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Di Mascio, Rick - 2017

Using a novel sample of professional asset managers, we document positive incremental alpha on newly purchased stocks that decays over twelve months. While managers are successful forecasters at these short-to-medium horizons, their average holding period is substantially longer (2.2 years)....

Persistent link: https://www.econbiz.de/10012971999

Multifactor Asset Pricing Model Incorporating Coskewness and Cokurtosis : The Evidence from Asian Mutual Funds

Naktnasukanjn, Nathee - 2015

coskewness and cokurtosis risk factors in both CAPM and four-factor model, show some increment in the explanatory power of the …

Persistent link: https://www.econbiz.de/10013020402

Investing in Systematic Factor Premiums

Koedijk, Kees C. G. - 2015

Persistent link: https://www.econbiz.de/10013034817

CAPM with various utility functions : theoretical developments and application to international data

Bedoui, Rihab; BenMabrouk, Houda - In: Cogent economics & finance 5 (2017) 1, pp. 1-21

This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions … are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the … investor preferences and attitudes toward risk. We particularly develop CAPM betas for different classes of utility function …

Persistent link: https://www.econbiz.de/10011882295

A neglected semi-stylized fact of daily stock returns

Davies, Patrick Laurie; Krämer, Walter - 2016

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...

Persistent link: https://www.econbiz.de/10011444114

Leveraged Speculators and Asset Prices

Jiang, Wenxi - 2019

I test the hypothesis that the use of leverage by market speculators can amplify economic shocks in stock markets. Using a direct leverage measure derived from U.S. public filings, I find that upon extremely negative earnings surprises, stocks held by highly leveraged hedge funds exhibit...

Persistent link: https://www.econbiz.de/10012904626

Intraday Market Timing of Liquidity Trading and its Implication for Asset Pricing

Xu, Haoyu - 2022

I investigate liquidity traders market timing behavior across regular trading hours. Both morning and afternoon stock markets have large volume, but the afternoon has much lower bid-ask spreads, incentivizing discretionary liquidity traders to concentrate on the afternoon. Consistent with the...

Persistent link: https://www.econbiz.de/10013405733

Foreign exchange dealer asset pricing

Reitz, Stefan; Umlandt, Dennis - 2019

We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of...

Persistent link: https://www.econbiz.de/10012109710

An agent-based model of financial market efficiency dynamics

El Oubani, Ahmed; Lekhal, Mostafa - In: Borsa Istanbul Review 22 (2022) 4, pp. 699-710

We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching behavior, and investor feedback on past realized returns,...

Persistent link: https://www.econbiz.de/10013334820

On equilibrium prices in continuous time

Martins-da-Rocha, Victor Filipe (contributor); … - 2008

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices. -- General equilibrium ; Continuous-time finance ; Théorie générale of stochastic processes ; Asset pricing ; State prices

Persistent link: https://www.econbiz.de/10003729456