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Short-Term Momentum and Reversals in Large Stocks

Wei, Jason Zhanshun - 2012

momentum prevails among small stocks, momentum and reversals coexist among large stocks for a holding period of up to six … months. The momentum/reversal divide is along the volatility dimension: Large-cap/low-volatility stocks exhibit reversals … while large-cap/high-volatility stocks experience momentum. Our finding is in sharp contrast with those in the existing …

Persistent link: https://www.econbiz.de/10013108409

Instability of Factor Strength in Asset Returns

Massacci, Daniele - 2022

We study the problem of detecting structural instability of factor strength in asset pricing models for financial returns. We allow for strong and weaker factors, in which the sum of squared betas grows at a rate equal to and slower than the number of test assets, respectively: this growth rate...

Persistent link: https://www.econbiz.de/10013311483

Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models

Carvalho, Carlos M. - 2018

relative to a standard no-predictability benchmark, the optimal combination of predictors, stochastic volatility, and time …

Persistent link: https://www.econbiz.de/10012910552

Finding Bayesian Optimal Portfolios with Skew-Normal Returns

Park, Jungjun - 2021

In the presence of asset returns’ non-normal behavior, optimal portfolio selection techniques should consider higher-moment risks. In this paper, we extend the Black-Litterman (BL) asset allocation model (Black & Litterman, 1990) by applying the hidden truncation skew-normal distribution...

Persistent link: https://www.econbiz.de/10013216082

A Generalized Normal Mean Variance Mixture for Return Processes in Finance

Luciano, Elisa - 2014

Time changed Brownian motions are extensively applied as decision models for asset returns in Finance. On the other hand infinite divisible normal mixtures generate time changed Brownian motions. The standard generalization leading to the multivariate setting of normal mean variance mixtures...

Persistent link: https://www.econbiz.de/10013052535

Jumps and Diffusive Variance : A Granular Analysis of Individual Stock Returns

Li, Gang; Li, Ruicong; Zhang, Chu - 2021

Jumps and diffusive changes in stock prices are different ways in which information is reflected in the prices. We use nonparametric methods to decompose returns on individual stocks into jumps and diffusive components. Contrary to the conventional assumption that jump intensity is positively...

Persistent link: https://www.econbiz.de/10013225082

Do consumption-based asset pricing models explain own-history predictability in stock market returns?

Ashby, Michael F.; Linton, Oliver - 2022

Persistent link: https://www.econbiz.de/10013486082

Maximal predictability under long-term mean reversion

Hjalmarsson, Erik - In: Journal of empirical finance 45 (2018), pp. 269-282

Persistent link: https://www.econbiz.de/10012102446

Risk neutral variances to compute expected returns using data from S&P BSE 100 firms : a replication study

Mundi, Hardeep Singh - In: Management review quarterly 73 (2023) 1, pp. 215-230

Persistent link: https://www.econbiz.de/10014227408

Leverage effect in energy futures

Kristoufek, Ladislav - 2014

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming...

Persistent link: https://www.econbiz.de/10010407507