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Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation
Rachwalski, Mark - 2020
Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced idiosyncratic risk and temporary underreaction to idiosyncratic...
Persistent link: https://www.econbiz.de/10012857267
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Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better?
Jiang, Xiaoquan - 2010
We investigate the prediction of excess returns and fundamentals by financial ratios – dividend-price ratio, earnings-price ratio, and book-to-market ratio – by decomposing financial ratios into a cyclical component and a stochastic trend component. We find both components predict excess...
Persistent link: https://www.econbiz.de/10013149104
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Portfolio Return Prediction and Risk Price Heterogeneity
Taylor, Nicholas - 2023
A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...
Persistent link: https://www.econbiz.de/10014350699
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …
Persistent link: https://www.econbiz.de/10010307494
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011
Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …
Persistent link: https://www.econbiz.de/10009372405
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Does a search attention index explain portfolio returns in India?
Dharani, M.; Hassan, M. Kabir; Abedin, Mohammad Zoynul; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239
return of stocks as well as the market, size, value, and momentum factors. …
Persistent link: https://www.econbiz.de/10013183936
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Performance Evaluation of Chinese Actively Managed Stock Mutual Funds
Chi, Yeguang - 2013
The aggregate portfolio of Chinese actively managed stock mutual funds exhibits a large and significantly positive alpha. Results from bootstrap simulations indicate that most Chinese active stock mutual fund managers have skill. A substantial amount of their outperformance can be attributed to...
Persistent link: https://www.econbiz.de/10013081605
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Optimal Carry and Momentum Returns in Futures Markets : A Compensation for Capital Constrained Hedge Funds?
Ahmerkamp, Jan Danilo - 2013
and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from … his expected utility against the predictive strength of the carry and momentum signal. We parameterize the portfolio … carry and momentum strategies yield high Sharpe ratios (above 1.2) which are not a compensation for traditional risk …
Persistent link: https://www.econbiz.de/10013085038
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Performance of International and Global Equity Mutual Funds : Do Country Momentum and Sector Momentum Matter?
Breloer, Bernhard - 2014
This is the first paper analyzing the impact of index momentum factors on the performance of international and global … factors of country momentum and sector momentum, we find that more than 50% of funds exhibit significant exposure to at least … funds. Our main results are robust against models which additionally cover a stock-based momentum factor as well as single …
Persistent link: https://www.econbiz.de/10013067838