portfolio horse race. Numerous studies propose mean-variance portfolio rules to outperform the naive 1/N portfolio rule. However, the outperformance is often justified by a small number of pre-selected datasets. Using a new performance test based on a large...
Persistent link: https://www.econbiz.de/10012984969
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Analysts' dividend forecasts, portfolio selection, and market risk premia
Breuer, Wolfgang; Feilke, Franziska; Gürtler, Marc - 2007 - This Version: 2007-02-28
implied by analysts' dividend forecasts under the explicit notion of taxes and non-flat term structures of interest rates and …
Persistent link: https://www.econbiz.de/10009487262
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Bank dividend restrictions and banks' institutional investors
Mücke, Christian - 2023
This paper studies the impact of banks’ dividend restrictions on the behavior of their institutional investors. Using … funds permanently decrease their ownership shares at treated banks during the 2020 dividend restrictions in the Eurozone and … fund ownership and banks’ dividend yield, highlighting again the importance of dividends for European banks’ fund investors …
Persistent link: https://www.econbiz.de/10014348587
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Sampling error and double shrinkage estimation of minimum variance portfolios
Candelon, Bertrand; Hurlin, Christophe; Tokpavi, Sessi - 2011
Persistent link: https://www.econbiz.de/10008840679
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Kreditportfoliorisikomodelle : wie tragfähig ist eigentlich die Datenbasis?
Meyer zu Selhausen, Hermann - In: Rechnungslegung, Steuerung und Aufsicht von Banken : …, (pp. 433-444). 2004
Persistent link: https://www.econbiz.de/10002151985