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Momentum, the Disposition Effect and Beta
O'Brien, John - 2018
The existence of a premium to momentum portfolios, formed by buying recent winners and selling recent losers is widely accepted, although the source of the returns remains controversial. It remains a focus of behavioural finance. We focus on one set of explanations, based on prospect theory,...
Persistent link: https://www.econbiz.de/10012927420
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Investor Betas
Lewis, Ryan; Santosh, Shrihari - 2021
Investors’ return on their portfolios, as proxied by the market, is a theoretically appealing but empirically unsuccessful asset pricing factor. In practice, many institutional investors choose to deviate substantially from the market portfolio. We propose a simple model in the spirit of...
Persistent link: https://www.econbiz.de/10013249518
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An Arbitrary Benchmark CAPM : One Additional Frontier Portfolio is Sufficient
Ekern, Steinar - 2008
The benchmark CAPM linearly relates the expected returns on an arbitrary asset, an arbitrary benchmark portfolio, and …-perfectly correlated with the frontier portfolio. The benchmark CAPM extends and generalizes previous CAPM formulations, including the zero …
Persistent link: https://www.econbiz.de/10014047121
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Value Investing : Smart Beta vs. Style Indices
Hsu, Jason C. - 2014
The active shares of traditional value style indices are dominated by industry bets. They also capture less than the entire value premium because, weighting constituents on the basis of capitalization, they tend to hold large positions in overpriced stocks and small positions in underpriced...
Persistent link: https://www.econbiz.de/10013049514
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Alpha or beta in the eye of the beholder : what drives hedge fund flows?
Agarwal, Vikas; Green, Tracy Clifton; Ren, Honglin - 2015
Hedge fund flows chase alpha, yet they also follow returns attributable to traditional and exotic risk exposures. Investors appear more cognizant of exotic risks over time, with flows increasing their relative emphasis on returns from exotic betas in recent years. Investors also discriminate...
Persistent link: https://www.econbiz.de/10011308029
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Alpha or Beta in the eye of the beholder : what drives hedge fund flows?
Agarwal, Vikas; Green, Tracy Clifton; Ren, H. - 2017 - [revised]
CAPM alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors …
Persistent link: https://www.econbiz.de/10011615694
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Disentangling anomalies : risk versus mispricing
Birru, Justin; Mohrschladt, Hannes; Young, Trevor - 2020
Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower average returns. Because speculative stocks overlap with stocks deemed risky by rational models, failing to control for exposure to systematic mispricing can bias tests of...
Persistent link: https://www.econbiz.de/10012388392
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Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
Buffa, Andrea M - 2018
benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …
Persistent link: https://www.econbiz.de/10012910534
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Smart Beta, 'Smarter' Flows
Cao, Jie - 2020
Using U.S. and global data, we examine the impact of Smart Beta ETFs on active mutual funds. As Smart Beta ETFs become widely available and actively traded, active mutual fund flows become “smarter”, that is they become more sensitive to multi-factor alphas. Our findings demonstrate how...
Persistent link: https://www.econbiz.de/10012854333
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Want Smart Beta? Follow the Smart Money : Market and Factor Timing Using Relative Sentiment
Micaletti, Raymond - 2019
We present a real-time, cross-asset, positions-based relative sentiment indicator to predict the U.S. equity market. Derived from the Commitments of Traders report, the indicator measures — in a novel way — the aggregate positioning in equities of institutional investors relative to...
Persistent link: https://www.econbiz.de/10012899545