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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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On the construction of common size, value and momentum factors in international stock markets : a guide with applications
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011 - This version: 4.1.2011
momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build … novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns …
Persistent link: https://www.econbiz.de/10009236964
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Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITSs
Cakici, Nusret - 2014
, the momentum factor appears to be influential since the first-ever listing of a REIT in the S&P 500 Index in early October …
Persistent link: https://www.econbiz.de/10013056735
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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 portfolio optimization. Against this background, in 1992 Black and Litterman developed an approach based on (theoretically established) expected equili-brium returns which...
Persistent link: https://www.econbiz.de/10009487257
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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 average firm size. The spread between highest and lowest growth in average …
Persistent link: https://www.econbiz.de/10012920614
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Is ESG a Systematic Risk Factor for US Equity Mutual Funds?
Jin, Ick - 2021
Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...
Persistent link: https://www.econbiz.de/10013252157
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Selection in asset markets : the good, the bad, and the unknown
Bottazzi, Giulio; Dindo, Pietro - 2011
We provide simple examples to illustrate how wealth-driven selection works in asset markets. Our examples deliver both good and bad news. The good news is that if individual assets demands are expressed as a fractions of wealth to be invested in each asset, e.g. because traders maximize an...
Persistent link: https://www.econbiz.de/10009009683
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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...
Persistent link: https://www.econbiz.de/10008699179
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The private equity premium puzzle revisited
Kartashova, Katya - 2011
In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors' methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989 - 1998 and...
Persistent link: https://www.econbiz.de/10008841171
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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452