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Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

Persistent link: https://www.econbiz.de/10012959777

Historical Returns of the Market Portfolio

Doeswijk, Ronald Q. - 2019

This study documents annual returns of the invested global multi-asset market portfolio, using a newly constructed unique dataset which basically covers the whole invested market. We analyze returns as well as risk over the period from 1960 to 2017. The market realizes a compounded real return...

Persistent link: https://www.econbiz.de/10012901799

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

Persistent link: https://www.econbiz.de/10012910534

The Conditional Capital Asset Pricing Model Revisited : Evidence from High-Frequency Betas

Hollstein, Fabian - 2019

When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …

Persistent link: https://www.econbiz.de/10012892813

Betting Against Betting Against Beta

Novy-Marx, Robert - 2019

-standard beta estimation procedure drive results presented as evidence supporting its underlying theory …

Persistent link: https://www.econbiz.de/10012896825

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

Probability Weighting and Default Risk : A Possible Explanation for Distressed Stock Puzzles

Yamazaki, Akira - 2019

This paper suggests incorporating investor probability weighting and the default risk of individual firms into a consumption-based asset pricing model. The extended model provides a unified solution for several anomalous patterns observed on financial markets. The analysis addresses not only...

Persistent link: https://www.econbiz.de/10012900110

A Macroeconomic Hedge Portfolios and the Cross-Section of Stock Returns

Renz, Maximilian - 2018

This paper proposes a zero-investment portfolio that can be used to hedge against unexpected changes in the state of the economy. The so-called “macroeconomic hedge portfolio” (MHP) is formed based on a stock's hedging ability, which we derive from a stock's price reaction to important...

Persistent link: https://www.econbiz.de/10012936099

Diffusing Explosive Portfolio Performance Evaluation of High Frequency Traders

Charles-Cadogan, G. - 2018

Several analysts report explosive annualized Sharpe Ratios (ASRs) for investment portfolio performance evaluation of high frequency traders (HFTers) ranging from 4.3 to 5,000. This suggests that the profitability of HFT is much higher than that of other actively managed portfolios. In highly...

Persistent link: https://www.econbiz.de/10012937216