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Asymmetric Returns And Semidimensional Risks
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Book Synopsis Asymmetric Returns and Semidimensional Risks by : Cheekiat Low
Download or read book Asymmetric Returns and Semidimensional Risks written by Cheekiat Low and published by . This book was released on 2001 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most theoretical models in finance measure risk as variance or covariance. However, many financial decision-makers seem to regard risk as the volatility of below-target returns and treat the volatility of above-target returns as a sweetener. Using simple metrics of downside risk and upside potential, constructed from conditional covariances, I test for the empirical content of this asymmetry. I introduce a new composite metric of semidimensional risks which reveals that the nonlinearity in the covariation of stock returns with bearish and bullish conditions of the market is priced in the cross-section of stock returns. In particular, I find that stocks that have concave characteristic regression lines against the market earn higher average returns than stocks that have convex characteristic regression lines. This new metric captures the relevant information in returns asymmetry or nonlinearity better than either coskewness or the square-coefficient from quadratic regression. I also present results that are consistent with a semidimensional risk-based explanation for the twin puzzles of return momentum and reversal. The primitive representation of the security pricing kernel as the negative of covariance between marginal utility of consumption and security returns lends theoretical support for semidimensional risks and provides a unifying perspective for seemingly disparate literature on semivariances, skewness and behavioral finance.
Book Synopsis Asymmetric Returns by : Alexander M. Ineichen
Download or read book Asymmetric Returns written by Alexander M. Ineichen and published by John Wiley & Sons. This book was released on 2011-07-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Asymmetric Returns, financial expert Alexander Ineichen elevates the critical discussion about alpha versus beta and absolute returns versus relative returns. He argues that controlling downside volatility is a key element in asset management if sustainable positive compounding of capital and financial survival are major objectives. Achieving sustainable positive absolute returns are the result of taking and managing risk wisely, that is, an active risk management process where risk is defined in absolute terms and changes in the market place are accounted for. The result of an active risk management process-when successful-is an asymmetric return profile, that is, more and higher returns on the upside and fewer and lower returns on the downside. Ineichen claims that achieving Asymmetric Returns is the future of active asset management. Alexander M. Ineichen, CFA, CAIA, is Managing Director and Senior Investment Officer for the Alternative Investment Solutions team, a key provider within Alternative and Quantitative Investments, itself a business within UBS Global Asset Management. He is also on the Board of Directors of the Chartered Alternative Investment Analyst Association (CAIAA). Ineichen is the author of the two UBS research publications In Search of Alpha—Investing in Hedge Funds (October 2000) and The Search for Alpha Continues—Do Fund of Hedge Funds Add Value? (September 2001). As of 2006 these two reports were the most often printed research papers in the documented history of UBS. He is also author of the widely popular Absolute Returns—The Risk and Opportunities of Hedge Fund Investing, also published by John Wiley & Sons.
Book Synopsis Asymmetric Return Response to Expected Risk by : Mehmet F. Dicle
Download or read book Asymmetric Return Response to Expected Risk written by Mehmet F. Dicle and published by . This book was released on 2018 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose: As investors' fear have an impact on their risk-return tradeoff, this fear leaves markets susceptible to sudden and large fluctuations. Markets develop a long- run normal and regulatory actions should be different for non-normal trading days. Regulators should amend their precautionary methods to recognize the difference in investor behavior for high-risk periods versus low-risk periods.Design/methodology/approach: We empirically show the difference in investor response to changes in expected risk as a function of level of risk. We then show dif- ferent return patterns for high-risk and low-risk days. Our approach is implemented to evaluate whether Investors' reaction is the same to changes in risk during high-risk periods versus during low-risk periods.Findings: The results indicate that the negative return response to incremental increases in risk is significantly higher for periods of high versus low expected risk, with high defined as risk levels above long-run normal.Research limitations/implications: Investors' increased response to changes in risk expose financial markets to higher likelihood of sudden and larger fluctuations during high-risk periods. Regulator imposed circuit breakers are designed to protect markets against such market crashes. However, circuit breakers are not designed to account for investor behavior changes. Our results show that circuit breakers should be different for high-risk versus low-risk periods.Practical implications: A circuit breaker that is designed to protect investors against large drops should be amended to have a lower threshold during high-risk periods.Originality/value: Our contribution is, to our knowledge, the first research effort to evaluate the effects of differences in investor behavior on investor reactions and regulator imposed fail safes. During the times of extreme market risk, our proposed changes may enable circuit breakers function their intended purposes.
Download or read book GARP Risk Review written by and published by . This book was released on 2001 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Modelling of Asymmetric Risk in Asset Returns by : John L. Knight
Download or read book Statistical Modelling of Asymmetric Risk in Asset Returns written by John L. Knight and published by . This book was released on 1995 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Risk Loadings in the Cross Section of Stock Returns by : Li Gu
Download or read book Asymmetric Risk Loadings in the Cross Section of Stock Returns written by Li Gu and published by . This book was released on 2005 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time-varying factor loadings exhibit pronounced asymmetry in the cross section of stock returns. To capture this asymmetry, we develop regime-switching versions of the CAPM and the Fama French three-factor model, allowing both factor loadings and predictable risk premiums to switch across regimes. We estimate the models jointly on the decile book-to-market portfolios, together with the market portfolio to investigate the role of asymmetric risk in the book-to-market premium. We find that betas of value stocks increase significantly during bear market episodes. However, we still reject that the book-to-market premium is equal to zero for both the regime-switching conditional CAPM and the Fama-French model, even in the presence of regimes.
Book Synopsis The Effect of Asymmetries on Stock Index Return Value at Risk Estimates by : Chris Brooks
Download or read book The Effect of Asymmetries on Stock Index Return Value at Risk Estimates written by Chris Brooks and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: There is much evidence in the literature that the volatilities of equity returns show evidence of asymmetric responses to good and bad news. At the same time, there is evidence that the unconditional distribution of stock returns is asymmetric as well. This paper examines the effects of asymmetries of various forms on the accuracy of value at risk models. We compare the value at risk estimates derived from models which assume both a symmetric unconditional distribution of returns and a symmetric response of volatility to good and bad news, with models which explicitly allow for each class of asymmetries. We find that, between the two types of asymmetry considered, the asymmetry in the unconditional distribution is the more important feature. Use of the semi-variance, which allows for this feature, is shown to provide more stable and more reliable value at risk estimates than simple and more complex models that do not.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2001 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Daniel P. Raymer Publisher :AIAA (American Institute of Aeronautics & Astronautics) ISBN 13 :9781563478291 Total Pages :0 pages Book Rating :4.4/5 (782 download)
Book Synopsis Aircraft Design by : Daniel P. Raymer
Download or read book Aircraft Design written by Daniel P. Raymer and published by AIAA (American Institute of Aeronautics & Astronautics). This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the Summerfield Book Award Winner of the Aviation-Space Writers Association Award of Excellence. --Over 30,000 copies sold, consistently the top-selling AIAA textbook title This highly regarded textbook presents the entire process of aircraft conceptual designfrom requirements definition to initial sizing, configuration layout, analysis, sizing, and trade studiesin the same manner seen in industry aircraft design groups. Interesting and easy to read, the book has more than 800 pages of design methods, illustrations, tips, explanations, and equations, and extensive appendices with key data essential to design. It is the required design text at numerous universities around the world, and is a favorite of practicing design engineers.
Book Synopsis Advanced Turboprop Project by : Roy D. Hager
Download or read book Advanced Turboprop Project written by Roy D. Hager and published by . This book was released on 1988 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Airplane Design VII written by Jan Roskam and published by DARcorporation. This book was released on 1985 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advanced Aircraft Design by : Egbert Torenbeek
Download or read book Advanced Aircraft Design written by Egbert Torenbeek and published by John Wiley & Sons. This book was released on 2013-05-28 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although the overall appearance of modern airliners has not changed a lot since the introduction of jetliners in the 1950s, their safety, efficiency and environmental friendliness have improved considerably. Main contributors to this have been gas turbine engine technology, advanced materials, computational aerodynamics, advanced structural analysis and on-board systems. Since aircraft design became a highly multidisciplinary activity, the development of multidisciplinary optimization (MDO) has become a popular new discipline. Despite this, the application of MDO during the conceptual design phase is not yet widespread. Advanced Aircraft Design: Conceptual Design, Analysis and Optimization of Subsonic Civil Airplanes presents a quasi-analytical optimization approach based on a concise set of sizing equations. Objectives are aerodynamic efficiency, mission fuel, empty weight and maximum takeoff weight. Independent design variables studied include design cruise altitude, wing area and span and thrust or power loading. Principal features of integrated concepts such as the blended wing and body and highly non-planar wings are also covered. The quasi-analytical approach enables designers to compare the results of high-fidelity MDO optimization with lower-fidelity methods which need far less computational effort. Another advantage to this approach is that it can provide answers to “what if” questions rapidly and with little computational cost. Key features: Presents a new fundamental vision on conceptual airplane design optimization Provides an overview of advanced technologies for propulsion and reducing aerodynamic drag Offers insight into the derivation of design sensitivity information Emphasizes design based on first principles Considers pros and cons of innovative configurations Reconsiders optimum cruise performance at transonic Mach numbers Advanced Aircraft Design: Conceptual Design, Analysis and Optimization of Subsonic Civil Airplanes advances understanding of the initial optimization of civil airplanes and is a must-have reference for aerospace engineering students, applied researchers, aircraft design engineers and analysts.
Book Synopsis A New Model of Capital Asset Prices by : James W. Kolari
Download or read book A New Model of Capital Asset Prices written by James W. Kolari and published by Springer Nature. This book was released on 2021-03-01 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
Book Synopsis Empirical Asset Pricing Models by : Jau-Lian Jeng
Download or read book Empirical Asset Pricing Models written by Jau-Lian Jeng and published by Springer. This book was released on 2018-03-19 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors. Particular emphasis is placed on the verification of essential factors and features for asset returns through model search approaches, in which non-diversifiability and statistical inferences are considered. The discussion reemphasizes the necessity of maintaining a dichotomy between the nondiversifiable pricing kernels and the individual components of stock returns when empirical asset pricing models are of interest. In particular, the model search approach (with this dichotomy emphasized) for empirical model selection of asset pricing is applied to discover the pricing kernels of asset returns.
Book Synopsis Market Momentum by : Stephen Satchell
Download or read book Market Momentum written by Stephen Satchell and published by John Wiley & Sons. This book was released on 2020-12-02 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.
Book Synopsis Asymmetric Dependence in Finance by : Jamie Alcock
Download or read book Asymmetric Dependence in Finance written by Jamie Alcock and published by John Wiley & Sons. This book was released on 2018-06-05 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
Book Synopsis Applied Econometric Analysis: Emerging Research and Opportunities by : Sloboda, Brian W.
Download or read book Applied Econometric Analysis: Emerging Research and Opportunities written by Sloboda, Brian W. and published by IGI Global. This book was released on 2020-06-01 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professionals are constantly searching for competitive solutions to help determine current and future economic tendencies. Econometrics uses statistical methods and real-world data to predict and establish specific trends within business and finance. This analytical method sustains limitless potential, but the necessary research for professionals to understand and implement this approach is lacking. Applied Econometric Analysis: Emerging Research and Opportunities explores the theoretical and practical aspects of detailed econometric theories and applications within economics, political science, public policy, business, and finance. Featuring coverage on a broad range of topics such as cointegration, machine learning, and time series analysis, this book is ideally designed for economists, policymakers, financial analysts, marketers, researchers, academicians, and graduate students seeking research on the various techniques of econometric concepts.
