Similar Search Results

Biases in Variance of Decomposed Portfolio Returns

Alexeev, Vitali - 2018

Significant portfolio variance biases arise when contrasting multi-period portfolio returns based on the assumption of fixed continuously rebalanced portfolio weights as opposed to buy-and-hold weights. Empirical evidence obtained using S&P500 constituents from 2003 to 2011 demonstrates that,...

Persistent link: https://www.econbiz.de/10012930691

A horizon-based decomposition of mutual fund value added using transactions

Binsbergen, Jules H. van; Han, Jungsuk; Ruan, Hongxun; … - 2021

Persistent link: https://www.econbiz.de/10012581767

Decomposing real wage changes in the United States

Fernández-Val, Iván; Vuuren, Aico van; Vella, Francis - 2018

quantiles of the wage distribution. We account for the selection bias from the annual hours of work decision by developing and …

Persistent link: https://www.econbiz.de/10011959185

An investigation of the trading patterns and heuristics of stockholders

Frieder, Laura L. - 2004

Persistent link: https://www.econbiz.de/10003777979

Decomposing Cross-Asset Time Series Momentum

Pitkäjärvi, Aleksi - 2021

I decompose the expected return difference between cross-asset time series momentum and time series momentum into market timing and risk premium components, and show that market timing accounts for 71–79% of the difference. I thus show that two recent critiques of time series momentum do not...

Persistent link: https://www.econbiz.de/10013213175

Forecasting stock market returns by summing the frequency-decomposed parts

Faria, Gonçalo; Verona, Fabio - 2017

Persistent link: https://www.econbiz.de/10011817412

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...

Persistent link: https://www.econbiz.de/10012170580

Rationality and momentum in real estate investment forecasts

Papastamos, Dēmētrēs; Muzakēs, Phōtēs; Stevenson, … - 2014

Persistent link: https://www.econbiz.de/10010387939

Information Acquisition and Portfolio Bias in a Dynamic World

Valchev, Rosen - 2017

While international portfolios are still heavily biased towards home assets, the home bias has exhibited a clear … understand the evolution of the home bias, this paper develops a dynamic model of information acquisition and portfolio choice … overall level of the home bias, its decline over time and the fact that the rise in foreign investment has been coordinated on …

Persistent link: https://www.econbiz.de/10012969157

Sample Selection Bias, Return Moments, and the Performance of Optimal versus Naive Diversification

Li, Bowei - 2016

I examine the sample selection bias in portfolio horse race. Numerous studies propose mean-variance portfolio rules to …

Persistent link: https://www.econbiz.de/10012984969

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