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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the...
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return...
Persistent link: https://www.econbiz.de/10012309325
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Benchmarks in aggregate household portfolios
St.-Amour, Pascal (contributor) - 2007
Reference-dependent preference models assume that agents derive utility from deviations of consumption from benchmark levels, rather than from consumption levels. These references can be either backward-looking (as explicit in the Habit literature) or forward-looking (as implicitly suggested by...
Persistent link: https://www.econbiz.de/10003549899
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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
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Quantitative forecast model for the application of the Black-Litterman approach
Becker, Franziska; Gürtler, Marc - 2008 - This Version: 2010-11-10
The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz … context we present how analysts' dividend forecasts can be used to determine an a-priori-estimation of the expected returns …
Persistent link: https://www.econbiz.de/10009487257
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Cash flow and discount rate risk in up and down markets : what is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10008748123
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Growth in Average Firm Size of U.S. Industrial Portfolios and the Cross-Section of Expected Returns
Grobys, Klaus - 2018
This paper shows that growth in average firm size in U.S. industrial portfolios predicts future growth in average firm size. Moreover, the payoffs of industrial portfolios sorted by growth in average firm size in the previous period increase linearly as we move from lowest to highest growth in...
Persistent link: https://www.econbiz.de/10012920614
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Size-Portfolio Idiosyncratic Volatility with Aggregate Return, Cross-Sectional Return, and GDP Growth : U.S. and International Evidence
Kuo, Chris - 2011
Firm size is an essential factor in examining the relation between returns and idiosyncratic volatilities. This paper documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is statistically significant in explaining the future...
Persistent link: https://www.econbiz.de/10013117807
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Creative destruction and asset prices
Grammig, Joachim; Jank, Stephan - 2013
We relate Schumpeter's notion of creative destruction to asset pricing, thereby offering a novel explanation of size and value premia. We argue that small-value firms are more likely to be destroyed by serendipitous invention activity, and investors demand higher expected returns for bearing...
Persistent link: https://www.econbiz.de/10010128421
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The Attributes, Behavior, and Performance of U.S. Mutual Funds
Connor, Gregory - 2011
also consider the Capital Asset Pricing Model (CAPM) as an alternative. We implement a procedure for overcoming the … rotational indeterminacy of factor models. This procedure is a hybrid of statistical factor estimation and prespecification of … factors. We estimate measures of timing ability for the CAPM and extend it to the APT. We find that this timing test is …
Persistent link: https://www.econbiz.de/10013119222