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Consumption-Based Equity Valuation
Bach, Christian - 2016
Using a CCAPM-based risk-adjustment model, we perform yearly valuations of a large sample of stocks listed on NYSE … investment strategies based on the differences between model and market prices. The CCAPM-based valuation model yields a MAVE of … strategies with subsequent excess returns. The CCAPM-based valuation model yields time-series of realized hedge returns with more …
Persistent link: https://www.econbiz.de/10013003022
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A flexible regime switching model for asset returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - 2019
A non-Gaussian multivariate regime switching dynamic correlation model for fi nancial asset returns is proposed. It incorporates the multivariate generalized hyperbolic law for the conditional distribution of returns. All model parameters are estimated consistently using a new two-stage...
Persistent link: https://www.econbiz.de/10012051878
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10010322626
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10003821063
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The Factor-Spline-GARCH Model for High and Low Frequency Correlations
Rangel, Jose Gonzalo; Engle, Robert F. - Banco de México - 2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10004974501
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A look at the actual cost of capital of US firms
Moore, David J. - In: Cogent economics & finance 4 (2016) 1, pp. 1-15
The capital asset pricing model (CAPM) receives both criticism and widespread adoption by practitioners and academics … to address CAPM criticisms and provide new perspective on WACC estimates. The firm-based measure focuses on firm …-based WACC measures, along with the traditional CAPM-based WACC measure, to a broad sector-based cross section from 1972 to 2015 …
Persistent link: https://www.econbiz.de/10011597398
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Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios
Flint, Emlyn James - 2017
It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...
Persistent link: https://www.econbiz.de/10012952837
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Factor Investing in South Africa
Flint, Emlyn James - 2016
Risk factors and systematic factor strategies are fast becoming an integral part of the global asset management landscape. In this report, we provide an introduction to, and critique of, the factor investing paradigm in a South African setting. We initially discuss the general factor...
Persistent link: https://www.econbiz.de/10012979891
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Dynamic Portfolio Management Strategies : A Framework for Historical Analysis
Seymour, Anthony - 2018
The performance of dynamic trading and investment strategies can be difficult to predict. Although not without its problems, analysis of the historical performance of a strategy can provide valuable insight into its general risk and return properties. Furthermore, historical analysis allows one...
Persistent link: https://www.econbiz.de/10012914668
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Factor Information Decay : A Global Study
Flint, Emlyn; Vermaak, Rademeyer - 2022
This research addresses a simple but important unanswered question in the factor investing literature: how do the factor exposures of equity factor strategies decay over time? The answer to this question has two important practical consequences. Firstly, understanding how a strategy’s factor...
Persistent link: https://www.econbiz.de/10013305814