Realized Moments Innovations and the Cross-Section of Stock Returns PDF Download
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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: 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: 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: Riccardo Rebonato
Publisher: John Wiley & Sons
ISBN: 0470091401
Category : Business & Economics
Languages : en
Pages : 864
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Book Description
In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author: Stijn Claessens
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
Several factors besides m ...
Author: Seema Rehman
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This study decomposes realized moments into high and low components and examines if the high minus low realized moment factors are helpful in explaining future stock returns. Tick by tick data is used to generate five minute returns for computing daily estimates of realized moments. Daily measures of realized moments are averaged for each firm to obtain weekly values resulting in 157,000 firm week observations. Realized moments' factors are incorporated as extensions to basic asset pricing models. Evidence from this paper suggests the role of realized moments in enhancing the step wise model development. To the best of authors' knowledge, this is the first study to analyze the role of realized moments in explaining stock returns, using high frequency data in the emerging stock market of Pakistan. This study may help investors and fund managers to employ best strategies to gain maximum return on their investment.
