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Author: Ruifeng Liu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We study the robust measure of higher moments and employ their predictive power for future financial returns. In Chapter 1, we propose a new quantile-based measure of kurtosis. Then in Chapters 2 and 3, we provide an empirical analysis of the predictive information of robust volatility, robust skewness, and robust kurtosis for the cross-section of international stock index returns and cryptocurrency returns, respectively. In Chapter 1, we introduce robust kurtosis, which is a new quantile-based measure for the kurtosis of financial returns that is robust to outliers. Robust kurtosis is equivalent to the traditional moment-based kurtosis for the normal distribution, whereas for fat-tailed distributions it converges to the moment-based measure as the return horizon increases. We assess its asymptotic properties as well as its finite-sample properties under different distributional specifications. In Chapter 2, we provide an empirical analysis of the predictive information of robust conditional kurtosis for a large cross-section of international stock index returns. Using portfolio sorts and Fama-MacBeth cross-sectional regressions, we find that robust kurtosis carries a significant negative premium: higher robust kurtosis is related to lower future stock returns, especially for developed markets. This contrasts with the significant positive premium associated with robust skewness, especially for emerging markets. In Chapter 3, we provide an empirical analysis of the predictive information of robust conditional volatility, skewness, and kurtosis for a large cross-section of cryptocurrency returns. Using portfolio sorts and Fama-MacBeth cross-sectional regressions, we find that robust volatility carries a significant negative premium: higher robust volatility is related to lower future cryptocurrency returns, especially for one-week ahead returns. This contrasts with the significant positive premium associated with robust skewness, especially for one-day ahead returns.
Author: Ruifeng Liu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We study the robust measure of higher moments and employ their predictive power for future financial returns. In Chapter 1, we propose a new quantile-based measure of kurtosis. Then in Chapters 2 and 3, we provide an empirical analysis of the predictive information of robust volatility, robust skewness, and robust kurtosis for the cross-section of international stock index returns and cryptocurrency returns, respectively. In Chapter 1, we introduce robust kurtosis, which is a new quantile-based measure for the kurtosis of financial returns that is robust to outliers. Robust kurtosis is equivalent to the traditional moment-based kurtosis for the normal distribution, whereas for fat-tailed distributions it converges to the moment-based measure as the return horizon increases. We assess its asymptotic properties as well as its finite-sample properties under different distributional specifications. In Chapter 2, we provide an empirical analysis of the predictive information of robust conditional kurtosis for a large cross-section of international stock index returns. Using portfolio sorts and Fama-MacBeth cross-sectional regressions, we find that robust kurtosis carries a significant negative premium: higher robust kurtosis is related to lower future stock returns, especially for developed markets. This contrasts with the significant positive premium associated with robust skewness, especially for emerging markets. In Chapter 3, we provide an empirical analysis of the predictive information of robust conditional volatility, skewness, and kurtosis for a large cross-section of cryptocurrency returns. Using portfolio sorts and Fama-MacBeth cross-sectional regressions, we find that robust volatility carries a significant negative premium: higher robust volatility is related to lower future cryptocurrency returns, especially for one-week ahead returns. This contrasts with the significant positive premium associated with robust skewness, especially for one-day ahead returns.
Author: Abdullah Al Masud
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
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Book Description
In this study, I show an e ect of the statistical fourth moment on stock returns. In the mean-variance framework, rational investors follow two strategies: optimize the mean-variance of return and diversify the portfolio. Regarding the first approach, investors intend to generate the maximum level of return while facing a constant level of risk (or, the standard deviation) of return. It is possible that form specific risk can be concentrated in the portfolio. However, diversification of the assets can eliminate that (idiosyncratic) risk from the portfolio. After a long period of time, in a diversified portfolio the shape of the return distribution appears to be peaked around the average value of the return compared with that of the typical shape of the return dis- tribution. If investors have a preference for skewness in their returns, they also can produce peakedness in the shape of the distribution. The statistical fourth moment (kurtosis) measures the magnitude of peakedness of the distribution. As the kurtosis of the distribution increases the distribution will appear more peaked. I find evidence that kurtosis positively and significantly predicts future stock returns over the period 1981-2011. The effect remains after controlling for other factors in multivariate regressions.
Author: Arthur Lyon Bowley
Publisher: Franklin Classics Trade Press
ISBN: 9780344299537
Category :
Languages : en
Pages : 404
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Book Description
This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Siu Hang Chan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper tests the explanatory and predictive power of realized volatility, skewness and kurtosis on the currencies' excess return. I use intraday data to calculate the realized high-order moments, and test if they are significant in explaining the excess return of current month, and if they help predicting the excess return of the next month. Using the Fama-MacBeth approach, I find that the market price of risk of realized kurtosis innovation is significantly negatively in cross sectional of excess return of both current and net period; and the results are robust across difference return frequency, and different model specification and are not explained by other factors. I also find a negative empirical relationship between realized kurtosis innovation and the currency excess return in the next month, and the trading strategies constructed accordingly has significant positive profit after considering bid-ask spread. These findings show that higher-order moments are significant state variable in asset pricing, forecasting, and also are useful information for constructing a profitable trading strategy.
Author: Andreas Fagereng
Publisher: International Monetary Fund
ISBN: 1484370066
Category : Business & Economics
Languages : en
Pages : 69
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Book Description
We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.
Author: Mathias Külpmann
Publisher: Springer Science & Business Media
ISBN: 3540247653
Category : Business & Economics
Languages : en
Pages : 233
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Book Description
Mathias Külpmann presents a framework to evaluate whether the stock market is in line with underlying fundamentals. The new and revised edition offers an up to date introduction to the controversy between rational asset pricing and behavioural finance. Empirical evidence of stock market overreaction are investigated within the paradigms of rational asset pricing and behavioural finance. Although this monograph will not promise the reader to become a millionaire, it offers a road to obtain a deeper understanding of the forces which drive stock returns. It should be of interest to anyone interested in what drives performance in the stock market.
Author: Thomas B. Fomby
Publisher: Emerald Group Publishing
ISBN: 1784411825
Category : Political Science
Languages : en
Pages : 772
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Book Description
This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.
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: 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: Cheng Few Lee
Publisher: World Scientific
ISBN: 9814480924
Category : Business & Economics
Languages : en
Pages : 235
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Book Description
News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University).Advances in Quantitative Analysis of Finance and Accounting, New Series is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. It is a forum for statistical and quantitative analyses of issues in finance and accounting, as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting, applied research in the financial community, and the accounting profession.
