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Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets

Duppati, Geeta - 2016

This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI … markets under study. Among the group, CNIA and STI showed most persistence in both the return and conditional volatility. In …

Persistent link: https://www.econbiz.de/10013003892

An application of asymmetric GARCH models on volatility of banks equity in Nigeria’s stock market

Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN journal of applied statistics 8 (2017) 1, pp. 73-99

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models …. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find …

Persistent link: https://www.econbiz.de/10011843494

On the bimodality of the distribution of the S&P 500’s distortion : empirical evidence and theoretical explanations

Schmitt, Noemi; Westerhoff, Frank H. - 2017

After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...

Persistent link: https://www.econbiz.de/10011595441

Nonparametric Estimation and Testing for Instability of Discount Rate and Cash Flow Channels of Stock Returns

Yu, Deshui; Xu, Xiu; Chen, Li; Li, Luyang - 2023

approaches for estimating and testing the time variability in the predictability channels of the equity premium within a present … document strong time variation in both discount-rate and cash-flow channels. In comparison, the predictability of the equity …

Persistent link: https://www.econbiz.de/10014351244

Estimating the volatility of asset pricing factors

Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018

Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...

Persistent link: https://www.econbiz.de/10011860248

Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective

Marczak, Martyna; Beissinger, Thomas - 2015

This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle...

Persistent link: https://www.econbiz.de/10011325814

Capital markets integration and cointegration : testing for the correct specification of stock market indices

Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20

between the equity price indices because of the introduction of additional stochastic trends through the transformation of … provide partial support in favor of cointegration, and therefore for capital markets integration, among stock market indices …

Persistent link: https://www.econbiz.de/10012171036

Leverage, Beta Estimation, and the Size Effect

Drobetz, Wolfgang - 2014

A measurement error in beta that arises from changes in leverage during the beta estimation window contributes in … explaining the size effect. Simulations of asset returns show that the magnitude of the bias in equity returns is proportional to … beta estimation window rather than the average leverage during this window. Using the point-in-time beta to compute …

Persistent link: https://www.econbiz.de/10013049758

Time Series Momentum in the US Stock Market : Empirical Evidence and Theoretical Implications

Zakamulin, Valeriy - 2020

We start this paper by presenting compelling evidence of short-term momentum in the excess returns on the S&P Composite stock price index. For the first time ever, we assume that the excess returns follow an autoregressive process of order p, AR(p), and evaluate the parameters of this process....

Persistent link: https://www.econbiz.de/10012835802

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