Showing 61 - 70 of 108,093
We analyze the cross-sectional differences in the tail risk of equity returns and identify the drivers of tail risk. We provide two statistical procedures to test the hypothesis of cross-sectional downside tail shape homogeneity. An empirical study of 230 US non-financial firms shows that...
Persistent link: https://www.econbiz.de/10011109466
coskewness or positive cokurtosis should yield higher premia relative to counterpart firms with positive coskewness and negative … the London Stock Exchange during the period 1986–2008. Our empirical results confirm that coskewness and cokurtosis premia … over the cross-section of coskewness and cokurtosis portfolio returns. …
Persistent link: https://www.econbiz.de/10010577956
This paper explains financial contagion between two stock markets with uncorrelated fundamentals by fluctuations in international investors’ attention allocation. We model the process of attention allocation that underlies portfolio investment in international markets using investors who face...
Persistent link: https://www.econbiz.de/10009652491
This study develops an agent-based computational stock market model in which each trader's buying and selling decisions are endogenously determined by multiple factors: namely, firm profitability, past stock price movement, and imitation of other traders. Each trader can switch from being a...
Persistent link: https://www.econbiz.de/10011988815
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/10012030917
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
This study develops an agent-based computational stock market model in which each trader’s buying and selling decisions are endogenously determined by multiple factors: namely, firm profitability, past stock price movement, and imitation of other traders. Each trader can switch from being a...
Persistent link: https://www.econbiz.de/10011887519
By examining the correlation between the size, value and momentum empirical regularities and macroeconomic variables we investigate whether these regularities may be explained as risk factors within Merton's (1973) ICAPM. We examine the commodity-based Australian economy where financial asset...
Persistent link: https://www.econbiz.de/10010608152
Our understanding of the long-term return behavior and portfolio characteristics of public infrastructure investments is limited by a relatively short history of empirical data. We re-construct U.S. listed infrastructure index returns by mapping their monthly performance to received systematic...
Persistent link: https://www.econbiz.de/10010753674
We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as time varying. In addition to allowing time-varying...
Persistent link: https://www.econbiz.de/10014305738