Showing 1 - 10 of 12
[This paper proposes a Gibbs Sampling approach to modeling returns on industry portfolios. We examine how parameter uncertainty in the returns process with regime shifts affects the optimal portfolio choice in the long run for a static buy-and-hold investor. We find that after we incorporate...
Persistent link: https://www.econbiz.de/10012718496
This paper analyzes the predictability of different style portfolio returns (a.k.a. Fama-French factors) considering time-varying sensitivities of these returns to different macroeconomic variables and own momentums. Styles, as used in this paper, can be defined as groups of securities with a...
Persistent link: https://www.econbiz.de/10012718497
This paper proposes a Gibbs Sampling approach to modeling returns on industry portfolios. We examine how parameter uncertainty in the returns process with regime shifts affects the optimal portfolio choice in the long run for a static buy-and-hold investor. We find that after we incorporate...
Persistent link: https://www.econbiz.de/10012719236
This paper examines the portfolio choice implications of incorporating parameter and model uncertainty in (conditionally) linear factor models using industry portfolios. I examine a CAPM, a linear factor model with different predictor variables (dividend yield, price to book ratio, price to...
Persistent link: https://www.econbiz.de/10012719254
This paper analyzes the predictability of different style portfolio returns. Styles, as used in this paper and Barberis and Shleifer (2003), can be defined as groups of securities with a common characteristic, such as value (Graham and Dodd (1934)) and size (Banz (1979)). I specifically look at...
Persistent link: https://www.econbiz.de/10012719255
Purpose - The purpose of this paper is to examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data. Design/methodology/approach - The absolute return profiles are identified using properties of the empirical distributions of fund returns. The...
Persistent link: https://www.econbiz.de/10010760028
This paper establishes the asymptotic distributions of the impulse response functions in panel vector autoregressions with a fixed time dimension. It also proves the asymptotic validity of a bootstrap approximation to their sampling distributions. The autoregressive parameters are estimated...
Persistent link: https://www.econbiz.de/10009143143
Persistent link: https://www.econbiz.de/10009830474
Persistent link: https://www.econbiz.de/10009163373
Persistent link: https://www.econbiz.de/10010015990