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On Pricing Kernels, Information and Risk
Wilcox, Diane - 2015
monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks …
Persistent link: https://www.econbiz.de/10013034895
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Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz T. - 2014
We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...
Persistent link: https://www.econbiz.de/10013056713
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Risk Neutral Skewness Predicts Price Rebounds and so can Improve Momentum Performance
Borochin, Paul - 2020
momentum crashes occur. Furthermore, the momentum anomaly is strongest (weakest) in stocks with the most negative (positive … momentum strategy that avoids performance reversals has meaningfully superior performance. Our results hold after controlling …
Persistent link: https://www.econbiz.de/10012852851
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Optimal long-term allocation with pension fund liabilities
Jondeau, Eric; Rockinger, Michael - 2014
We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...
Persistent link: https://www.econbiz.de/10010442892
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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
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On survivor stocks in the S&P 500 stock index
Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24
conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses …
Persistent link: https://www.econbiz.de/10012888297
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Momentum and Reversion in Risk Neutral Martingale Probabilities
Madan, Dilip B. - 2014
A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics … five days at a time. Properties of the estimated processes are described via an analysis of return quantiles, momentum … functions that measure the response of tail probabilities to such moves. Momentum and reversion are also addressed via the …
Persistent link: https://www.econbiz.de/10013064149
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Beyond connectedness: a covariance decomposition based network risk model
Akovalı, Umut - 2020
This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...
Persistent link: https://www.econbiz.de/10012170580
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Risk neutral variances to compute expected returns using data from S&P BSE 100 firms : a replication study
Mundi, Hardeep Singh - In: Management review quarterly 73 (2023) 1, pp. 215-230
Persistent link: https://www.econbiz.de/10014227408
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A conditional CAPM : implications for the estimation of systematic risk
Milionis, Alexandros E.; Patsouri, Dimitra K. - 2022
of cases where ARCH was present in MM residuals. These findings in terms of theory are conducive to a conditional CAPM …
Persistent link: https://www.econbiz.de/10013403948