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The Inverted Parabola World of Classical Quantitative Finance : Non-Equilibrium and Non-Perturbative Finance Perspective

Halperin, Igor - 2020

Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...

Persistent link: https://www.econbiz.de/10012826182

Replication in Financial Economics

Harvey, Campbell R. - 2019

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

Persistent link: https://www.econbiz.de/10012867841

Shared Analyst Coverage : Unifying Momentum Spillover Effects (Internet Appendix)

Ali, Usman - 2019

connections by shared analyst coverage, we find that a connected-firm (CF) momentum factor generates a monthly alpha of 1.68% (t … multi-segment, and technology momentum factors are insignificant/negative after controlling for CF momentum. Similar results … attention, these results indicate that momentum spillover effects are a unified phenomenon that is captured by shared analyst …

Persistent link: https://www.econbiz.de/10012869562

Shared Analyst Coverage : Unifying Momentum Spillover Effects

Ali, Usman - 2019

Persistent link: https://www.econbiz.de/10012901408

An improved method to predict assignment of stocks into Russell indexes

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2019

A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We...

Persistent link: https://www.econbiz.de/10012134428

Wealth selection in a financial market with heterogeneous agents

Anufriev, Mikhail (contributor); Dindo, Pietro (contributor) - 2007

We study the co-evolution of asset prices and individual wealth in a financial market populated by an arbitrary number of heterogeneous, boundedly rational agents. Using wealth dynamics as a selection device we are able to characterize the long run market outcomes, i.e. asset returns and wealth...

Persistent link: https://www.econbiz.de/10003746066

Market selection of constant proportions investment strategies in continuous time

Palczewski, Jan; Schenk-Hoppé, Klaus Reiner - 2008

This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a financial market. Asset prices are endogenously determined by market clearing. We derive results on the asymptotic dynamics of the wealth distribution and asset prices for...

Persistent link: https://www.econbiz.de/10003966074

Reaching for Yield in Decentralized Financial Markets

Augustin, Patrick; Chen-Zhang, Roy; Shin, Donghwa - 2022

Among the ecosystem of decentralized financial services, yield farming is a complex investment strategy with hidden downside risks providing opportunities for passively earning income. We characterize the risk and return characteristics of yield farming and show that yield farms dynamically...

Persistent link: https://www.econbiz.de/10014244917

Where Experience Matters : Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Buss, Adrian - 2015

Alternative assets, such as private equity, hedge funds, and real assets, are illiquid and opaque, and thus pose a challenge to traditional models of asset allocation. In this paper, we study asset allocation and asset pricing in a general-equilibrium model with liquid assets and an alternative...

Persistent link: https://www.econbiz.de/10013031476

Market Timing with Moving Averages

Glabadanidis, Paskalis - 2012

market size, book-to-market cash-flow-to-price, earnings-to-price, dividend-price, short-term reversal, medium-term momentum …

Persistent link: https://www.econbiz.de/10013102211