Showing 121 - 128 of 128
Persistent link: https://www.econbiz.de/10013171033
High-beta stocks seem to be an asset pricing mystery involving puzzles that have been intensively discussed in the most recent finance literature (Christoffersen and Simutin, 2017; Moreira and Muir, 2017). This papers derives novel implications for pricing high-beta stocks in the presence of dynamic...
Persistent link: https://www.econbiz.de/10012941317
This paper investigates the finite sample properties of the widely-used Gibbons, Ross, Shanken (1989) (GRS) test in the presence of both conditional correlation and conditional heteroskedasticity. It finds that the GRS test exhibits serious size distortions resulting in potentially misleading...
Persistent link: https://www.econbiz.de/10012943966
Persistent link: https://www.econbiz.de/10013357252
This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...
Persistent link: https://www.econbiz.de/10014351844
This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...
Persistent link: https://www.econbiz.de/10014305602
Factor momentum produces robust average returns that exhibit a similar economic magnitude as documented for stock price momentum. To the extent that the PEAD factor captures mispricing, winner factors profit from being long on underpriced stocks and short on overpriced stocks. Oppositely, loser...
Persistent link: https://www.econbiz.de/10014098181
Cryptocurrencies employ different consensus protocols to verify transactions. While the Proof-of-Work consensus protocol is the most energy consuming protocol, Proof-of-Stake and Hybrid consensus protocols have been introduced which consume considerably less energy. We employ portfolio analysis...
Persistent link: https://www.econbiz.de/10014105764