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The international commonality of idiosyncratic variances
Bekaert, Geert; Wang, Xue Phyllis; Zhang, Xiaoyan - 2023
Persistent link: https://www.econbiz.de/10014325906
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Liquidity, Style Investing, and Excess Comovement of Exchange-Traded Fund Returns
Broman, Markus S. - 2016
This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their net asset values (NAV) — comove excessively across ETFs. Excess comovements are positive (negative) and significant across ETFs in similar (distant) investment styles. Further...
Persistent link: https://www.econbiz.de/10013007326
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The Value of Stop-Losses and Stop-Gains in Enhancing Risk-Adjusted Return
Shelton, Austin - 2016
Asset allocation strategies which utilize stop-loss and stop-gain rules may dramatically decrease risk and even increase long-term return relative to passive investing. I introduce an asset allocation strategy which shifts portfolio weights based on simplistic stop rules. The two-asset (S&P...
Persistent link: https://www.econbiz.de/10013007428
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Risk-Adjusted Returns in Alternative Investments
Till, Hilary - 2015
Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. In particular, a number of authors have pointed out the shortcomings of using the Sharpe ratio for performance evaluation and the mean-variance framework for portfolio construction when the...
Persistent link: https://www.econbiz.de/10013023225
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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10014023859
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Does Human Capital Risk Explain the Value Premium Puzzle?
Sylvain, Serginio - 2014
Using a general equilibrium model with endogenous growth, I show that risk to human capital leads to a “Value” premium in equity returns. In particular, firms with relatively more firm-specific human capital or more positive covariance between asset growth and returns on human capital are...
Persistent link: https://www.econbiz.de/10013058208
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The Tradeoff between Liquidity and Performance : Private Assets in Institutional Portfolios
Shen, Junying; Teng, Michelle - 2021
Institutional investors have increased their allocation to private assets to capture a potential return premium over public assets and diversification benefits. However, an allocation to private assets, which typically are less liquid than public assets, raises questions: “How does an...
Persistent link: https://www.econbiz.de/10013214807
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Momentum and the term structure of interest rates
Durham, J. Benson - 2013
A vast literature reports excess returns to momentum strategies across many financial asset classes. However, no study … ratios are up to 207 basis points and 1.01, respectively. Unlike momentum strategies in some other asset classes, the excess … return distributions are positively skewed, and momentum loads, if in any way, favorably on broad risk factors. Returns …
Persistent link: https://www.econbiz.de/10010222891
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Conditioning the information in portfolio optimization
Sala, Carlo; Barone-Adesi, Giovanni - 2015
utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a …
Persistent link: https://www.econbiz.de/10011506342