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Empirical risk factors in realized stock returns
Novák, Jiří; Petr, Dalibor - 2009
Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...
Persistent link: https://www.econbiz.de/10010322253
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …
Persistent link: https://www.econbiz.de/10010307494
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Revisiting the home bias puzzle: Downside equity risk
Campbell, Rachel A.; Kräussl, Roman - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10010298345
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Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators
Uhlenbrock, Birgit - 2009
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...
Persistent link: https://www.econbiz.de/10010298784
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Multi-Horizon Equity Returns Predictability via Machine Learning
Nechvatalova, Lenka - 2021
We examine the predictability of expected stock returns across horizons using machine learning. We use neural networks, and gradient boosted regression trees on the U.S. and international equity datasets. We find that predictability of returns using neural networks models decreases with longer...
Persistent link: https://www.econbiz.de/10012695520
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne C.; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855710
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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Multi-horizon equity returns predictability via machine learning
Nechvatalova, Lenka - 2021
We examine the predictability of expected stock returns across horizons using machine learning. We use neural networks, and gradient boosted regression trees on the U.S. and international equity datasets. We find that predictability of returns using neural networks models decreases with longer...
Persistent link: https://www.econbiz.de/10012426271
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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.; von Arx, Urs; Schrimpf, Andreas; … - 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/10011753205
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Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Bretschger, Lucas; Lechthaler, Filippo - 2012
momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …
Persistent link: https://www.econbiz.de/10011753224