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The size effect in value and momentum factors : implications for the cross-section of international stock returns
Atanasov, Victoria; Nitschka, Thomas - 2013
basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …
Persistent link: https://www.econbiz.de/10010224775
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Chapter 16 Are financial assets priced locally or globally?
Karolyi, G. Andrew; Stulz, René M. - 2003
We review the international finance literature to assess the extent to which international factors affect financial asset demands and prices. International asset-pricing models with mean-variance investors predict that an asset's risk premium depends on its covariance with the world market...
Persistent link: https://www.econbiz.de/10014023855
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On Risks and Opportunities in Financial Markets
Lansdorp, Simon - 2013
Investing in financial securities inevitably involves risks on the one hand and opportunities on the other hand. This thesis bundles four different studies on risks and/or opportunities in financial markets. In one study, we examine the cross-sectional explanatory power of different...
Persistent link: https://www.econbiz.de/10013084879
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Embedded Leverage
Frazzini, Andrea - 2020
Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...
Persistent link: https://www.econbiz.de/10012837946
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Anomalous Deal Return Capture : A Cross-Sectional Study of Three Hypothetical Global Merger Risk Arbitrage Portfolios 2000-2016
McCarron, Daniel - 2017
This paper examines the annual risks and returns of three disparate, hypothetical merger arbitrage portfolio strategies as an attempt to capture alpha from an in-sample study of 793 global M&A transactions covering the January 2000 thru December 2016 time period. Previously written and...
Persistent link: https://www.econbiz.de/10012958921
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Economic Momentum and Currency Returns
Dahlquist, Magnus - 2019
strategy that goes long currencies with strong economic momentum and short currencies with weak economic momentum exhibits an … annualized Sharpe ratio of 0.70 and yields a significant alpha when controlling for standard carry, momentum, and value … strategies. The economic momentum strategy subsumes the alpha of carry trades, suggesting that differences in past economic …
Persistent link: https://www.econbiz.de/10012904397
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The Risk of Skewness and Kurtosis in Oil Market and the Cross-Section of Stock Returns
Ebrahimi, Nima - 2018
We show that exposure to the risk of kurtosis in oil market drives the cross-section of stock returns from 1996 to 2014. The average monthly difference between the return of portfolio of stocks with low exposure and high exposure to the risk of kurtosis is -0.37%, showing that higher exposure to...
Persistent link: https://www.econbiz.de/10012920695
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Herding for Profits : Market Breadth and the Cross-Section of Global Equity Returns
Zaremba, Adam - 2019
such as size, style, volatility, skewness, momentum, and trend-following signals. In addition, the role of market breadth …
Persistent link: https://www.econbiz.de/10012863920
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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …
Persistent link: https://www.econbiz.de/10009770247
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The Determinants of Stock and Bond Return Comovements
Baele, Lieven - 2011
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...
Persistent link: https://www.econbiz.de/10013132852