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On portfolio optimization : forecasting covariances and choosing the risk model
Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - 1999
Persistent link: https://www.econbiz.de/10001378371
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International asset allocation with time-varying correlations
Ang, Andrew; Bekaert, Geert - 1999
Persistent link: https://www.econbiz.de/10001379604
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The cross-section of volatility and expected returns
Zhang, Xiaoyan; Ang, Andrew; Hodrick, Robert J.; Xing, … - 2004
Persistent link: https://www.econbiz.de/10002073591
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The cross-section of volatility and expected returns
Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, … - 2004
Persistent link: https://www.econbiz.de/10002418876
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High idiosyncratic volatility and low returns : international and further US evidence
Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, … - 2008
Persistent link: https://www.econbiz.de/10003630137
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On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K.C. - 1999
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012471761
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Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading
Lakonishok, Josef - 1991
evaluate the potential effect of their trading on stock prices. We address two aspects of trading by money managers: herding …, which refers to buying (selling) the same stocks as other managers buy (sell) at the same time; and positive … of substantial herding or positive-feedback trading by pension fund managers, except in small stocks. Also, there is no …
Persistent link: https://www.econbiz.de/10012475147
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The Cross-Section of Volatility and Expected Returns
Ang, Andrew - 2010
We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility...
Persistent link: https://www.econbiz.de/10012762558
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On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K.C. - 2010
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012763801
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High Idiosyncratic Volatility and Low Returns : International and Further U.S. Evidence
Ang, Andrew - 2015
Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1:31% per month, after controlling for world...
Persistent link: https://www.econbiz.de/10013037557