Similar Search Results

A two-period model with portfolio choice : understanding results from different solution methods

Rabitsch, Katrin; Stepanchuk, Serhiy - In: Economics letters 124 (2014) 2, pp. 239-242

Persistent link: https://www.econbiz.de/10010493653

Asset return predictability in a heterogeneous agent equilibrium model

Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - 2015

Persistent link: https://www.econbiz.de/10010482998

Active portfolio management : the power of the Treynor-Black model

Kane, Alex; Kim, Tae-hwan; White, Halbert - In: Progress in financial markets research, (pp. 311-332). 2012

Persistent link: https://www.econbiz.de/10009678540

Do realized skewness and kurtosis predict the cross-section of equity returns?

Amaya, Diego (contributor) - 2011

Persistent link: https://www.econbiz.de/10009385117

Efficiency gains, bounds, and risk in finance

Sarisoy, Çisil - 2015

Persistent link: https://www.econbiz.de/10011405147

Average skewness matters!

Jondeau, Eric; Zhang, Qunzi - 2015

Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...

Persistent link: https://www.econbiz.de/10011412455

A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection

Wu, Wenbo - 2019

We apply four machine learning methods to cross-sectional return prediction for hedge fund selection. We equip the forecast model with a set of idiosyncratic features, which are derived from historical returns of a hedge fund and capture a variety of fund-specific information. Evaluating the...

Persistent link: https://www.econbiz.de/10012898359

Return Prediction and Stock Selection from Unidentified Historical Data

Sonsino, Doron - 2018

The experimental approach is applied to explore the value of unidentified historical information in stock-return prediction. Return sequences were randomly drawn cross section and time from historical S&P500 data. Subjects were requested to predict returns or select stocks from 12 preceding...

Persistent link: https://www.econbiz.de/10012940698

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

regressions, were performed. There was some support for the explanation of green equity returns by market returns and market risk …-Factor and Fama-French Five-Factor Models. The most significant predictors of green equity returns were Value-at-Risk at a 95 …% confidence level, and Value-at-Risk at a 99% confidence level. Expected Shortfall was another extreme risk value measure. The …

Persistent link: https://www.econbiz.de/10012872607

A cross-sectional machine learning approach for hedge fund return prediction and selection

Wu, Wenbo; Chen, Jiaqi; Yang, Zhibin; Tindall, Michael L. - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4577-4601

Persistent link: https://www.econbiz.de/10012624639