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Time Series And Cross Sectional Variations Of Expected Returns
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Book Synopsis Time Series and Cross-Sectional Variations of Expected Returns by : Qiang Dai
Download or read book Time Series and Cross-Sectional Variations of Expected Returns written by Qiang Dai and published by . This book was released on 2008 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper develops a general equilibrium stochastic growth model of a multi-sector economy subject to i.i.d. taste shocks. Each sector produces one good, and each firm has a linear production technology and faces a quadratic capital adjustment cost. The model contains a standard intertemporal capital asset pricing theory of consumption and portfolio demands with dynamically complete and frictionless markets and a standard q-theory of investment under uncertainty. We show that the equilibrium stochastic investment opportunity set is driven by the relative shares of firms' nominal capital stocks, and the equilibrium dynamics of the state vector is driven by firms' relative investment intensities. Key implications of the model includes (i) the expected equity returns are endogenously predictable both over time and in the cross-section; and (ii) the quot;value anomalyquot; arises in a rational expectations equilibrium due to a negative (positive) hedging demand for value (growth) stocks against the risk of cross-sectional dispersion of firms' nominal capital stocks.
Book Synopsis Machine Learning for Asset Management by : Emmanuel Jurczenko
Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-10-06 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.
Book Synopsis Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns by : Hui Guo
Download or read book Relation between Time-Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns written by Hui Guo and published by . This book was released on 2010 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consistent with the post-1962 U.S. evidence by Ang, Hodrick, Xing, and Zhang [Ang, A., Hodrick, R., Xing Y., Zhang, X., 2006. The cross-section of volatility and expected returns. Journal of Finance 51, 259-299.], we find that stocks with high idiosyncratic variance (IV) have low CAPM-adjusted expected returns in both pre-1962 U.S. and modern G7 data. We also test in three ways the conjecture that IV is a proxy of systematic risk. First, the return difference between low and high IV stocks -- that we dub as IVF -- is a priced factor in the cross-section of stock returns. Second, loadings on lagged market variance and lagged average IV account for a significant portion of variation in average returns on portfolios sorted by IV. Third, the variance of IVF correlates closely with average IV, and the two variables have similar explanatory power for the time-series and cross-sectional stock returns.
Book Synopsis The Cross Section of Expected Holding Period Returns and Their Dynamics by : Matthew R. Lyle
Download or read book The Cross Section of Expected Holding Period Returns and Their Dynamics written by Matthew R. Lyle and published by . This book was released on 2014 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a tractable model of firm-level expected holding period returns using two firm fundamentals--book-to-market ratio and ROE--and study the cross-sectional properties of the model-implied expected returns. We find that: 1) firm level expected returns and expected profitability are time-varying, but highly persistent; 2) forecasts of holding period returns strongly predict the cross section of future returns up to three years ahead. We document a highly significant predictive pooled regression slope for future quarterly returns of 0.86, whereas the popular factor-based expected return models have either an insignificant or a significantly negative association with future returns. In supplemental analyses, we show that these forecasts are also informative of the time-series variation in aggregate conditions: 1) for a representative firm, the slope of the conditional expected return curve is more positive in good times, when expected short-run returns are relatively low; 2) the model-implied forecaster of aggregate returns exhibits modest predictive ability. Collectively, we provide a simple, theoretically-motivated, and practically useful approach to estimating multi-period ahead expected returns.
Book Synopsis A Recent History of Recognized Economic Thought: Contributions of the Nobel Laureates to Economic Science by : Lee H. Dymond
Download or read book A Recent History of Recognized Economic Thought: Contributions of the Nobel Laureates to Economic Science written by Lee H. Dymond and published by Lulu.com. This book was released on 2015-05-20 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since 1969, 75 people have been awarded the Nobel Prize in Economics. Recent Recognized "A History of Economic Thought - Contributions of the Nobel Laureates to Economic Science" describes their major accomplishments in a manner so all readers, regardless of their knowledge of economics, can appreciate the efforts of these scholars and their impact on the development and progress of economic science. Begin with a brief tour of economic thought and the factors that have influenced economic doctrine from the 16th through the 20th century. Then, for each Nobel Laureate, learn about their background and professional affiliations. Complete your understanding of each Laureate's accomplishments with a concise, relatively non-technical summary of their Nobel Prize Lecture.
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Book Synopsis Empirical Asset Pricing by : Wayne Ferson
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Book Synopsis Empirical Asset Pricing by : Turan G. Bali
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-04-04 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Book Synopsis The Fama Portfolio by : Eugene F. Fama
Download or read book The Fama Portfolio written by Eugene F. Fama and published by University of Chicago Press. This book was released on 2017-09-07 with total page 826 pages. Available in PDF, EPUB and Kindle. Book excerpt: Few scholars have been as influential in finance, both as an academic field and an industry, as Eugene Fama. Since writing his groundbreaking 1970 essay on efficient capital markets, Fama has written over 100 papers and books that have been cited hundreds of thousands of times. Yet there is no one collection where one can easily find his best work in all fields. "The Fama Portfolio" will be an outstanding and unprecedented resource in a field that still concentrates mainly on questions stemming from Fama s work: Is the finance industry too large or too small? Why do people continue to pay active managers so much? What accounts for the monstrous amount of trading? Do high-speed traders help or hurt? The ideas, facts, and empirical methods in Fama s work continue to guide these investigations. "The Fama Portfolio" will be a historic and long-lasting collection of some of the finest work ever produced in finance."
Book Synopsis Advances in Investment Analysis and Portfolio Management (New Series) Vol．7 by : Cheng F. Lee
Download or read book Advances in Investment Analysis and Portfolio Management (New Series) Vol．7 written by Cheng F. Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2016-01-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.
Book Synopsis Prediction and Causality in Econometrics and Related Topics by : Nguyen Ngoc Thach
Download or read book Prediction and Causality in Econometrics and Related Topics written by Nguyen Ngoc Thach and published by Springer Nature. This book was released on 2021-07-26 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the ultimate goal of economic studies to predict how the economy develops—and what will happen if we implement different policies. To be able to do that, we need to have a good understanding of what causes what in economics. Prediction and causality in economics are the main topics of this book's chapters; they use both more traditional and more innovative techniques—including quantum ideas -- to make predictions about the world economy (international trade, exchange rates), about a country's economy (gross domestic product, stock index, inflation rate), and about individual enterprises, banks, and micro-finance institutions: their future performance (including the risk of bankruptcy), their stock prices, and their liquidity. Several papers study how COVID-19 has influenced the world economy. This book helps practitioners and researchers to learn more about prediction and causality in economics -- and to further develop this important research direction.
Book Synopsis Machine Learning in Asset Pricing by : Stefan Nagel
Download or read book Machine Learning in Asset Pricing written by Stefan Nagel and published by Princeton University Press. This book was released on 2021-05-11 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.
Book Synopsis Handbook of Corporate Finance by : Bjørn Espen Eckbo
Download or read book Handbook of Corporate Finance written by Bjørn Espen Eckbo and published by Elsevier. This book was released on 2007-05-21 with total page 559 pages. Available in PDF, EPUB and Kindle. Book excerpt: Judging by the sheer number of papers reviewed in this Handbook, the empirical analysis of firms' financing and investment decisions—empirical corporate finance—has become a dominant field in financial economics. The growing interest in everything "corporate is fueled by a healthy combination of fundamental theoretical developments and recent widespread access to large transactional data bases. A less scientific—but nevertheless important—source of inspiration is a growing awareness of the important social implications of corporate behavior and governance. This Handbook takes stock of the main empirical findings to date across an unprecedented spectrum of corporate finance issues, ranging from econometric methodology, to raising capital and capital structure choice, and to managerial incentives and corporate investment behavior. The surveys are written by leading empirical researchers that remain active in their respective areas of interest. With few exceptions, the writing style makes the chapters accessible to industry practitioners. For doctoral students and seasoned academics, the surveys offer dense roadmaps into the empirical research landscape and provide suggestions for future work.*The Handbooks in Finance series offers a broad group of outstanding volumes in various areas of finance*Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance*The series is international in scope with contributions from field leaders the world over
Book Synopsis CAPM and Time-Varying Beta by : Devraj Basu
Download or read book CAPM and Time-Varying Beta written by Devraj Basu and published by . This book was released on 2019 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The failure of the static-beta CAPM to explain the cross-section of returns on portfolios sorted on firm size, book-to-market ratio, momentum, and even portfolios sorted on past CAPM betas, is well documented. In this paper we show that the model's performance dramatically improves when portfolio betas are allowed to be time-varying functions of (lagged) business cycle variables. We use an approach based on Hansen and Richard (1987) to construct a candidate stochastic discount factor (SDF), using the excess return on the market portfolio as the single factor, scaled by a time-varying coeplusmn;cient. The result is a model in which the conditional factor risk premium is a non-linear function of the business cycle variables. We assess the performance of our model by computing the R2 of the cross-sectional regression of realized on model-implied expected returns, as for example in Jagannathan and Wang (1996). While this is not a formal test of the model's ability to price the assets correctly, it does provide an informative summary statistic that allows us to compare the performance of our scaled model with that of the static version, and also to compare our findings to those of other similar studies.In the post-1980 period, where the static CAPM is known to perform particularly poorly, our scaled model explains around 60% of the cross-sectional variation in returns on beta and book-to-market portfolios, and 87% for momentum portfolios. Moreover, the model captures 70% of the value premium (the return spread between the highest and lowest book-to-market decile portfolios), and 75% of the momentum premium (the spread between the past 'winner' and 'loser' portfolios). Our results thus confirm the crucial importance of time-varying risk premiums in explaining the cross-section of average returns on these sets of portfolios. Moreover, the conditional market risk premium and hence also the betas implied by our model exhibits considerable non-linearity in the business cycle instruments.
Book Synopsis Stocks, Bonds, Bills, and Inflation by : Roger G. Ibbotson
Download or read book Stocks, Bonds, Bills, and Inflation written by Roger G. Ibbotson and published by . This book was released on 1989 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Decisions and Markets by : John Y. Campbell
Download or read book Financial Decisions and Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2017-10-31 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the field’s most respected authorities, provides a broad graduate-level overview of asset pricing. He introduces students to leading theories of portfolio choice, their implications for asset prices, and empirical patterns of risk and return in financial markets. Campbell emphasizes the interplay of theory and evidence, as theorists respond to empirical puzzles by developing models with new testable implications. The book shows how models make predictions not only about asset prices but also about investors’ financial positions, and how they often draw on insights from behavioral economics. After a careful introduction to single-period models, Campbell develops multiperiod models with time-varying discount rates, reviews the leading approaches to consumption-based asset pricing, and integrates the study of equities and fixed-income securities. He discusses models with heterogeneous agents who use financial markets to share their risks, but also may speculate against one another on the basis of different beliefs or private information. Campbell takes a broad view of the field, linking asset pricing to related areas, including financial econometrics, household finance, and macroeconomics. The textbook works in discrete time throughout, and does not require stochastic calculus. Problems are provided at the end of each chapter to challenge students to develop their understanding of the main issues in financial economics. The most comprehensive and balanced textbook on asset pricing available, Financial Decisions and Markets is an essential resource for all graduate students and practitioners in finance and related fields. Integrated treatment of asset pricing theory and empirical evidence Emphasis on investors’ decisions Broad view linking the field to financial econometrics, household finance, and macroeconomics Topics treated in discrete time, with no requirement for stochastic calculus Forthcoming solutions manual for problems available to professors
