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The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Dobrev, Dobrislav - 2011

We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...

Persistent link: https://www.econbiz.de/10013128339

Asset Pricing : Cross-section Predictability

Zaffaroni, Paolo; Zhou, Guofu - 2022

We provide a short and selected review of the vast literature on cross-section predictability. We focus on the state of art methods used to forecast the cross-section of stock returns with major predictors and are primarily interested in the ideas, methods, and their applications. To understand...

Persistent link: https://www.econbiz.de/10013406495

Firm Characteristics and Expected Stock Returns

Han, Yufeng - 2020

We analyze the joint out-of-sample predictive ability of a comprehensive set of 299 firm characteristics for cross-sectional stock returns. We develop a cross-sectional out-of-sample R2 statistic that provides an informative measure of the accuracy of cross-sectional return forecasts in terms of...

Persistent link: https://www.econbiz.de/10012852228

Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory : illustrated with Crypto Assets

Deng, Qi; Zhou, Zhong-Guo - 2023

) counterpart in portfolio performance. Collectively, they extend the return/volatility-based Modern Portfolio Theory (MPT) to a … Unified Modern Portfolio Theory (UMPT) with built-in treatments on liquidity risk …

Persistent link: https://www.econbiz.de/10014349884

Passive portfolio management by indexing : a performance analysis of high, medium and low capitalization indices in Mexico

Samaniego, Angel; Rodríguez Reyes, Luis Raúl - In: Revista de métodos cuantitativos para la economía y … 26 (2018), pp. 269-293

In a passive investing strategy through indexation, the portfolio performance will depend largely on the ability to choose the best index. In this paper, we study the performance of four of the main stock indices in Mexico with the intention of selecting the best one for a passive investing...

Persistent link: https://www.econbiz.de/10012023974

Diverging roads: theory-based vs. machine learning-implied stock risk premia

Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020

We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the … preferable to rely on a theory-based approach instead of engaging in the computerintensive hyper-parameter tuning of statistical … models. The theory-based approach also delivers a solid performance at the one year horizon, at which only one machine …

Persistent link: https://www.econbiz.de/10012163064

Does Realized Skewness Predict the Cross-Section of Equity Returns?

Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - 2015

We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments' time-series and cross-sectional properties. We investigate if this week's realized moments are informative for the cross-section of next week's stock returns. We...

Persistent link: https://www.econbiz.de/10014179412

Forecasting the Long-Term Equity Premium for Asset Allocation

Sakkas, Athanasios; Tessaromatis, Nikolaos P. - 2021

Long-term country equity premium forecasts based on a cross-sectional global factor model (CS-GFM), where factors represent compensation for risks proxied by valuation and financial variables, are superior, statistically and economically, from forecasts based on time-series prediction models...

Persistent link: https://www.econbiz.de/10013219482

Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...

Persistent link: https://www.econbiz.de/10010442899

Time-frequency Forecast of the Equity Premium

Faria, Gonçalo - 2020

Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between the equity premium and several predictor variables. We...

Persistent link: https://www.econbiz.de/10012835434