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Mispricing and uncertainty in international markets

Sandulescu, Mirela; Schneider, Paul - 2021

We develop Residual MisPricing (RMP), an index capturing mispricing relative to a linear benchmark asset pricing model, from the structure imposed by no-arbitrage. RMP is fully conditional and depends only on the returns of basic assets. Return data for several economies reveal that RMP is...

Persistent link: https://www.econbiz.de/10012487677

An Asset-Pricing Model with Commonality in Exchange Rates

Jacoby, Gady; Liao, Rose C.; Wang, Yan; Wu, Zhenyu - 2022

We employ an intertemporal CAPM (Merton, 1973) framework to examine how exposure to currency risk is priced in foreign …

Persistent link: https://www.econbiz.de/10014236654

Fake news and asset price dynamics

Mignot, Sarah; Pellizzari, Paolo; Westerhoff, Frank H. - In: Jahrbücher für Nationalökonomie und Statistik 244 (2024) 4, pp. 351-379

We explore the impact of fake news on asset price dynamics within the asset-pricing model of Brock and Hommes (Brock, W. A., and C. H. Hommes. 1998. "Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model." Journal of Economic Dynamics and Control 22 (8): 1235-74). By...

Persistent link: https://www.econbiz.de/10015326021

Fake news and asset price dynamics

Mignot, Sarah; Pellizzari, Paolo; Westerhoff, Frank H. - 2024

We explore the impact of fake news on asset price dynamics within the asset-pricing model of Brock and Hommes (1998). By polluting the information landscape, fake news interferes with agents' perception of the dividend process of the risky asset. Our analysis reveals that fake news decreases the...

Persistent link: https://www.econbiz.de/10014631654

Investor Attention to News on Financial Integration and Currency Returns

Filippou, Ilias; T. Nguyen, My; Taylor, Mark P. - 2023

In this paper, we examine the economic value of a text-based measure of financial integration. Our attention measure of financial integration is a strong positive predictor of currency excess returns. Specifically, the financial integration measure is positively priced in the cross-section of...

Persistent link: https://www.econbiz.de/10014254455

Observable Implications of the Conditional CAPM

de Oliveira Souza, Thiago - 2021

The derivation of observable implications of the conditional CAPM theory often includes the joint (internally … size portfolios, while the unconditional CAPM theory is still rejected by portfolios with negative unconditional betas and … positive unconditional alphas. Hence, relaxing this joint assumption does not render the CAPM theory untestable …

Persistent link: https://www.econbiz.de/10013250850

Origins of Mutual Fund Skill : Market versus Accounting Based Asset Pricing Anomalies

Christiansen, Charlotte; Xing, Ran; Xu, Yue - 2021

We investigate the information source of active U.S. equity mutual funds’ value added using 234 public asset pricing anomalies. On average, mutual funds add value through their positive exposures to anomalies based on market information (e.g., momentum and liquidity risk) and lose value...

Persistent link: https://www.econbiz.de/10013250271

The Shorting Premium and Asset Pricing Anomalies

Drechsler, Itamar - 2016

Short rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.31%, a net-of-fees return of 0.78%, and a 1.44%...

Persistent link: https://www.econbiz.de/10013006777

Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies

Fičura, Milan - 2017

The profitability of a trading system based on the momentum-like effects of price jumps was tested on the time series of 7 assets (EUR/USD, GBP/USD, USD/CHF and USD/JPY exchange rates and Light Crude Oil, E-Mini S&P 500 and VIX Futures), in each case for 7 different frequencies (ranging from...

Persistent link: https://www.econbiz.de/10012964934

Additional Evidence on Information Variables and Equity Premium Predictability

Chrétien, Stéphane - 2017

This paper presents the most comprehensive out-of-U.S.-sample examination of information variables and equity premium predictability by focusing on Canada to reassess the growing U.S.-based evidence casting doubt on predictability. Using monthly data for 36 variables from 1950 to 2013, we test...

Persistent link: https://www.econbiz.de/10012967389