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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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Are Regime Shift Risks Priced in Asset Markets?
Chourdakis, Kyriakos - 2011
underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …
Persistent link: https://www.econbiz.de/10013130931
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Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972
Persistent link: https://www.econbiz.de/10012616913
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Assessing systematic risk using time series regression : an evidence from Indian capital market
Prakash R. P.; Yaragol, Prakash Basanna - In: The journal of Institute of Public Enterprise 41 (2018) 3/4, pp. 46-62
Persistent link: https://www.econbiz.de/10012023499
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The cross-section of expected stock returns and components of idiosyncratic volatility
Poudeh, Seyed Reza Tabatabaei; Fu, Chengbo - In: The journal of risk finance : JRF 23 (2022) 4, pp. 403-417
Persistent link: https://www.econbiz.de/10013370591
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Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef; Nevrla, Matĕj - In: Journal of financial econometrics 21 (2023) 5, pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
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Idiosyncratic Noise Filtered (INF) Beta
Dohmeyer, Bob - 2015
Reliably estimating the beta of an individual stock has proved elusive. Individual stock price movements are a function of market/systematic movements and company specific/idiosyncratic movements. Since traditional beta estimation calculations make no attempt to minimize the impact of the...
Persistent link: https://www.econbiz.de/10013014870
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The Cross-Section of German Stock Returns : New Data and New Evidence
Artmann, Sabine - 2010
test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a …
Persistent link: https://www.econbiz.de/10013139690
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Testing Self-Affinity of Stock Returns
Bianchi, Sergio - 2011
Given the process {X(t), t in T}, the definition of self-affinity is reformulated in terms of diameter of the space of the rescaled pdf's of X(t). Two necessary conditions are deduced which contribute to discriminate uniscaling processes. Furthermore, by properly choosing the distance, the...
Persistent link: https://www.econbiz.de/10013122376
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The Cross-Section of German Stock Returns : New Data and New Evidence
Artmann, Sabine - 2012
-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard CAPM, the Fama …
Persistent link: https://www.econbiz.de/10013108066