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Author: 蘇昱翔
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The realized moments innovations are calculated by the intraday data to the weekly frequency. From realized moments innovations we investigate if these variables are informative for the future stock returns. We find that realized skewness innovations are negative with next week's stock returns. Our work shows that makes portfolios with buying the stocks in highest previous realized moments innovations and selling the stocks in lowest previous realized moments innovations can make good profit. Our realized moments innovations are robust some firm characteristics can predict still signicance over two weeks. We do not find evidence that realized volatility innovations, realized kurtosis innovations and next week's stock return have the relationship..
Author: 蘇昱翔
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
The realized moments innovations are calculated by the intraday data to the weekly frequency. From realized moments innovations we investigate if these variables are informative for the future stock returns. We find that realized skewness innovations are negative with next week's stock returns. Our work shows that makes portfolios with buying the stocks in highest previous realized moments innovations and selling the stocks in lowest previous realized moments innovations can make good profit. Our realized moments innovations are robust some firm characteristics can predict still signicance over two weeks. We do not find evidence that realized volatility innovations, realized kurtosis innovations and next week's stock return have the relationship..
Author: Torben Gustav Andersen
Publisher: Springer Science & Business Media
ISBN: 3540712976
Category : Business & Economics
Languages : en
Pages : 1045
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Book Description
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author: John Byong Tek Lee
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 250
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Book Description
Author: James L. Davis
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Using a database that is free of survivorship bias, this paper finds that book-to-market equity, earnings yield and cash flow yield have significant explanatory power with respect to the cross-section of realized stock returns during the period from July, 1940 to June, 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.
Author: Adam Zaremba
Publisher: Springer
ISBN: 3319915304
Category : Business & Economics
Languages : en
Pages : 325
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Book Description
This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Author: Olaf Hübler
Publisher: Springer Science & Business Media
ISBN: 3540326936
Category : Business & Economics
Languages : en
Pages : 236
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Book Description
In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Author: Turan G. Bali
Publisher: John Wiley & Sons
ISBN: 1118589475
Category : Business & Economics
Languages : en
Pages : 512
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Book Description
“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.
Author: John H. Cochrane
Publisher: Now Publishers Inc
ISBN: 1933019158
Category : Business & Economics
Languages : en
Pages : 117
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Book Description
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28
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Book Description
Author: Stijn Claessens
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
Several factors besides m ...
