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The size effect in value and momentum factors : implications for the cross-section of international stock returns

Atanasov, Victoria; Nitschka, Thomas - 2013

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...

Persistent link: https://www.econbiz.de/10010224775

The Momentum Effect in Country-Level Stock Market Anomalies

Zaremba, Adam - 2019

The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before....

Persistent link: https://www.econbiz.de/10012904212

Size, value, and momentum in Polish equity returns : local or international factors?

Zaremba, Adam; Konieczka, Przemysław - In: International journal of management and economics 53 (2017) 3, pp. 26-47

This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart … models. The CAPM is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios …

Persistent link: https://www.econbiz.de/10012026674

Capital Share Risk in International Asset Pricing

Müller, Birgit - 2019

We study whether growth in the capital share (KS) of aggregate income (GDP) can explain equity portfolio returns in international stock markets as proposed by Lettau et al. (2019) for the U.S. market. We find that growth in local capital share has positive explanatory power for equity portfolio...

Persistent link: https://www.econbiz.de/10012862523

Nonparametric test for a constant beta over a fixed time interval

Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014

We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...

Persistent link: https://www.econbiz.de/10010253467

Portfolio Choice with Model Misspecification : A Foundation for Alpha and Beta Portfolios

Uppal, Raman - 2016

-pricing theory and asymptotic analysis (for large number of assets) can be used to provide powerful solutions to mitigate … misspecification. The starting point of our analysis is the Arbitrage Pricing Theory (APT). We extend the APT to show that it can …

Persistent link: https://www.econbiz.de/10013002828

Principal portfolios

Kelly, Bryan T.; Malamud, Semyon; Pedersen, Lasse Heje - 2020 - This version: June 8, 2020

We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes...

Persistent link: https://www.econbiz.de/10012271188

Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory : illustrated with Crypto Assets

Deng, Qi; Zhou, Zhong-Guo - 2023

) counterpart in portfolio performance. Collectively, they extend the return/volatility-based Modern Portfolio Theory (MPT) to a … Unified Modern Portfolio Theory (UMPT) with built-in treatments on liquidity risk …

Persistent link: https://www.econbiz.de/10014349884

Long-horizon asset and portfolio returns revisited : evidence from US markets

Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16

-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation … return distribution has the slowest rate of convergence to normality among groups of assets. Estimation errors of the … imprecisions persist over the investment horizons, the estimation errors of the monthly return have a strong effect on the …

Persistent link: https://www.econbiz.de/10014503297

An Analysis on the Predictability of CAPM Beta for Momentum Returns

Cenesizoglu, Tolga - 2016

This paper demonstrates that the forecasted CAPM beta of momentum portfolios explains a large portion of the return …

Persistent link: https://www.econbiz.de/10013005838