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Author : Kent Douglas Daniel
Publisher :
ISBN 13 :
Total Pages : 404 pages
Book Rating : 4.:/5 ( download)
Download or read book The Time Variation of Asset Returns written by Kent Douglas Daniel and published by . This book was released on 1992 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alberto Giovannini
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.X/5 (1 download)
Download or read book The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets written by Alberto Giovannini and published by . This book was released on 1988 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.
Author : Aleš Berk Skok
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (814 download)
Download or read book Empirical Asset Pricing written by Aleš Berk Skok and published by . This book was released on 2011 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wolfgang Drobetz
Publisher : Springer Science & Business Media
ISBN 13 : 3663085295
Total Pages : 346 pages
Book Rating : 4.6/5 (63 download)
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Author : Thomas Andreas Maurer
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)
Download or read book Time Variation in Life Expectancy, Optimal Portfolio Choice and the Cross-Section of Asset Returns written by Thomas Andreas Maurer and published by . This book was released on 2015 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: I solve a portfolio optimization problem with stochastic death rates. An agent demands more of an asset that pays off high (low) in states of the world when he expects to live longer (shorter) than an asset with the opposite payoff. Consequently, in equilibrium, an asset with a positive correlation between its returns and changes in the life expectancy pays a lower expected return than an asset with a negative correlation. Empirical evidence supports the model. Out-of-sample evidence suggests that a trading strategy, which exploits the theoretical relationship, pays 3.25% annual unexplained returns according to the CAPM.
Author : Campbell R. Harvey
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (318 download)
Download or read book What Determines Expected International Asset Returns? written by Campbell R. Harvey and published by . This book was released on 1994 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their time-variation. We find evidence that the first factor premium resembles the expected return on the world market portfolio. However, the inclusion of this premium alone is not sufficient to explain the conditional variation in the returns. We find evidence of a second factor premium which is related to foreign exchange risk. Our sample includes new data on both international industry portfolios and international fixed income portfolios. We find that the two latent factor model performs better in explaining the conditional variation in asset returns than a prespecified two factor model. Finally, we show that differences in the risk loadings are important in accounting for the cross-sectional variation in the international returns.
Author : David G McMillan
Publisher : Springer
ISBN 13 : 3319690086
Total Pages : 141 pages
Book Rating : 4.3/5 (196 download)
Download or read book Predicting Stock Returns written by David G McMillan and published by Springer. This book was released on 2017-11-30 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author : Campbell R. Harvey
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (129 download)
Download or read book What Determines Expected International Asset Returns? written by Campbell R. Harvey and published by . This book was released on 2010 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their time-variation. We find evidence that the first factor premium resembles the expected return on the world market portfolio. However, the inclusion of this premium alone is not sufficient to explain the conditional variation in the returns. We find evidence of a second factor premium which is related to foreign exchange risk. Our sample includes new data on both international industry portfolios and international fixed income portfolios. We find that the two latent factor model performs better in explaining the conditional variation in asset returns than a prespecified two factor model. Finally, we show that differences in the risk loadings are important in accounting for the cross-sectional variation in the international returns.
Author : Mark Britten-Jones
Publisher :
ISBN 13 :
Total Pages : 330 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on Temporal and Cross-sectional Variation in the Expected Return of Risky Securities, and Tests of Portfolio Efficiency written by Mark Britten-Jones and published by . This book was released on 1996 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xiaoxiao Tang
Publisher :
ISBN 13 :
Total Pages : 186 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays in Asset Pricing written by Xiaoxiao Tang and published by . This book was released on 2018 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: I propose a forward-looking measure of the asymmetry in the variance of asset returns and introduce a way to estimate it from option prices. This measure is model free and it serves as a close approximation for the asset risk premium. I provide an empirically supported sufficient condition under which the risk-neutral variance asymmetry ranks stocks based on their expected returns. Empirically, I find strong cross-sectional correlation between this measure and future stock returns. Variance asymmetry managed portfolios yield economically large average returns and Sharpe ratios. Crash risk and standard asset pricing factors do not explain this abnormal performance. Furthermore, the term structure of this measure reflects future time variation in stock returns.
Author : Ronald W. Best
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (281 download)
Download or read book Some Implications of Risk Neutrality for Time Variation in Stock Returns written by Ronald W. Best and published by . This book was released on 1993 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hélyette Geman
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Fine Structure of Asset Returns written by Hélyette Geman and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the importance of diffusion and jumps in a new model for asset returns. In contrast to standard models, we allow for jump components displaying finite or infinite activity and variation. Empirical investigations of time series indicate that index dynamics are devoid of a diffusion component, which may be present in the dynamics of individual stocks. This leads to the conjecture, confirmed on options data, that the risk-neutral process should be free of a diffusion component. We conclude that the statistical and risk-neutral processes for equity prices are pure jump processes of infinite activity and finite variation.
Author : Hsien-hsing Liao
Publisher : World Scientific
ISBN 13 : 9812795618
Total Pages : 265 pages
Book Rating : 4.8/5 (127 download)
Download or read book Asset Pricing written by Hsien-hsing Liao and published by World Scientific. This book was released on 2003 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students. Contents: Introduction: Real Estate Analysis in a Dynamic Risk Environment; The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets; The Predictability of Real Estate Returns and Market Timing; A Time-Varying Risk Analysis of Equity and Real Estate Markets in the US and Japan; Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market; Bank Risk and Real Estate: An Asset Pricing Perspective; Assessing the OC Santa ClausOCO Approach to Asset Allocation: Implications for Commercial Real Estate Investment; The Time-Variation of Risk for Life Insurance Companies; The Return Distributions of Property Shares in Emerging Markets; Conditional Risk Premiums of Asian Real Estate Stocks; Institutional Factors and Real Estate Returns: A Cross-Country Study. Readership: Financial researchers, real estate investors and investment bankers, as well as senior MBA and PhD students."
Author : Alberto GIOVANNINI
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book THE TIME-VARIATION OF RISK AND RETURN IN THE FOREIGN EXCHANGE AND STOCK MARKET written by Alberto GIOVANNINI and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author : Lakshman Anuruddha Alles
Publisher :
ISBN 13 :
Total Pages : 112 pages
Book Rating : 4.:/5 (289 download)
Download or read book An Investigation of the Variation of Skewness in Asset Returns and Its Estimation written by Lakshman Anuruddha Alles and published by . This book was released on 1991 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
