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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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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …
Persistent link: https://www.econbiz.de/10009770247
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Analysing assets' performance inside a portfolio : from crossed beta to the net risk premium ratio
Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-23
This paper is focused on enlarging the performance inside a portfolio that provides the Treynor ratio by relating portfolio weights with performance indicators. Intuition suggests that the higher the weight of an asset, the higher should be its expected performance. These weights, and the...
Persistent link: https://www.econbiz.de/10011877322
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Momentum, the Disposition Effect and Beta
O'Brien, John - 2018
The existence of a premium to momentum portfolios, formed by buying recent winners and selling recent losers is widely accepted, although the source of the returns remains controversial. It remains a focus of behavioural finance. We focus on one set of explanations, based on prospect theory,...
Persistent link: https://www.econbiz.de/10012927420
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The Conditional Capital Asset Pricing Model Revisited : Evidence from High-Frequency Betas
Hollstein, Fabian - 2019
When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …
Persistent link: https://www.econbiz.de/10012892813
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Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium
Wang, Tong - 2022
This paper develops a new approach to explain why risk factors constructed from option returns are priced in the stock market. We decompose an option- based factor into three main components and identify the one responsible for the beta-return relationship. Applying this method to the bear risk...
Persistent link: https://www.econbiz.de/10013305706
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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …
Persistent link: https://www.econbiz.de/10011780610
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Low Volatility Asset Valuation in Brazilian Stock Market : Lower Risk with Higher Returns
Boudjoukian França, Luciano; Avelar, Mario; Teles, Pedro - 2023
This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …
Persistent link: https://www.econbiz.de/10014349977
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Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies
Fičura, Milan - 2017
-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …
Persistent link: https://www.econbiz.de/10012964934
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The Role of Investability Restrictions on Size, Value, and Momentum in International Stock Returns
Karolyi, George Andrew - 2015
Using monthly returns for over 37,000 stocks from 46 developed and emerging market countries over a two-decade period, we test whether empirical asset pricing models capture the size, value, and momentum patterns in international stock returns. We propose and test a multi-factor model that...
Persistent link: https://www.econbiz.de/10013036967