Similar Search Results

Forecasting Long-Horizon Factor Volatility

Zeissler, Tom Oskar Karl - 2022

This paper investigates forecasts of long-term volatility for the fast-growing field of long-short factor strategies in an extensive in- and out-of-sample framework. More in detail, the study follows previous authors by empirically comparing various forecast configurations to provide guidance to...

Persistent link: https://www.econbiz.de/10013289776

Long-Horizon Investing in a Non-CAPM World

Polk, Christopher; Vayanos, Dimitri; Woolley, Paul - 2022

We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital moves slowly from under- to over-performing market segments. Over short horizons, momentum's Sharpe ratio exceeds value's, the value-momentum correlation is negative, and...

Persistent link: https://www.econbiz.de/10013290186

Financial Stress and Forecasting UK Equity Risk Premiums

Berry, William; Dietrich, Diemo; Sollis, Robert - 2022

We study the predictability of equity risk premiums for UK equity indexes, in particular whether stylized facts found for the US stock market also apply to the UK market. We compare the performance of economic and technical indicators with a particular focus on the time-varying nature of...

Persistent link: https://www.econbiz.de/10013291975

Option characteristics as cross-sectional predictors

Neuhierl, Andreas; Tang, Xiaoxiao; Varneskov, Rasmus … - 2022

We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that certain option measures have significant...

Persistent link: https://www.econbiz.de/10013279457

Resilience and Asset Pricing in COVID-19 Disaster

Daadmehr, Elham - 2022

This paper develops a rare disaster asset pricing model with EZ preferences, in particular including the impact of macroeconomic consequences of the COVID-19 disaster. I estimate the probability of disaster, disaster states, and the duration of disaster to shed light on the frequency and size of...

Persistent link: https://www.econbiz.de/10014235623

Spillover Effects of Payouts on Asset Prices and Real Investment

Schmickler, Simon; Tremacoldi-Rossi, Pedro - 2022

This paper uses the reinvestment of corporate payouts by financial institutions as a nonfundamental shock to asset prices to estimate the slope of the demand curve for stocks and the real effects of stock returns on corporate financing and investment. Exploiting the separation of announcement...

Persistent link: https://www.econbiz.de/10014235644

Technical Analysis as a Sentiment Barometer and the Cross-Section of Stock Returns

Ding, Wenjie; Mazouz, Khelifa; Gwilym, Owain Ap; Wang, … - 2022

This paper explores an unexamined sentiment channel through which technical analysis can add value. We use a spectrum of technical trading strategies to build a daily market sentiment indicator that is highly correlated with other commonly used sentiment measures. This technical-analysis-based...

Persistent link: https://www.econbiz.de/10014235811

Extending the Demand System Approach to Asset Pricing

Gehrig, Thomas; Sögner, Leopold; Westerkamp, Arne - 2022

We extend the d cifically we analyse constant absolute and constant relative risk aversion, provide conditionsfor the existence of equilibrium, and evaluate equilibrium prices at US-data. We find that constant absolute risk aversion works particularly well at moderate levels of risk aversion. In...

Persistent link: https://www.econbiz.de/10014235881

Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes : Is There an Optimum?

Agrrawal, Pankaj; Gilbert, Faye; Harkins, J - 2022

The traditional CAPM beta is almost exclusively calculated over a return period that spans a window length of 60-months …. We identify that daily CAPM betas are best for predicting subsequent period daily returns and that weekly CAPM betas are … interval-based CAPM betas should be calculated for estimating the systematic risk embedded in diversified portfolios …

Persistent link: https://www.econbiz.de/10014235953

Machine Learning and The Cross-Section of Emerging Market Stock Returns

Hanauer, Matthias X.; Kalsbach, Tobias - 2022

This paper compares various machine learning models to predict the cross-section of emerging market stock returns. We document that allowing for non-linearities and interactions leads to economically and statistically superior out-of-sample returns compared to traditional linear models. Although...

Persistent link: https://www.econbiz.de/10014236025