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This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...
Persistent link: https://www.econbiz.de/10009714536
The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets' discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that...
Persistent link: https://www.econbiz.de/10013132049
In this paper, I examine the sources of momentum returns and uncover a list of intriguing features. I find that when the momentum returns are decomposed the contributions of the explained and the unexplained risk factors depend on the level of analysis, the risk factors used, and the lag...
Persistent link: https://www.econbiz.de/10013029071
We split up the standard momentum return over months t-12 to t-2 at the highest stock price within this formation period. Of the overall momentum profits in month t, 84% can be attributed to the return prior to this peak price although research has exclusively focused on the post-peak return so...
Persistent link: https://www.econbiz.de/10014244911
We propose a decomposition of financial time series into Gaussian subsequences characterized by a constant Hölder …
Persistent link: https://www.econbiz.de/10013134120
In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...
Persistent link: https://www.econbiz.de/10011313230
Several papers decompose stock returns into cash flow and discount rate news to study equity market fluctuations. This paper develops and explores an alternative decomposition for stock returns based on the idea that equity volatility must come from variation in the present value of short- and...
Persistent link: https://www.econbiz.de/10012848221
I decompose the expected return difference between cross-asset time series momentum and time series momentum into … that two recent critiques of time series momentum do not apply to cross-asset time series momentum. Instead, the … outperformance of cross-asset time series momentum is driven specifically by the strategy's ability to exploit cross-asset time …
Persistent link: https://www.econbiz.de/10013213175
Using a parametric portfolio optimization approach, I show how international momentum strategies can be significantly improved by decomposing global momentum returns. The parametrization models the optimal portfolio weights as a function of the decomposed components and overweights equity...
Persistent link: https://www.econbiz.de/10012915065
This study decomposes a momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and...
Persistent link: https://www.econbiz.de/10013403618