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Continuous-Time Evolutionary Stock and Bond Markets with Time-Dependent Strategies

Yang, Zhaojun; Shi, Feng - 2012

This paper develops a general continuous-time evolutionary finance model with time-dependent strategies. It is shown that the continuous model, which is a limit of a general discrete model, is well-defined and if there exists one completely diversified strategy in the market, then there is no...

Persistent link: https://www.econbiz.de/10014220854

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

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

Asymmetric Information, Trading Volume, and Portfolio Performance

Jackson, Antony - 2013

In dealership markets, asymmetric information feeds through to higher transaction costs as dealers adjust their bid-ask spreads to compensate for anticipated losses. In this paper, we show that the presence of asymmetric information can also provide a positive externality to those market...

Persistent link: https://www.econbiz.de/10013081590

Common risk factors in equity markets

Atanasov, Victoria - 2014 - This version: May 26, 2014

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

Testing the stochastic disorder model on stock markets

Sokko, Anastasiia - 2017

This paper examines real-time applications of quickest disorder detection techniques for timing stock markets. The focus is on the stochastic disorder model by Shiryaev, Zhitlukhin, and Ziemba (2014, 2015), Zhitlukhin and Ziemba (2016) and their optimal stopping rule. The model uses sequential...

Persistent link: https://www.econbiz.de/10011875860

Portfolio Balance Effects and the Equity Market

Emmerling, Thomas - 2015

Many monetary studies on the portfolio balance effect omit its impact to equity returns. Motivated through a simple general equilibrium model, we study how changes in the bond supply affect the overall equity market. Our model predicts that exogenous increases (decreases) in the bond supply...

Persistent link: https://www.econbiz.de/10013013046

Profits from Underreactions and Overreactions : Price Momentum and Reversal in International Stock Markets

Chen, Chun-Yo; Ho, Hwai-Chung; Liu, Wen-Rang - 2023

This paper proposes a dynamic information diffusion model that explains the lead-lag reaction of stock prices resulting from the interaction of price trends and implied price risk (IPR). Consistent with our model's predictions, we construct a zero investment underreaction portfolio (overreaction...

Persistent link: https://www.econbiz.de/10014349889

Portfolio Inertia and Stock Market Fluctuations

Bilias, Yannis - 2009

Existing studies of household stock trading using administrative data offer conflicting results: Discount brokerage accounts exhibit excessive trading, while retirement accounts show inactivity. This paper uses population-wide data from PSID and SCF to examine the overall extent of household...

Persistent link: https://www.econbiz.de/10013155758

Decisions, Stocks, and Time Diversification

McLeavey, Dennis W. - 2013

This paper presents three definitions of time diversification and analyzes their implications for investment horizons. Using decision quality criteria and methodology, we question standard advice. In analyzing time diversification with a minimum of assumptions, we answer two main questions: how...

Persistent link: https://www.econbiz.de/10013089732

CoAnomaly : Correlation Risk in Stock Market Anomalies

Guo, James Tengyu - 2019

I propose a simple time-series risk measure in trading stock market anomalies, CoAnomaly, the time-varying average pairwise correlation among 34 anomalies, which helps to explain both the time-series and the cross-sectional anomaly return patterns. Since correlations among underlying assets...

Persistent link: https://www.econbiz.de/10012900148