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Flögel, Volker; Schlag, Christian; Zunft, Claudia - 2021 - This version: July 18, 2021

Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios formed on the broad market, size, value, momentum, investment, profitability,...

Persistent link: https://www.econbiz.de/10012588643

Testing Self-Affinity of Stock Returns

Bianchi, Sergio - 2011

Given the process {X(t), t in T}, the definition of self-affinity is reformulated in terms of diameter of the space of the rescaled pdf's of X(t). Two necessary conditions are deduced which contribute to discriminate uniscaling processes. Furthermore, by properly choosing the distance, the...

Persistent link: https://www.econbiz.de/10013122376

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063

Size, value effects and the explanatory power of pricing models : evidence from BSE listed Indian industries

Sharma, Bhumiswor; Srikanth P; Suresha B. - In: Scientific papers of the University of Pardubice 30 (2022) 2, pp. 1-17

The firm size and value anomalies are the global-level counterpart for explaining the cross-sectional variations of …-known pricing models - CAPM, three-and five-factor across and within 15 Indian industries. The study considers all firms listed on … that size and value effects exist in almost all industries, presenting that size and value anomalies are the most prominent …

Persistent link: https://www.econbiz.de/10014440925

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

Cross-sectional and time-series tests of return predictability : what is the difference?

Goyal, Amit; Jegadeesh, Narasimhan - 2015

We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...

Persistent link: https://www.econbiz.de/10011296939

Time-series momentum in nearly 100 years of stock returns

Lim, Bryan Y.; Wang, Jiaguo; Yao, Yaqiong - In: Journal of banking & finance 97 (2018), pp. 283-296

Persistent link: https://www.econbiz.de/10011968748

Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets

Duppati, Geeta - 2016

This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...

Persistent link: https://www.econbiz.de/10013003892

Forecasting volatility under fractality, regime-switching, long memory and student-t innovations

Lux, Thomas; Morales-Arias, Leonardo - 2009

(GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …

Persistent link: https://www.econbiz.de/10003864486