Similar Search Results

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Systematic consumption risk in currency returns

Hoffmann, Mathias; Suter, Rahel - 2013

We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...

Persistent link: https://www.econbiz.de/10009752999

Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM

Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011

. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …

Persistent link: https://www.econbiz.de/10009009611

Common risk factors in equity markets

Atanasov, Victoria - 2014 - This version: May 26, 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...

Persistent link: https://www.econbiz.de/10010362976

Test of the Fama-French three-factor model in Crotia

Dolinar, Denis - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 101-112

comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average …

Persistent link: https://www.econbiz.de/10009787020

Commonality in liquidity and real estate securities

Hoesli, Martin; Kadilli, Anjeza; Reka, Kustrim - 2014

We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with...

Persistent link: https://www.econbiz.de/10010412872

Private Capital : Expected Return and Risk, Asset Allocation

Verbiest, Eddy H. - 2022

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...

Persistent link: https://www.econbiz.de/10014238291

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 outperform their benchmark. We find that our one size fits all approach delivers significant out-of-sample outperformance while meeting the ex- ante risk requirements, nearly doubling...

Persistent link: https://www.econbiz.de/10013403631

Is There An Equity Duration Premium?

Walter, Dominik; Weber, Rüdiger - 2022

Equity duration is a measure of discount-rate sensitivity that is driven by both, stock-specific cash-flow timing and stock-specific discount-rate levels. Established measures of equity duration using market-price information derive their predictive power for returns from using market-implied...

Persistent link: https://www.econbiz.de/10013404700

Home Bias and Expected Returns : A Structural Approach

Wallmeier, Martin; Iseli, Christoph - 2022

We study the effect of the home bias on international asset pricing by extending the core-satellite approach of active … evidence suggests that the premium is almost negligible even though the home bias is substantial. This result is mainly driven … by the generally high correlation of index returns and the distribution of the relative level of the home bias across …

Persistent link: https://www.econbiz.de/10013405489