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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2023
This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...
Persistent link: https://www.econbiz.de/10014343097
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The Bayesian method in estimating Polish and German industry betas : a comparative nalysis of the risk between the main economic sectors from 2001-2020
Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative economic research : Central and Eastern Europe 25 (2022) 2, pp. 45-60
This paper examines the long‑term dependence between the Polish and German stock markets in terms of industry beta risk … estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and … German beta parameters of five Polish and three German sector indices using the Bayesian methodology in the period 2001 …
Persistent link: https://www.econbiz.de/10013334984
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Return direction forecasting : a conditional autoregressive shape model with beta density
Xie, Haibin; Sun, Yuying; Fan, Pengying - In: Financial innovation : FIN 9 (2023) 1, pp. 1-16
shape (CARS) model with beta density to predict the direction of stock returns. The CARS model is continuously valued, which …
Persistent link: https://www.econbiz.de/10014289111
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Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk
Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682
earning announcements and releases of macroeconomic news. We find that earnings news increase beta dispersion while FOMC …
Persistent link: https://www.econbiz.de/10012598456
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An investigation of the beta anomaly in emerging markets : a South African case
Segojane, Mabekebeke; Ndlovu, Godfrey - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-18
only determinant of risk in the South African stock market. We also found positive beta-idiosyncratic volatility (IVOL … to as the low-beta anomaly) run counter to theoretical expectations. This paper examines the beta anomaly in one of the …-sectional econometric techniques to analyze the risk-return relationship implied by the CAPM, using data that span over 5 years and 220 …
Persistent link: https://www.econbiz.de/10013273464
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CAPM verification using overnight and daytime returns
Kang, Dae Jin; Kim, Soo-hyun - In: Journal of derivatives and quantitative studies : … 28 (2020) 4, pp. 209-227
The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual … study analysis empirically confirms a positive relationship between overnight returns and beta and a negative relation … between daytime returns and beta. Furthermore, this paper aims to determine that empirical results are mostly the same with …
Persistent link: https://www.econbiz.de/10012592728
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Role of size and risk effects in value anomaly : evidence from the Indian stock market
Sharma, Mehak; Jain, Anshul - In: Cogent economics & finance 8 (2020) 1, pp. 1-12
Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio (high PB ratios, Growth firms). In literature, this is known as the Value Anomaly. This anomaly is related to the third factor in the...
Persistent link: https://www.econbiz.de/10013179656
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Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions
Wagner, Martin - 2023
We consider fully modified least squares estimation for systems of cointegrating polynomial regressions, i. e., systems of regressions that include deterministic variables, integrated processes and their powers as regressors. The errors are allowed to be correlated across equations, over time...
Persistent link: https://www.econbiz.de/10013479635
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A consistent specification test for dynamic quantile models
Horvath, Peter; Li, Jia; Liao, Zhipeng; Patton, Andrew J. - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 125-151
Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is...
Persistent link: https://www.econbiz.de/10012807744
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Nonparametric performance hypothesis testing with the information ratio
Aboy, Jacque Bon-Isaac; Magadia, Joselito - In: Cogent economics & finance 9 (2021) 1, pp. 1-17
This study proposes a nonparametric bootstrap-based test to compare performances between two portfolios in terms of their information ratio. This serves as an extension to the literature that tests performance between two portfolio investment strategies that uses Sharpe ratio. Monte Carlo...
Persistent link: https://www.econbiz.de/10013183859