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portfolio risk. When global-minimum-variance portfolios (GMVPs) are constructed out of the 500 largest US stocks for the 30-year …
Persistent link: https://www.econbiz.de/10013088568
Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known...
Persistent link: https://www.econbiz.de/10013061242
Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been … technique, founded on the premise of physiological bias and risk-aversion. We take a behavioral discussion in order to … negative betas to the S&P 500, while exhibiting similar risk-adjusted excess returns over both bull and bear markets. Further …
Persistent link: https://www.econbiz.de/10011408803
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …
Persistent link: https://www.econbiz.de/10011751173
the risk-return characteristics of the resulting portfolios and their sensitivities to common risk factors. The weighting … of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can even become …
Persistent link: https://www.econbiz.de/10011648480
effect these assets may have on their risk profiles. This study aims to (1) measure the effect of cryptocurrencies on the … risk and return characteristics of publicly traded companies; (2) decipher the motives behind holding cryptocurrencies as … disclosures are documented. The importance of risk disclosures on cryptocurrency holdings is emphasized: Firms must better inform …
Persistent link: https://www.econbiz.de/10014318194
risk and style exposures. The turnover of a traditional active strategy causes capital gain realizations on both the active …
Persistent link: https://www.econbiz.de/10012852299
We propose a proxy for a climate risk factor, the pollutive-minus-clean (PMC) portfolio, which captures differences in … obtain estimates of asset-level climate risk exposure: 'carbon beta'. Validation of carbon betas confirms that variation in … climate risk exposures aligns with our prior expectations. Our measure has desirable properties regarding availability …
Persistent link: https://www.econbiz.de/10013313928
Persistent link: https://www.econbiz.de/10002421634
meaningfulness of traditional tests of the CAPM, and (3) suggests that the low-risk anomaly (Black et al. (1972)) reflects a reversal … interpretation of the systematic risk-return relation and the notion of risk-adjusted returns in the finance literature …
Persistent link: https://www.econbiz.de/10012969122