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Risk factor exposure variation and mutual fund performance
Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2018
fund's forced trading through investor flows. We conclude that fund managers voluntarily attempt to time risk factors, but …
Persistent link: https://www.econbiz.de/10011906504
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Size, value effects and the explanatory power of pricing models : evidence from BSE listed Indian industries
Sharma, Bhumiswor; Srikanth P; Suresha B. - In: Scientific papers of the University of Pardubice 30 (2022) 2, pp. 1-17
-known pricing models - CAPM, three-and five-factor across and within 15 Indian industries. The study considers all firms listed on …, including time-series, GRS statistic, and cross-sectional models within and across industries' portfolios. Results indicated …
Persistent link: https://www.econbiz.de/10014440925
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Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...
Persistent link: https://www.econbiz.de/10009714536
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Lazy Momentum with Growth-Trend timing : Resilient Asset Allocation (RAA)
Keller, Wouter J. - 2021
the same time nearly as “lazy” with respect to trading and turnover (on average one trading month per year) …
Persistent link: https://www.econbiz.de/10013242285
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Timing Excess Returns : A Cross-Universe Approach to Alpha
Martin, Fabio; Rohloff, Marc; Vogt, Alexander - 2022
This paper presents a model that uses time series momentum in order to construct strategies that systematically …
Persistent link: https://www.econbiz.de/10013403631
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The Cross-Section of Equity Returns and Assets’ Fundamental Cash-Flow Risk
Galsband, Victoria - 2011
The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets' discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that...
Persistent link: https://www.econbiz.de/10013132049
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Do Mutual Funds Perform When it Matters Most to Investors? U.S. Mutual Fund Performance and Risk in Recessions and Expansions
Kosowski, Robert L. - 2011
This paper shows that the stylized fact of average mutual fund underperformance documented in the literature stems from expansion periods when funds have statistically significant negative risk-adjusted performance and not recession periods when risk-adjusted fund performance is positive. These...
Persistent link: https://www.econbiz.de/10013121165
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Frequency-dependent higher moment risks
Baruník, Jozef; Kurka, Josef - 2021
short-run phenomenon. A conditional pricing model capturing the time-variation of moments confirms downward-sloping term …
Persistent link: https://www.econbiz.de/10012496742
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Boundaries of Time Series Momentum - Equity Returns Over the Business Cycle
Suominen, Matti - 2021
equity market returns. My main finding is that equity market time-series momentum works well in the middle valuation regimes … sense, the historical extremes of the valuation ratios and the term spread define boundaries for time-series momentum. To …, increases the R2 in a predictive regression of equity market returns by up to 90% and the R2 in a predictive regression of time …
Persistent link: https://www.econbiz.de/10013245419
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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - 2013
time-varying conditional variances and covariances among the model disturbances. We derive exact bounds on the null … increases along both the time and cross-sectional dimensions. …
Persistent link: https://www.econbiz.de/10009746573