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Author: Cheekiat Low
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
Many financial decision-makers seem to regard risk as the variability of returns below some pre-specified target and treat above-target variability as a sweetener. The disutility from losses also appears to be larger than the utility from gains. Using some simple metrics of downside bearishness and upside bullishness constructed from semivariances, this paper tests for the empirical content of this asymmetry. Some of these simple metrics are priced in the U.S. stock market. In particular, exploring a composite metric of asymmetric risk reveals that non-linearity in the covariation of stock returns with bullish and bearish states of the market carries a significant price. Also, market premium for bearishness is larger in magnitude than that for bullishness, lending support to the existence of loss aversion in the aggregate. While small-cap stocks tend to be more bearish than bullish, the asymmetric risk effect is not spuriously driven by the size effect. Finally, some results consistent with an aymmetric-risk-based explanation for the puzzles of return momentum and reversal are presented.
Author: Cheekiat Low
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
Many financial decision-makers seem to regard risk as the variability of returns below some pre-specified target and treat above-target variability as a sweetener. The disutility from losses also appears to be larger than the utility from gains. Using some simple metrics of downside bearishness and upside bullishness constructed from semivariances, this paper tests for the empirical content of this asymmetry. Some of these simple metrics are priced in the U.S. stock market. In particular, exploring a composite metric of asymmetric risk reveals that non-linearity in the covariation of stock returns with bullish and bearish states of the market carries a significant price. Also, market premium for bearishness is larger in magnitude than that for bullishness, lending support to the existence of loss aversion in the aggregate. While small-cap stocks tend to be more bearish than bullish, the asymmetric risk effect is not spuriously driven by the size effect. Finally, some results consistent with an aymmetric-risk-based explanation for the puzzles of return momentum and reversal are presented.
Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28
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Book Description
Author: John M. Maheu
Publisher:
ISBN:
Category :
Languages : en
Pages : 13
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Book Description
This paper uses a Markov switching model which incorporates duration dependence to capture nonlinear structure in both the conditional mean and variance of stock returns. The model sorts returns into a high return stable state and a low return volatile state. We label these as bull and bear markets respectively. The filter identifies all major stock market downturns in over 160 years of monthly data. We find that both bear and bull markets have declining hazard functions. Despite the declining hazards, the best market gains come at the start of a bull market. Moreover, allowing the conditional mean and volatility to vary with duration captures volatility clustering.
Author: Shelly Howton
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Using the dual-beta model of Bhardwaj and Brooks (1993), thisstudy examines the cross-section of realized stock returns. Bull-market betas are significantly positively related to returns and, except for some models in January, bear-market betas are significantly negatively related to returns. These relationships are not lost even after other independent variables, including size, book-to-market equity, and an earnings-price ratio, are added to the cross-sectional regressions. Book-to-market equity is an important factor in bear, but not bull, markets. Size is important in January and bear markets during February through December.
Author: Beate Gansauge
Publisher: GRIN Verlag
ISBN: 363830194X
Category : Literary Collections
Languages : en
Pages : 24
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Book Description
Seminar paper from the year 2004 in the subject American Studies - Culture and Applied Geography, grade: 1,0 (A), Dresden Technical University (American Studies), language: English, abstract: This paper aims to collect opinions on the development of the stock markets since the 1990s. People from varying fields and backgrounds have written about the recent situation of the economy. First, there are economists like Yale professor Robert J. Shiller, whose book Irrational Exuberance coincided with the bursting of the bubble in 2000. Then there is political analyst Kevin Phillips who reconstructs and discusses the boom and decline of the markets in a political and historical context in Wealth and Democracy: A Political History of the American Rich, or radical journalist Alexander Cockburn whose articles for publications like The New York Press and The Nation focus on the aspects of corporate fraud and the politics behind the market dilemma. Others, like financial economists Robert E. Hall and Alan Reynolds reject the idea of bubbles and argue that the recent decline of the stock markets is merely part of a normal economy cycle that may be derived from historical context as well as from mathematical equation.
Author: Wen-Ling Lin
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 54
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Book Description
This paper investigates empirically how returns and volatilities of stock indices are correlated between Tokyo and New York. Intradaily data are used, so that daytime and overnight returns are defined for both markets. Tokyo daytime hours overlap with New York overnight hours, while New York daytime hours overlap with Tokyo overnight hours. We find that in general Tokyo (Mew York) daytime returns are significantly correlated with New York (Tokyo) overnight returns. This suggests that information revealed during the trading hours of one market has a global impact on the returns of the other market. One exception is that after the October 1987 Crash, the Tokyo overnight returns were not significantly affected by New York daytime returns. We propose and estimate a signal extraction model with GARCH processes to determine the global factor from daytime returns. This is the problem of setting the opening price of a domestic market conditional on the foreign daytime returns. We also investigate lagged return and volatility spillovers. Except for a lagged return spillover from New York to Tokyo for the period after the Crash, there are no significant lagged spillovers in returns or in volatilities.
Author: Stijn Claessens
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
Several factors besides m ...
Author: J. Benson Durham
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 60
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Book Description
Author: Wen-Ling Lin
Publisher:
ISBN:
Category :
Languages : es
Pages : 37
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Book Description
Author: Anthony Gallea
Publisher: Prentice Hall Press
ISBN:
Category : Investments
Languages : en
Pages : 280
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Book Description
Bulls Make Money, Bears Make Money, Pigs Get Slaughtered provides easy-to-read, solid investment advice organized around maxims that have endured and become timeless touchstones that, if followed, perform over time. Starting with his very personal prologue, "A True Tale of Woe," Gallea takes readers along as he revisits these market truths, extracting lessons for today's investor.
