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Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108
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Momentum and Mean-Reversion in Commodity Spot and Futures Markets
Chaves, Denis B. - 2016
We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices. We find that momentum performs well in futures markets, but not in spot markets, and that mean-reversion performs well in spot markets, but...
Persistent link: https://www.econbiz.de/10012984051
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International Volatility Arbitrage
Tosi, Adriano - 2018
Are options on exchange-traded products (ETPs) and indexes consistently priced internationally? The cross-section of international option returns exhibits a mispricing by sorting on ex-ante volatility returns. In addition, selling international ETP options and buying their corresponding index...
Persistent link: https://www.econbiz.de/10012915950
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Variable Jump Models in High Frequency Market Processes
Burton, Nathan - 2023
This paper proposes an alternative model to Brownian-type models for high frequency market price processes which is much closer to reality and thus more appropriate for use in process behavior and optimization research. The proposed model is a modified Poisson process
Persistent link: https://www.econbiz.de/10014349712
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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...
Persistent link: https://www.econbiz.de/10011539896
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Heterogeneous Beliefs and Stock Market Fluctuations
McCarthy, Odhrain; Hillenbrand, Sebastian - 2022
Stock prices aggregate the beliefs of different investors. Using this insight, we estimate the fraction of stock market investors holding survey beliefs. We find that 42% of investors hold beliefs matching those of equity analysts and 25% hold beliefs as observed in individual investor return...
Persistent link: https://www.econbiz.de/10014238395
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Return and Dividend Expectations in the Cross-Section of Prices
Douglas, Reed - 2022
I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...
Persistent link: https://www.econbiz.de/10014236440
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Heterogeneous Expectations in Asset Pricing : Empirical Evidence from the S&P 500
Chiarella, Carl - 2016
This paper empirically estimates a heterogeneous agents model using S&P 500 data. While previous studies on heterogeneous agents models typically resort to simulation techniques, our empirical results indicate that the market is populated with fundamentalists, chartists, and noise traders. In...
Persistent link: https://www.econbiz.de/10013009017
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Expected Idiosyncratic Volatility
Bekaert, Geert; Bergbrant, Mikael C.; Kassa, Haim - 2022
We use 92,632,873 daily returns for 33,010 US firms to establish the best forecasting model for realized idiosyncratic variances. Comparing forecasts from 10 different models, we find that the most popular models, the martingale and GARCH type models, perform worst. Using the...
Persistent link: https://www.econbiz.de/10014078357
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Asset Price Volatility and Efficient Discrimination in Credit Market Equilibrium
Nickerson, David B. - 2017
Significant variation in the terms and volume of lending across classes of borrowers distinguished only by qualities independent of credit risk is often interpreted as evidence of inefficient or inequitable discrimination in credit markets. Increasing accuracy in the measure of credit risk...
Persistent link: https://www.econbiz.de/10012963545