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Ruenzi, Stefan; Weigert, Florian - 2017 - This version: December 2017

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from...

Persistent link: https://www.econbiz.de/10011906204

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

Investor Sentiment, Volatility and Stock Return Comovements

Chandra, Abhijeet - 2013

We study the stock return comovements from two different perspectives, one being trading behaviour-induced return comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor sentiment index and examine whether it has relationship...

Persistent link: https://www.econbiz.de/10013073102

Analyzing Financial Data and Implementing Financial Models Using R

Ang, Clifford S. - 2015

This book is a comprehensive introduction to financial modeling that teaches advanced undergraduate and graduate students in finance and economics how to use R to analyze financial data and implement financial models. This text will show students how to obtain publicly available data, manipulate...

Persistent link: https://www.econbiz.de/10012402086

Are REITs real estate? : evidence from international sector level data

Hoesli, Martin; Oikarinen, Elias - 2012

The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...

Persistent link: https://www.econbiz.de/10009558452

Regime shifts in mean-variance efficient frontiers : some international evidence

Guidolin, Massimo; Ria, Federica - 2010

Regime switching models have been assuming a central role in financial applications because of their well-known ability to capture the presence of rich non-linear patterns in the joint distribution of asset returns. This paper examines how the presence of regimes in means, variances, and...

Persistent link: https://www.econbiz.de/10008990692

Regime Shifts in Mean-Variance Efficient Frontiers : Some International Evidence

Guidolin, Massimo - 2010

Persistent link: https://www.econbiz.de/10013136630

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kurz-Kim, Jeong-Ryeol - 2003

Korrelation zwischen Aktienrenditen und Inflationsrate zu untersuchen, das in der Literatur als Rätsel der Aktienrendite …-Inflation- Relation (bzw. Proxy-Hypothese) bekannt ist. Es zeigt sich auf der Grundlage deutscher Quartalsdaten für Aktienrendite … asymmetrische Beziehung anzusehen ist. Darüber hinaus ist die führende Rolle der Aktienrendite für die Wachstumsrate der …

Persistent link: https://www.econbiz.de/10011431989

Instability of Factor Strength in Asset Returns

Massacci, Daniele - 2022

We study the problem of detecting structural instability of factor strength in asset pricing models for financial returns. We allow for strong and weaker factors, in which the sum of squared betas grows at a rate equal to and slower than the number of test assets, respectively: this growth rate...

Persistent link: https://www.econbiz.de/10013311483

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