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Tests of alternative asset pricing models using individual security returns and a new multivariate F-test
Rahman, Shafiqur; Schneider, Matthew J. - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950001-1-1950001-34
Persistent link: https://www.econbiz.de/10012156138
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The acceleration effect and gamma factor in asset pricing
Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive … returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the … momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration …
Persistent link: https://www.econbiz.de/10011411974
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Stock Selection Strategies in Emerging Markets
van der Hart, Jaap; Slagter, Erica; van Dijk, Dick - 2001
Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging …
Persistent link: https://www.econbiz.de/10010324784
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Is there a value premium in cryptoasset markets?
Liebi, Luca J. - 2022 - [Version] January 19, 2022
, including the market, size, and momentum factor ….1 percentage points higher weekly returns than cryptoassets with low active addresses to network value ratio, and comparable size …
Persistent link: https://www.econbiz.de/10012609730
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Data envelopment analysis and multifactor asset pricing models
Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: International Journal of Financial Studies : open … 8 (2020) 2/24, pp. 1-18
Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) techniques can help improve the performance of...
Persistent link: https://www.econbiz.de/10012239304
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The US-dollar supranational zero-coupon curve
Rivadeneyra, Francisco - 2012
The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model. Results show the...
Persistent link: https://www.econbiz.de/10009545246
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10009752999
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Systematic consumption risk in currency returns
Hoffmann, Mathias; Suter, Rahel - 2013
We sort currencies into portfolios by countries' consumption growth over the past year. The excess return of the highest-consumption-growth currency portfolio over the portfolio of lowest-consumption-growth currencies is positive on average, compensating investors for large negative returns...
Persistent link: https://www.econbiz.de/10009761800
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An international dynamic term structure model with economic restrictions and unspanned risks
Bauer, Gregory H.; Díez de los Ríos, Antonio - 2012
We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate. We show that it is important to impose restrictions (including global asset pricing, carry...
Persistent link: https://www.econbiz.de/10009492377
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Better not forget : on the memory of S&P 500 survivor stock companies
Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-16
This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...
Persistent link: https://www.econbiz.de/10014305602