An Analysis of the Beta Anomaly from an Idiosyncratic Volatility Perspective PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download An Analysis of the Beta Anomaly from an Idiosyncratic Volatility Perspective PDF full book. Access full book title An Analysis of the Beta Anomaly from an Idiosyncratic Volatility Perspective by Mark Matern. Download full books in PDF and EPUB format.
Author: Mark Matern Publisher: GRIN Verlag ISBN: 3668642265 Category : Business & Economics Languages : en Pages : 64
Book Description
Master's Thesis from the year 2017 in the subject Business economics - Investment and Finance, grade: 1,7, University of Mannheim, language: English, abstract: The foundation of this contribution will be the verification of the empirical results presented by Liu et al. (2017). We will start by summarizing their findings and explanations in Chapter 2 (Theoretical Background) and build the theoretical foundation upon which the empirical interpretation will rest. We actually view the compilation of the theoretical explanations in an intuitive line of reasoning as our first valuable contribution for our readers, as an understanding of the topic is not as easily to grasp after a first consultation of the papers. In Chapter 3 (Empirical Results) we address the actual calculations and most important summary statistics that will either speak in support or against our interpretations. In 3.1 (Data and Methodology), we present our dataset important technical notes and in Chapter 3.2 (The Beta Anomaly) we summarize and try to replicate the empirical findings of Liu et al. (2017), which will serve as the bedrock of interpretations we will arrive at in following pages. In Chapter 3.3 (Betting-against-Correlation) and its sub-sections on leverage, size and sentiment, we turn our attention to a paper by Asness et al. (2017) which contributed and responded to the findings of Liu et al. (2017), but with often diametrically contradicting views. The reference date of 2017 suggests that both papers belong to a highly new set of research and we believe that by covering those two and adding our own findings we can add significant clarity to actually understand what is going in the space of the beta anomaly. In Chapter 3.4 (BAB vs. BAI), we finalise the empirical analysis by contrasting opposing views on strategies that are designed to exploit the low-beta anomaly and realign the findings that we came across. We will summarize the newly gained insights for our readers in our last Chapter 4.
Author: Mark Matern Publisher: GRIN Verlag ISBN: 3668642265 Category : Business & Economics Languages : en Pages : 64
Book Description
Master's Thesis from the year 2017 in the subject Business economics - Investment and Finance, grade: 1,7, University of Mannheim, language: English, abstract: The foundation of this contribution will be the verification of the empirical results presented by Liu et al. (2017). We will start by summarizing their findings and explanations in Chapter 2 (Theoretical Background) and build the theoretical foundation upon which the empirical interpretation will rest. We actually view the compilation of the theoretical explanations in an intuitive line of reasoning as our first valuable contribution for our readers, as an understanding of the topic is not as easily to grasp after a first consultation of the papers. In Chapter 3 (Empirical Results) we address the actual calculations and most important summary statistics that will either speak in support or against our interpretations. In 3.1 (Data and Methodology), we present our dataset important technical notes and in Chapter 3.2 (The Beta Anomaly) we summarize and try to replicate the empirical findings of Liu et al. (2017), which will serve as the bedrock of interpretations we will arrive at in following pages. In Chapter 3.3 (Betting-against-Correlation) and its sub-sections on leverage, size and sentiment, we turn our attention to a paper by Asness et al. (2017) which contributed and responded to the findings of Liu et al. (2017), but with often diametrically contradicting views. The reference date of 2017 suggests that both papers belong to a highly new set of research and we believe that by covering those two and adding our own findings we can add significant clarity to actually understand what is going in the space of the beta anomaly. In Chapter 3.4 (BAB vs. BAI), we finalise the empirical analysis by contrasting opposing views on strategies that are designed to exploit the low-beta anomaly and realign the findings that we came across. We will summarize the newly gained insights for our readers in our last Chapter 4.
Author: Harry Markowitz Publisher: Yale University Press ISBN: 0300013728 Category : Business & Economics Languages : en Pages : 369
Book Description
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Author: Adam Zaremba Publisher: Springer ISBN: 3319915304 Category : Business & Economics Languages : en Pages : 325
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: Turan G. Bali Publisher: John Wiley & Sons ISBN: 1118589475 Category : Business & Economics Languages : en Pages : 512
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: Emmanuel Jurczenko Publisher: Elsevier ISBN: 0081008112 Category : Business & Economics Languages : en Pages : 488
Book Description
This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. - Contains up-to-date research from the areas of RBFI - Features contributions from leading academics and practitioners in this field - Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students
Author: Jon A. Christopherson Publisher: McGraw Hill Professional ISBN: 0071733183 Category : Business & Economics Languages : en Pages : 14
Book Description
Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Author: Halbert White Publisher: Oxford University Press, USA ISBN: 9780198296836 Category : Business & Economics Languages : en Pages : 512
Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author: W. Fong Publisher: Springer ISBN: 1137381736 Category : Business & Economics Languages : en Pages : 287
Book Description
Financial markets are growing in complexity, and there is an increased risk that investors are led to investment products and strategies they do not fully understand. The crisis-ridden decade of the 2000s is a stark reminder of how poorly managed finances can wreak havoc on household finances. Traditional finance assumes that all investors are risk-averse and require a risk premium from investing in risky assets such as stocks. However, recent developments in behavioural finance show that many individual investors often adopt strategies that lead to serious investment missteps, including over-investing in lottery-type stocks and securities. Lottery-type securities in fact attract investors who may be risk-seeking or are strongly influenced by cognitive biases ranging from overconfidence to being over-optimistic about future investment returns, especially during periods of high sentiment. Drawing on existing and new research, The Lottery Mindset summarizes the behavioural motivations and detrimental impact of investment strategies which are popular with individual investors. Wai-Mun Fong provides insight and guidance on behavioural biases, and successful investment. By both reviewing and contributing to exiting literature on this topic, this book will be of use to academics and general readers alike.
Author: Leonard Zacks Publisher: John Wiley & Sons ISBN: 1118127765 Category : Business & Economics Languages : en Pages : 352
Book Description
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Author: Mark Matern
Author: Mark Matern
Author: Harry Markowitz
Author: Adam Zaremba
Author: Turan G. Bali
Author: Emmanuel Jurczenko
Author: Jon A. Christopherson
Author: Vasant Naik
Author: Halbert White
Author: W. Fong
Author: Leonard Zacks