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Commodity futures return predictability and intertemporal asset pricing

Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020

We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....

Persistent link: https://www.econbiz.de/10012418356

Risk-Adjusting the Returns of Private Equity Using the CAPM and Multi-Factor Extensions

Buchner, Axel - 2015

equity investments using the standard CAPM and multi-factor extensions. Using a comprehensive sample of 7,732 fully realized … venture capital investments, the paper estimates PMEs using the standard CAPM, the Fama-French three-factor model, and a four …

Persistent link: https://www.econbiz.de/10013013625

Understanding the Performance of Components in Betting Against Beta

Han, Xing - 2019

Betting against beta (BAB) can be seen as the combination of three investable component portfolios: Two cross-sectional components exploiting the beta anomaly attributable to stock selection and rank weighting scheme, and one time-series component with a dynamic net-long position due to...

Persistent link: https://www.econbiz.de/10012897375

Equilibrium-Based Volatility Models of the Market Portfolio Rate of Return (Peacock Tails or Stotting Gazelles)

Feldman, David - 2015

Volatility models of the market portfolio's return are central to financial risk management. Within an equilibrium framework, we introduce an implementation method and study two families of such models. One is deterministic volatility, represented by current popular models. Another is in the...

Persistent link: https://www.econbiz.de/10013036566

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

Risk and Return of Short-Duration Equity Investments

Cejnek, Georg - 2017

We analyze short-duration equity investments using traded claims on index dividends. We show that investment strategies with constant short maturity outperform a systematic long position in the underlying equity index on a risk-adjusted basis and in absolute terms. Furthermore, we find higher...

Persistent link: https://www.econbiz.de/10012973632

Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy

Ardia, David - 2018

Implied expected returns are the expected returns for which a supposedly mean-variance efficient portfolio is effectively efficient given a covariance matrix. We analyze the statistical properties of monthly implied expected return estimates and study their sensitivity to the choice of a...

Persistent link: https://www.econbiz.de/10012938567

Tangent Portfolio Weights without Explicitly Specified Expected Returns

Glabadanidis, Paskalis - 2017

In this article, I propose an extension of the Treynor-Black model to a case where the investor is not fully invested in the stock market at the outset and there is no need to explicitly specify securities' expected returns. I derive explicit tangent portfolio weights based on a factor model of...

Persistent link: https://www.econbiz.de/10012949937

Maximizing Excess Return per Unit Variance : A Novel Investment Management Objective

Glabadanidis, Paskalis - 2017

I propose a novel investment objective for portfolios fully invested in risky assets only. The new objective is based on achieving the highest possible excess return per unit of variance. The optimal portfolio is a linear combination of the tangent portfolio and the minimum variance portfolio...

Persistent link: https://www.econbiz.de/10012949952

Equity Duration and Predictability

Golez, Benjamin - 2020

One of the most puzzling findings in asset pricing is that expected returns dominate variation in the dividend-to-price ratio, leaving little room for dividend growth rates. Even more puzzling is that this dominance only emerged after 1945. We develop a present value model to argue that a...

Persistent link: https://www.econbiz.de/10012844161