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Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...

Persistent link: https://www.econbiz.de/10011751251

Predicting Momentum

Ma, Siyuan - 2022

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread … ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual … momentum, especially after 1994, suggesting that behavioral bias to the firm-specific news is indeed a source of momentum …

Persistent link: https://www.econbiz.de/10013404733

Whose option ratios contain information about future stock prices?

Koo, Bonha; Kim, Ryumi - In: Journal of derivatives and quantitative studies : … 32 (2024) 1, pp. 58-81

predictability of P/C depends on the investors: institutional and individual investors' P/C ratios are not related to returns, but …

Persistent link: https://www.econbiz.de/10014497179

Non-parametric statistic for testing cumulative abnormal stock returns

Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

Persistent link: https://www.econbiz.de/10013168738

Beta Bubbles

Jylha, Petri - 2017

We show that an increase in a stock's breadth of institutional ownership or turnover is followed by a significant but temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on beta estimates strengthens if we classify...

Persistent link: https://www.econbiz.de/10012971144

Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model

Kamal, Javed Bin - 2013

The paper aims at constructing an optimal portfolio by applying Sharpe's single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second scenario. Here we considered beginning of year 2010 as rise of...

Persistent link: https://www.econbiz.de/10013084892

Trading Rules Over Fundamentals : A Stock Price Formula for High Frequency Trading, Bubbles and Crashes

Charles-Cadogan, G. - 2012

crashes or price bubbles from manifesting in underlying indexes that exhibit HFT stock price dynamics …

Persistent link: https://www.econbiz.de/10013113112

Testing the stochastic disorder model on stock markets

Sokko, Anastasiia - 2017

This paper examines real-time applications of quickest disorder detection techniques for timing stock markets. The focus is on the stochastic disorder model by Shiryaev, Zhitlukhin, and Ziemba (2014, 2015), Zhitlukhin and Ziemba (2016) and their optimal stopping rule. The model uses sequential...

Persistent link: https://www.econbiz.de/10011875860

Economics-based financial bubbles (and why they imply strict local martingales)

Herdegen, Martin; Schweizer, Martin - 2015

all numéraires for which there is an equivalent local martingale measure (ELMM), asset prices are strict local martingales …

Persistent link: https://www.econbiz.de/10011293465

Modeling International Financial Returns with a Multivariate Regime-Switching Copula

Chollete, Lorán - 2010

In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...

Persistent link: https://www.econbiz.de/10013150667