Showing 81 - 90 of 193
This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset. Our results suggest that the LINEX loss...
Persistent link: https://www.econbiz.de/10009145691
Persistent link: https://www.econbiz.de/10010641867
We investigate the dynamics of the value anomaly in order to identify the driving forces of the anomaly. We show that the large positive value-minus-growth portfolio returns are explained by an over-reaction (under-reaction) to the positive (negative) market movements in short, specific time...
Persistent link: https://www.econbiz.de/10010666275
This paper applies Bayesian variable selection methods from the statistics literature to give guidance in the decision to include/omit factors in a global (linear factor) stock return model. Once one has accounted for country and sector, it is possible to see which style or styles best explains...
Persistent link: https://www.econbiz.de/10005328742
The low level of volatility observed in appraisal-based commercial property indices relative to other asset classes has been frequently noted and extensively commented on in the real estate finance literature. However, the volatility of such commercial property indices is only one source of...
Persistent link: https://www.econbiz.de/10005217365
Persistent link: https://www.econbiz.de/10001447124
Persistent link: https://www.econbiz.de/10001467848
Persistent link: https://www.econbiz.de/10001563801
Persistent link: https://www.econbiz.de/10001771118
We examine a simple measure of portfolio performance based on prospect theory, which captures not only risk and return but also reflects differential aversion to upside and downside risk. The measure we propose is a ratio of gains to losses, with the gains and losses weighted (if desired) to...
Persistent link: https://www.econbiz.de/10005114253