Showing 1 - 10 of 44,131
Using a comprehensive set of 103 equity strategies, we analyze the value of volatility-managed portfolios for real …-time investors. Volatility-managed portfolios do not systematically outperform their corresponding unmanaged portfolios in direct … comparisons. Consistent with Moreira and Muir (2017), volatility-managed portfolios tend to exhibit significantly positive alphas …
Persistent link: https://www.econbiz.de/10012890204
covariance matrix implied by the long-run risk model of Bansal and Yaron (2004). Comparing the optimal allocations of investors … using the longrun risk VAR versus an unrestricted reduced-form VAR reveals stark differences in portfolio strategies. Long …-run risk investors are quite conservative relative to reduced-form investors due to intertemporal hedging concerns. Despite the …
Persistent link: https://www.econbiz.de/10013107285
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …
Persistent link: https://www.econbiz.de/10011410917
This manuscript provides a review of how uncertainty shocks affect the stock market. Systematic uncertainty is related to lower prices, while idiosyncratic uncertainty could raises prices. However, some studies do not find a significant impact of uncertainty on prices
Persistent link: https://www.econbiz.de/10013403923
assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset … the test. The test is applied to intraday financial data to determine whether the linear span of assets' systematic risk …
Persistent link: https://www.econbiz.de/10015053883
volatility). We build our intertemporal risk factors as mimicking portfolios for changes in dividend yield and realized … volatility and demonstrate that, ex-post, they capture news to long-term expected returns and volatility. Our estimated risk … implementation of the ICAPM, which captures market risk and intertemporal risk (i.e., changes in long-term expected returns and …
Persistent link: https://www.econbiz.de/10012824154
evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset … based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical …
Persistent link: https://www.econbiz.de/10011893131
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …
Persistent link: https://www.econbiz.de/10011751173
We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …
Persistent link: https://www.econbiz.de/10011751251
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …
Persistent link: https://www.econbiz.de/10012388066