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Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns

Dienemann, Fabian - 2020

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

Persistent link: https://www.econbiz.de/10012835834

Private Information behind Insider Trades : Evidence from Cross Section and Time Series

Chi, Yeguang - 2020

We examine the private information associated with insider trades using a Chinese data set. Insider buys positively forecast individual stock returns and insider sales negatively forecast individual stock returns. Classifying insiders as corporate managers and institutional investors, we find...

Persistent link: https://www.econbiz.de/10012834521

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

A Seasonality Factor in Asset Allocation

McGroarty, Frank - 2019

Motivated by the seasonality found in equity returns, we create a Turn-of-the-Month (ToM) allocation strategy in the U.S. equity market and investigate its value in asset allocation. By using a wide variety of portfolio construction techniques in an attempt to address the impact of estimation...

Persistent link: https://www.econbiz.de/10012897814

Data Snooping in Equity Premium Prediction

Dichtl, Hubert - 2019

We analyze the performance of a comprehensive set of equity premium forecasting strategies. All strategies were found to outperform the mean in previous academic publications. However, using a multiple testing framework to account for data snooping, our findings support Welch and Goyal (2008) in...

Persistent link: https://www.econbiz.de/10012901853

Equity Premium Prediction by Sparse Pooling of Parsimonious State-Dependent Models

de Almeida, Daniel - 2018

A large set of macroeconomic variables have been suggested as equity risk premium predictors in the literature. This paper proposes a forecasting approach for the equity risk premium with two novel features. First, individual month-ahead forecasts are obtained from parsimonious threshold...

Persistent link: https://www.econbiz.de/10012913585

Daily VAR Forecasts with Realized Volatility and GARCH Models

Bedowska-Sojka, Barbara - 2017

In this paper we evaluate alternative volatility forecasting methods under Value at Risk (VaR) modelling. We calculate one-step-ahead forecasts of daily VaR for the WIG20 index quoted on the Warsaw Stock Exchange within the period from 2007 to 2011. Our analysis extends the existing research by...

Persistent link: https://www.econbiz.de/10012942387

The Forecast Dispersion Anomaly Revisted : Time-Series Forecast Dispersion and the Cross-Section of Stock Returns

Kim, Dongcheol - 2017

Previous studies use cross-sectional forecast dispersion in examining the relation between forecast dispersion and future stock returns and report an anomalous negative dispersion-return relation. This paper examines how time-series forecast dispersion is distinct in the relation to stock...

Persistent link: https://www.econbiz.de/10012972903

Interpreting Factor Models

Kozak, Serhiy - 2017

We argue that tests of reduced-form factor models and horse races between "characteristics" and "covariances'" cannot discriminate between alternative models of investor beliefs. Since asset returns have substantial commonality, absence of near-arbitrage opportunities implies that the SDF can be...

Persistent link: https://www.econbiz.de/10012959517

Asset Allocation with Time Series Momentum and Reversal

He, Xue-zhong - 2017

To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with...

Persistent link: https://www.econbiz.de/10012962880