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Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

Persistent link: https://www.econbiz.de/10011990919

CAPM, Components of Beta and the Cross Section of Expected Returns

Cenesizoglu, Tolga - 2019

This paper demonstrates that a conditional version of the Capital Asset Pricing Model (CAPM) explains the cross section …

Persistent link: https://www.econbiz.de/10012905563

Do Consumption-Based Asset Pricing Models Explain Own-History Predictability in Stock Market Returns?

Ashby, Michael - 2020

We show that three prominent consumption-based asset pricing models - the Bansal-Yaron, Campbell-Cochrane and Cecchetti-Lam-Mark models - cannot explain the own-history predictability properties of stock market returns. We show this by estimating these models with GMM, deriving ex-ante expected...

Persistent link: https://www.econbiz.de/10012852359

The memory of beta factors

Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019

Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...

Persistent link: https://www.econbiz.de/10012105362

Estimating the volatility of asset pricing factors

Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018

Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...

Persistent link: https://www.econbiz.de/10011860248

Can Deep Neural Networks Outperform Fama-MacBeth Regression and Other Supervised Learning Approaches in Stock Returns Prediction With Asset-Pricing Factors?

Teng, Huei-Wen; Li, Yu-Hsien - 2022

In asset pricing, most studies focus on finding new factors such as macroeconomic factors or firm characteristics to explain risk premium. Investigating whether these factors are useful in forecasting stock returns remains active research in the field of finance and computer science. This paper...

Persistent link: https://www.econbiz.de/10014235825

Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?

Teng, Huei-Wen; Li, Yu-Hsien - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 149-182

Persistent link: https://www.econbiz.de/10014251571

Diverging roads: theory-based vs. machine learning-implied stock risk premia

Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020

We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the quality of their return forecasts. In the low signal-to-noise environment of a one month horizon, we find that it is preferable to rely on a theory-based approach instead of engaging...

Persistent link: https://www.econbiz.de/10012163064

Time-Varying Predictive Power of the Dividend Yield for Stock Returns : Evaluation Based on Bootstrapping

Kim, Jae H. - 2017

This paper evaluates the predictive ability of dividend yield for stock return using a new bootstrap test for the … bootstrap is conducted with resampling based on generalized least-squares estimation. Our Monte Carlo study shows that the … bootstrap test has no size distortion in small samples with highly satisfactory power properties. We employ a range of bivariate …

Persistent link: https://www.econbiz.de/10012972428

A note on the impact of portfolio overlapping in tests of the Fama and French three-factor model

Wallmeier, Martin; Tauscher, Kathrin - 2012 - First draft, Oct. 2012

In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test...

Persistent link: https://www.econbiz.de/10009664476