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Betting against beta (and gamma) using government bonds
Durham, J. Benson - 2015
Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...
Persistent link: https://www.econbiz.de/10010467093
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Expectations, Fundamentals, and Asset Returns : Evidence from the Commodity Markets
Beber, Alessandro - 2016
. Interestingly, time-series momentum exhibits a strong negative relation with survey-based expectations. We rationalize these …
Persistent link: https://www.econbiz.de/10012988158
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Risk Premiums in the Cross-Section of Commodity Convenience Yields
Kind, Axel Herbert - 2010
In this paper we investigate risk premiums in commodity convenience yields. The analysis consists of two steps. First, we use a three-factor model to extract monthly convenience yields from a broad sample of commodity futures. Second, we estimate multi-factor asset pricing models with...
Persistent link: https://www.econbiz.de/10013142023
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Commodity futures return predictability and intertemporal asset pricing
Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020
We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....
Persistent link: https://www.econbiz.de/10012418356
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Risk-Free Rates and Variance Futures Prices
Rompolis, Leonidas - 2017
This paper investigates the relation between risk-free rates and ex-ante market volatility. It derives a theoretical model implying a negative linear relation between risk-free rates and variance futures prices. The latter are employed as a direct market-based ex-ante estimate of risk-neutral...
Persistent link: https://www.econbiz.de/10012975203
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk … portfolios, sorted by market capitalization and book-to-market equity, are captured substantially better by multi-factor models …
Persistent link: https://www.econbiz.de/10010307494
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Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Bretschger, Lucas; Lechthaler, Filippo - 2012
momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …
Persistent link: https://www.econbiz.de/10011753224
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Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets
Sehgal, Sanjay; Jain, Sakshi; Morandiere, Pr Laurence … - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 53-78
momentum behavior, India, China and South Korea exhibit contrarian patterns for long-term prior return (24-60 months) as well … as company characteristic(s) and prior return based portfolios. The CAPM is a poor descriptor of asset pricing as it …
Persistent link: https://www.econbiz.de/10011143924
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011
Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk … portfolios, sorted by market capitalization and book-to-market equity, are captured substantially better by multi-factor models …
Persistent link: https://www.econbiz.de/10009372405
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The smallest stocks are not just smaller: US and international evidence
De Moor, Lieven; Sercu, Piet - Faculteit Economie en Bedrijfswetenschappen, … - 2011
-French factor portfolios need to be adjusted and their number increased. Specifically, (i) standard asset pricing models leave …
Persistent link: https://www.econbiz.de/10009415885