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Instability of Factor Strength in Asset Returns

Massacci, Daniele - 2022

We study the problem of detecting structural instability of factor strength in asset pricing models for financial returns. We allow for strong and weaker factors, in which the sum of squared betas grows at a rate equal to and slower than the number of test assets, respectively: this growth rate...

Persistent link: https://www.econbiz.de/10013311483

Dispersion in Options Investors’ Versus Analysts’ Expectations : Predictive Inference for Stock Returns

Andreou, Panayiotis C. - 2019

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...

Persistent link: https://www.econbiz.de/10012905055

Factor Returns and Out-of-Sample Alphas : Factor Construction Matters

Bessembinder, Hendrik; Burt, Aaron; Hrdlicka, Christopher M. - 2022

Portfolios formed on a time-varying basis from the principal components of the factors compiled by Chen and Zimmerman (CZ) and Jensen, Kelly, and Pedersen (JKP) display large and robust out-of-sample Sharpe ratios, implying that the factors strongly forecast the cross-section of stock returns....

Persistent link: https://www.econbiz.de/10014236154

Downside Beta and Equity Returns around the World

Atilgan, Yigit - 2019

We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and...

Persistent link: https://www.econbiz.de/10012903218

Duration-Driven Returns

Gormsen, Niels - 2020

. Consistent with our hypothesis, expected CAPM alpha on individual dividends decrease in maturity within a firm, but do not vary …

Persistent link: https://www.econbiz.de/10012849772

The Unintended Impact of Academic Research on Asset Returns : The CAPM Alpha

Horenstein, Alex R. - 2020

findings in academic research. In particular, I find that assets with low realized CAPM Alphas outperform those with high ones …, but this finding only appears after the CAPM's publication in the 1960s. I find evidence consistent with the widespread … application of the CAPM model generating incentives to tilt portfolios systematically away from low CAPM Alpha assets, causing …

Persistent link: https://www.econbiz.de/10012853605

Differences in Options Investors' Expectations and the Cross-Section of Stock Returns

Andreou, Panayiotis C. - 2018

We provide strong evidence that the dispersion of individual stock options trading volume across moneynesses (IDISP) contains valuable information about future stock returns. Stocks with high IDISP consistently underperform those with low IDISP by more than 1% per month. In line with the idea...

Persistent link: https://www.econbiz.de/10012937333

Absolute Delta Beta and Cross-Sectional Stock Returns

Xie, Jun; Zhang, Baohua; Gao, Bin; Tan, Chunzhi - 2022

This paper explores the predictive power of the absolute delta beta (ADB) on future cross-sectional stock returns. By univariate portfolio analysis, bivariate portfolio analysis, and decomposition of predictive power, we find that the ADB can produce an excess return in the next month. The...

Persistent link: https://www.econbiz.de/10013406522

Are Momentum Profits Driven by the Cross-Sectional Dispersion in Expected Stock Returns?

Bhootra, Ajay - 2013

Consistent with the hypothesis that momentum profits are attributable to the cross-sectional dispersion in expected returns, Bulkley and Nawosah (2009) report that momentum is nonexistent in demeaned returns. Motivated by their work, I examine whether absence of momentum in demeaned returns is...

Persistent link: https://www.econbiz.de/10013094036

Managerial Activeness and Mutual Fund Performance

Doshi, Hitesh - 2015

A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...

Persistent link: https://www.econbiz.de/10013033774