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These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...
Persistent link: https://www.econbiz.de/10012834170
The longest bull market in US stock market history is over. Uncertainty over the public health and economic impact of the coronavirus pandemic will keep markets extremely volatile, making it likely we'll touch a wide range of price levels in the months ahead. Amidst such uncertainty, it's a...
Persistent link: https://www.econbiz.de/10012839090
We provide evidence that speculative capital of hedge funds is a key determinant for the profitability of optimal carry and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from the perspective of a utility maximizing risk averse...
Persistent link: https://www.econbiz.de/10013085038
Using hand-collected data of commodity futures contracts going back to 1877, we replicate in the pre-sample history the well-documented cross-sectional commodity factor premia of momentum, value and basis. All three premia remain significantly positive in the additional 80-plus years of...
Persistent link: https://www.econbiz.de/10012892589
This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...
Persistent link: https://www.econbiz.de/10011539896
This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the...
Persistent link: https://www.econbiz.de/10012833771
Using the pandemic as a laboratory, we show that asset markets assign a time- varying price to firms' disaster risk exposure. In 2020 the cross-section of realized and expected stock returns reflected firms' different exposure to the pandemic, as measured by their vulnerability to social...
Persistent link: https://www.econbiz.de/10012698248
This paper aims to explore whether the cause of return premium associated with the Amihud (2002) illiquidity measure is the compensation for illiquidity or mispricing. This paper defines the Amihud premium as the difference in expected returns between high-Amihud-portfolio and...
Persistent link: https://www.econbiz.de/10013294553
We study how equity option trading affects the market risk premium. We find that a measure of aggregate call order imbalance (ACIB), defined as the cross-sectional average of the difference between open-buy and open-sell volume, negatively forecasts future stock market returns significantly from...
Persistent link: https://www.econbiz.de/10014255200
We introduce the notion of a patience premium, which is based on the concept of ambiguity aversion and is an ambiguity premium. We identify three reasons for the existence of the patience premium: Certainty preferences: perceived confidence in the expected performance; Comparison with peers:...
Persistent link: https://www.econbiz.de/10012955119