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The Disconnect between Market Capital Gains and the Dividend Yield in Asset Pricing

Di Carlo, Michael; Mondria, Jordi; Tsiakas, Ilias - 2022

The rate of capital gains of the market portfolio is vastly more volatile than the dividend yield. As a result, standard CAPM betas capture exposure only to market capital gains. We propose a two-factor CAPM that includes a separate market dividend yield factor and find that this factor carries...

Persistent link: https://www.econbiz.de/10014264882

Asset Pricing Implications of Volatility Term Structure Risk

Xie, Chen - 2014

, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …

Persistent link: https://www.econbiz.de/10013044719

Profits from Underreactions and Overreactions : Price Momentum and Reversal in International Stock Markets

Chen, Chun-Yo; Ho, Hwai-Chung; Liu, Wen-Rang - 2023

variations in profit for conventional momentum strategies across time series and cross-sections arise from the interaction of … underreaction and overreaction portfolios. Removing stocks with overreacted prices from the momentum portfolios while keeping stocks …

Persistent link: https://www.econbiz.de/10014349889

Using a Mean Changing Stochastic Processes Exit-Entry Model for Stock Market Long-Short Prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021

Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study of mean changing models in stock markets. The idea is to enter and exit stock markets like Apple Computer and the broad S&P500 index at good times...

Persistent link: https://www.econbiz.de/10013220323

Time Series Momentum and Reversal : Intraday Information from Realized Semivariance

Liu, Zhenya - 2020

The presence of time series momentum effect has been widely documented in the financial markets across asset classes …, especially during the stressed states of time series momentum reversals. A rule-based decision function designed upon these … insights aims to capture the life-cycle of the time series momentum. Its application on the Chinese commodity futures markets …

Persistent link: https://www.econbiz.de/10012836027

Science or scientism? : on the momentum illusion

Grobys, Klaus - In: Annals of finance 20 (2024) 4, pp. 479-519

Persistent link: https://www.econbiz.de/10015188762

Market variance risk premiums in Japan for asset predictability

Ubukata, Masato; Watanabe, Toshiaki - In: Empirical economics : a journal of the Institute for … 47 (2014) 1, pp. 169-198

Persistent link: https://www.econbiz.de/10010379960

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

Detecting prudence and temperance in risk exposure : the hybrid variance framework

Gao, Jun; Gao, Xiang; Liu, Xiaoli; Wang, Zhan - In: Journal of risk 24 (2022) 5, pp. 75-88

Persistent link: https://www.econbiz.de/10014546352

A minimality property of the minimal martingale measure

Schweizer, Martin - 1998

Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal … martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale … ; minimal martingale measure ; equivalent martingale measures …

Persistent link: https://www.econbiz.de/10009578560