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The memory of beta factors
Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019
Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...
Persistent link: https://www.econbiz.de/10012105362
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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
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Forecasting Stock Returns Under Economic Constraints
Pettenuzzo, Davide - 2014
We propose a new approach to imposing economic constraints on forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We consider two...
Persistent link: https://www.econbiz.de/10013064939
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Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns
Dienemann, Fabian - 2020
The asymmetry in price pressure from seller vs. buyer-initiated transactions is identified as valuable measure of 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...
Persistent link: https://www.econbiz.de/10012835834
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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
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Genuine and Spurious Serial Correlations in Asset Returns — An Illustration : Real Estate versus Equity
Maillard, Didier - 2019
Asset returns in efficient markets should not display serial correlations. Otherwise, asset prices would be predictable to a certain extent and arbitrage opportunities would appear, contradicting the assumption of efficiency.Lack of serial correlation is considered to be true for most...
Persistent link: https://www.econbiz.de/10012892008
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Illiquidity and Stock Returns II : Cross-Section and Time-Series Effects
Amihud, Yakov - 2020
Lou and Shu decompose Amihud's illiquidity measure (ILLIQ) proposing that its component, the average of inverse dollar trading volume (IDVOL), is sufficient to explain the pricing of illiquidity. Their decomposition misses a component of ILLIQ that is related to illiquidity. We find that this...
Persistent link: https://www.econbiz.de/10012852703
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Can Autoregressive Betas Account for the Statistical Properties of Stock Returns?
Kourogenis, Nikolaos - 2010
This paper analyzes the implications of autoregressive betas in single factor models for the statistical properties of stock returns. It is demonstrated that this assumption alone is sufficient to account for the most important stylized facts of stock returns, namely conditional...
Persistent link: https://www.econbiz.de/10013149583
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …
Persistent link: https://www.econbiz.de/10009535779