Showing 1 - 10 of 12,583
This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the investor preferences and attitudes toward risk. We...
Persistent link: https://www.econbiz.de/10011882295
We build a parsimonious international asset pricing model in which deviations of government bond yields from a fitted yield curve of a country measure the tightness of investors' capital constraints. We compute these measures at daily frequency for six major markets and use them to test the...
Persistent link: https://www.econbiz.de/10014122253
This paper investigates the seasonality patterns within various asset classes. We find that a strategy that buys the assets with the largest same-calendar-month past average returns (up to ten years) and sells the assets with the smallest same-calendar-month past average returns, earns...
Persistent link: https://www.econbiz.de/10013002295
According to recent research, diversification across risk factors (or investment styles) proves to be more efficient than traditional asset class diversification. In this paper, we take the next step and show that it is economically worthwhile to combine risk factors in a dynamic manner, in a...
Persistent link: https://www.econbiz.de/10013006973
The momentum effect is a systematic inefficiency in the market that can be exploited by a trading strategy. This conclusion is supported by theoretical and empirical evidence. But the academic research that tries to quantify the performance of this kind of strategy often relies on a methodology...
Persistent link: https://www.econbiz.de/10012962784
From 2004 to 2015, the market perception of the sovereign risks of the Euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. "Core" and "peripheral" bonds cluster in a bloc-like structure, but the...
Persistent link: https://www.econbiz.de/10012971807
Long histories of returns are needed but often lacking when estimating the equity premium. This paper studies stock return predictability from the perspective of a Bayesian investor who has access to international data. Learning across countries arises whenever this investor believes that...
Persistent link: https://www.econbiz.de/10012972060
Allocation between factor portfolios can bring significant advantages over traditional portfolio optimization performed among individual assets or asset classes. One such advantage is a substantial dimension reduction when one's attention turns from many assets to few factors. This, however,...
Persistent link: https://www.econbiz.de/10012973146
We develop a model in which financially constrained arbitrageurs exploit price discrepancies across segmented markets. We show that the dynamics of arbitrage capital are self-correcting: following a shock that depletes capital, returns increase, and this allows capital to be gradually...
Persistent link: https://www.econbiz.de/10012949344
Persistent link: https://www.econbiz.de/10012951800