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The performance of the widely used betting-against-beta (BAB) investment strategy is improved by controlling for the stochastic dominance (SD) relation between individual stocks and the market portfolio. Dominating stocks, preferred by all risk-averse and prudent investors, are excluded from the...
Persistent link: https://www.econbiz.de/10014238582
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108
of risk (and the market premium) theoretically truncated at zero. The best linear (CAPM) function describing this …
Persistent link: https://www.econbiz.de/10012891770
) three factor model holds for the Indonesian Stock Exchange and more robust than CAPM in non-financial stock, in portfolio …
Persistent link: https://www.econbiz.de/10013123907
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
Betting against beta (BAB) can be seen as the combination of three investable component portfolios: Two cross-sectional components exploiting the beta anomaly attributable to stock selection and rank weighting scheme, and one time-series component with a dynamic net-long position due to...
Persistent link: https://www.econbiz.de/10012897375
quadratic functions of the price of risk, theoretically truncated at zero. The best linear (CAPM) function describing this …
Persistent link: https://www.econbiz.de/10012851651
Frazzini and Pedersen (2014) document that a betting against beta strategy that takes long positions in low-beta stocks and short positions in high-beta stocks generates a large abnormal return of 6.6% per year and they attribute this phenomenon to funding liquidity risk. We demonstrate that...
Persistent link: https://www.econbiz.de/10012937830
This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...
Persistent link: https://www.econbiz.de/10012942864
We extend the ex-ante mean-variance (SVIX) models of Martin (2017) and Martin-Wagner (2019) to a mean-variance-asymmetry (AVIX) framework for incorporating higher-moment and co-moment risk in asset pricing. AVIX is a risk-neutral measure of the left-tail asymmetries in return that corrects the...
Persistent link: https://www.econbiz.de/10013242103