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Downside Risk and Long-Horizon Stock Return Reversals

Artavanis, Nikolaos T. - 2013

We argue that long-horizon return reversals [Debondt and Thaler (1985)] reflect a premium for downside risk. Consistent with this, we find that downside betas of past losers are significantly greater than downside betas of past winners, and the inclusion of downside beta in Fama-Macbeth...

Persistent link: https://www.econbiz.de/10013091349

Integrated Alpha Modeling

Gerard, Xavier - 2013

Alpha modelling typically refers to the selection and weighting of various information sources, which when combined are used by active portfolio managers to forecast security returns. It is traditionally seen as an exogenous input in the construction of the investment portfolio. Instead, a...

Persistent link: https://www.econbiz.de/10013091887

Growth Opportunities, Assets in Place, Stocks Migration and CAPM : A Rational Foundation for the Fama-French and Momentum Factors

Faugère, Christophe - 2013

Can the Fama-French (1993) factors and Carhart's (1997) momentum factor be derived from CAPM? Surprisingly, the answer …

Persistent link: https://www.econbiz.de/10013092045

Can We Beat the Market with Beta? An Intuitive Test of the CAPM

Gómez-Bezares, Fernando - 2013

Based on a strict and intuitive methodology, the article proposes an empirical test of the CAPM for the main Spanish … market stocks. The idea is to replicate the behaviour of an investor purchasing undervalued shares according to the CAPM in … consistent with market efficiency and with the CAPM, as the stocks would quickly adapt to their rational value, according to the …

Persistent link: https://www.econbiz.de/10013092098

Portfolio Overlapping Bias in Tests of the Fama and French Three-Factor Model

Wallmeier, Martin - 2014

In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB) and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test...

Persistent link: https://www.econbiz.de/10013065157

Short Selling, Regulatory Flip/Flops and Uncertainty : Implications for Asset Pricing and Asset Allocation

Batur, Onay - 2014

After seventy years with no changes to short sale regulation, the United States Securities and Exchange Commission intervened three times with regulatory action from July 2007 through October 2008. The Commission first loosened restrictions on short sales by repealing the “Uptick Rule” in...

Persistent link: https://www.econbiz.de/10013065451

Portfolio Choice with Illiquid Assets

Ang, Andrew - 2014

We present a model of optimal allocation to liquid and illiquid assets, where illiquidity risk results from the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity risk leads to increased and state-dependent risk aversion, and reduces the allocation to...

Persistent link: https://www.econbiz.de/10013068175

Efficient Portfolio Valuation Incorporating Liquidity Risk

Tian, Yu - 2014

According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public …-Scandolo theory, portfolio valuation can be framed as a convex optimization problem. We provide useful MSDC models and show that …

Persistent link: https://www.econbiz.de/10013068715

Portfolio Choice with Illiquid Assets

Ang, Andrew - 2014

Persistent link: https://www.econbiz.de/10013069102

Non-Dividend Paying Stocks and the Negative Value Premium

Blazenko, George - 2014

The value premium is the empirical observation that low market/book “value” stocks have higher returns than high market/book “growth” stocks. In this paper, we show that the profitability determined relation between risk and return is distinct for non-dividend paying businesses. High...

Persistent link: https://www.econbiz.de/10013069464