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Risk factor exposure variation and mutual fund performance

Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2018

fund's forced trading through investor flows. We conclude that fund managers voluntarily attempt to time risk factors, but …

Persistent link: https://www.econbiz.de/10011906504

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

-known pricing models - CAPM, three-and five-factor across and within 15 Indian industries. The study considers all firms listed on …, including time-series, GRS statistic, and cross-sectional models within and across industries' portfolios. Results indicated …

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

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013

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

Frequency-dependent higher moment risks

Baruník, Jozef; Kurka, Josef - 2021

short-run phenomenon. A conditional pricing model capturing the time-variation of moments confirms downward-sloping term …

Persistent link: https://www.econbiz.de/10012496742

Boundaries of Time Series Momentum - Equity Returns Over the Business Cycle

Suominen, Matti - 2021

equity market returns. My main finding is that equity market time-series momentum works well in the middle valuation regimes … sense, the historical extremes of the valuation ratios and the term spread define boundaries for time-series momentum. To …, increases the R2 in a predictive regression of equity market returns by up to 90% and the R2 in a predictive regression of time …

Persistent link: https://www.econbiz.de/10013245419

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

Gungor, Sermin; Luger, Richard - 2013

time-varying conditional variances and covariances among the model disturbances. We derive exact bounds on the null … increases along both the time and cross-sectional dimensions. …

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

Time-series efficient factors

Ehsani, Sina; Linnainmaa, Juhani - 2020

autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios … the same predictable variation in factor premiums as time-series efficient factors. An asset pricing model with time …

Persistent link: https://www.econbiz.de/10012244867

Spectral Factor Models

Bandi, Federico M. - 2020

We represent risk factors as sums of orthogonal components capturing fluctuations with cycles of different length. The representation leads to novel spectral factor models in which systematic risk is allowed (without being forced) to vary across frequencies. Frequency-specific systematic risk is...

Persistent link: https://www.econbiz.de/10012851025

Stock Returns Declustering Under Time Dependent Hölder Exponent

Bianchi, Sergio - 2011

Two of the most important stylized facts well-known in finance relate to the non-Gaussian distribution and to the volatility clustering of stock returns. In this paper, we show that a new class of stochastic processes – called Multifractional Processes with Random Exponent (MPRE) – can...

Persistent link: https://www.econbiz.de/10013122333

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

to past news. This phenomenon creates a positive relation between disagreement and future returns. It also generates time …

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