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Momentum Crashes and Variations to Market Liquidity
Butt, Hilal Anwar - 2019
We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …
Persistent link: https://www.econbiz.de/10012895183
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Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks
Umlauft, Roland - 2013
This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …
Persistent link: https://www.econbiz.de/10013090386
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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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Market Volatility, Optimal Portfolios and Naive Asset Allocations
Caporin, Massimiliano - 2012
rolling estimation approaches and robust Sharpe ratio testing we determine if during different market volatility states …
Persistent link: https://www.econbiz.de/10013103959
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Asset Allocation in Markets with Contagion : The Interplay between Volatilities, Jump Intensities, and Correlations
Konermann, Patrick - 2013
We study the impact of financial contagion on the dynamic asset allocation problem of a CRRA investor facing an incomplete market with two risky assets. We apply a Markov chain regime-switching framework with state-dependent jump intensities, diffusion volatilities and diffusion correlations....
Persistent link: https://www.econbiz.de/10013092095
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Portfolio Inertia and Stock Market Fluctuations
Bilias, Yannis - 2009
Existing studies of household stock trading using administrative data offer conflicting results: Discount brokerage accounts exhibit excessive trading, while retirement accounts show inactivity. This paper uses population-wide data from PSID and SCF to examine the overall extent of household...
Persistent link: https://www.econbiz.de/10013155758
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Taming Momentum Crashes : A Simple Stop-Loss Strategy
Han, Yufeng - 2016
In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from -49.79%...
Persistent link: https://www.econbiz.de/10013006637
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10013040932
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10012584099
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020
covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …
Persistent link: https://www.econbiz.de/10012253083