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Becker, Janis - 2020

Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...

Persistent link: https://www.econbiz.de/10012846618

Granular Betas and Risk Premium Functions

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - 2022

traditional (non-granular) CAPM, the Fama-French three and five-factor models, and the Fama-French-Carhart model in favor of the …

Persistent link: https://www.econbiz.de/10014236462

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

Unemployment Beta and the Cross-Section of Stock Returns : Evidence From Australia

Huynh, Nhan - 2022

This study provides evidence of the significant impacts of unemployment indicators, including the projected unemployment rate and actual unemployment gap, on the cross-sectional stock returns in the Australian market. Utilising the extensive dataset of all listed stocks and unemployment data...

Persistent link: https://www.econbiz.de/10013406088

Absolute Delta Beta and Cross-Sectional Stock Returns

Xie, Jun; Zhang, Baohua; Gao, Bin; Tan, Chunzhi - 2022

This paper explores the predictive power of the absolute delta beta (ADB) on future cross-sectional stock returns. By univariate portfolio analysis, bivariate portfolio analysis, and decomposition of predictive power, we find that the ADB can produce an excess return in the next month. The...

Persistent link: https://www.econbiz.de/10013406522

Stock profiling using time-frequency-varying systematic risk measure

Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … different asset allocation. We conclude that the standard CAPM assumes short-run investment. Then, investors should consider … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. …

Persistent link: https://www.econbiz.de/10014289044

Climate Sensitivity and Mutual Fund Performance

Ho, Thang - 2021 - This version: October 2021

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market-wide climate change news index and find that high...

Persistent link: https://www.econbiz.de/10013229876

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

Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

Persistent link: https://www.econbiz.de/10011539896

Disaster Resilience and Asset Prices

Pagano, Marco - 2020

This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the...

Persistent link: https://www.econbiz.de/10012833771