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Betting Against Beta in the Indian Market
Agarwalla, Sobhesh Kumar - 2020
significant positive returns in India. The returns on the BAB factor dominate the returns on the size, value and momentum factors …
Persistent link: https://www.econbiz.de/10012856621
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Do jumps matter in both equity market returns and integrated volatility : a comparison of Asian developed and emerging markets
Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies : open access journal 9 (2021) 2, pp. 1-26
In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to...
Persistent link: https://www.econbiz.de/10012548334
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Chapter 16 Are financial assets priced locally or globally?
Karolyi, G. Andrew; Stulz, René M. - 2003
We review the international finance literature to assess the extent to which international factors affect financial asset demands and prices. International asset-pricing models with mean-variance investors predict that an asset's risk premium depends on its covariance with the world market...
Persistent link: https://www.econbiz.de/10014023855
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World Market Integration Through the Lens of Foreign Direct Investors
Albuquerque, Rui A. - 2014
). We construct a globalization measure that equals the share of explained variation in direct investment attributable to … global factors. We show that our globalization measure has increased steadily for developing and developed countries. For the … full sample of countries, the globalization measure rose by over ten-fold from 1985 to 1999. Furthermore, in recent years …
Persistent link: https://www.econbiz.de/10013039662
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Financial Integration, Globalization, Growth and Systemic Real Risk
De Nicolo, Gianni - 2010
dynamics of financial integration and assesses whether advances in financial integration and globalization yield the beneficial … financial integration and globalization predict higher growth, lower growth volatility, as well as lower probabilities of … integration and globalization. Thus, financial integration and globalization appear to yield direct as well as indirect benefits …
Persistent link: https://www.econbiz.de/10013144840
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Betting Against Other Betas
Murray, Scott - 2020
Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...
Persistent link: https://www.econbiz.de/10012841238
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Optimal Convergence Trading for Cross-listed Stocks
Ewald, Christian-Oliver - 2020
With the intention of maximizing an investor's terminal utility, we construct a non-threshold ased trading model within which the optimal trading weights for daily rebalancing are derived analytically via stochastic optimal control. Having released the constraint that the cointegrating vector is...
Persistent link: https://www.econbiz.de/10012841605
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The Magic Formula : Value, Profitability, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2017
Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...
Persistent link: https://www.econbiz.de/10012958130
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The Modified Dividend-Price Ratio
Polimenis, Vassilis - 2019
We show that log-dividends (d) and log-prices (p) are cointegrated, but, instead of de facto assuming the stationarity of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We define the modified dividend–price ratio (mdp), as the...
Persistent link: https://www.econbiz.de/10012905483
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Cojumps and Asset Allocation in International Equity Markets
Arouri, Mohamed - 2018
This paper examines the patterns of intraday cojumps between international equity markets as well as their impact on international asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds as proxies for international equity markets, we...
Persistent link: https://www.econbiz.de/10012907781