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We construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies …-factor model strongly dominates a model formed by just replicating the Fama and French (1993) procedure in China. Unlike that model …
Persistent link: https://www.econbiz.de/10012853043
We develop a revised factor model, accounting for unique features of Chinese markets, and evaluate the performance of competing asset pricing models. Extant literature reveals that eliminating the smallest 30% of stocks improves the performance of factor models. The revised factor model excludes...
Persistent link: https://www.econbiz.de/10013492165
Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...
Persistent link: https://www.econbiz.de/10011860248
We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...
Persistent link: https://www.econbiz.de/10012937321
Our objective is to develop a methodology to price the cross section of asset returns. Despite the hundreds of systematic risk factors considered in the literature (``factor zoo''), there is still a sizable pricing error. We show that what is missing in asset-pricing factor models is not...
Persistent link: https://www.econbiz.de/10013405571
The biopharmaceutical sector is of considerable interest during the COVID-19 pandemic. This study aims to investigate the biopharmaceutical sector using the Shenwan Industry Classification and provides insights into investment strategies. We combine factor and cluster analyses to reduce data...
Persistent link: https://www.econbiz.de/10015361654
In this paper, we identify cross-sectional anomalies in excess returns of industrial bonds at the issuer and secondary market levels, and find that liquidity, risk, and historical return variables can generate cross-sectional excess returns that cannot be explained by traditional bond factors....
Persistent link: https://www.econbiz.de/10014350974
We estimate the latent factors in high-dimensional panel non-Gaussian data using Higher-order multi-cumulant Factor Analysis (HFA). HFA consists of an eigenvalue ratio test to select the number of non-Gaussian factors and uses alternating regressions to estimate both Gaussian and non-Gaussian...
Persistent link: https://www.econbiz.de/10013247171
Persistent link: https://www.econbiz.de/10013034817
We examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning 217 years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p-hacking. The new-sample evidence reveals that the large...
Persistent link: https://www.econbiz.de/10012850289