Similar Search Results

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

Persistent link: https://www.econbiz.de/10012250652

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2021

We use unique institutional securities holdings data to examine the trading behaviour of delegated institutional capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they actively move into higher yielding, longer duration and lower...

Persistent link: https://www.econbiz.de/10012485994

Characteristic-based mean-variance portfolio choice

Hjalmarsson, Erik; Manchev, Petar - In: Journal of banking & finance 36 (2012) 5, pp. 1392-1402

Persistent link: https://www.econbiz.de/10009615809

Characteristic-based mean-variance portfolio choice

Hjalmarsson, Erik; Manchev, Peter - 2009

Persistent link: https://www.econbiz.de/10009535469

The Size Effect in Value and Momentum Factors : Implications for the Cross-Section of International Stock Returns

Atanasov, Victoria - 2014

We propose and test multifactor models that break the conventional value and momentum factors on the basis of firm size and build separate factors comprised of small stocks, which we call “small-stock value and momentum factors”, and big stocks, which we call “big-stock value and momentum...

Persistent link: https://www.econbiz.de/10013062272

The size effect in value and momentum factors : implications for the cross-section of international stock returns

Atanasov, Victoria; Nitschka, Thomas - 2013

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...

Persistent link: https://www.econbiz.de/10010224775

International tail risk and world fear

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

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 risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

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

Dispersion in Options Investors’ Versus Analysts’ Expectations : Predictive Inference for Stock Returns

Andreou, Panayiotis C. - 2019

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...

Persistent link: https://www.econbiz.de/10012905055

Pension Fund Herding and Stock Returns

Jame, Russell - 2012

Pension funds have greater fiduciary responsibilities than mutual funds and are also more severely punished for poor performance. Thus pension funds may find it particularly risky to deviate from peers. Consistent with this view, we find that pension funds herd and that their herding negatively...

Persistent link: https://www.econbiz.de/10013115297

Momentum Without Crashes

Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022

-term reversal strategies. The performance results are robust with respect to transaction costs and other real world frictions …

Persistent link: https://www.econbiz.de/10014236192