Is There a Latent Factor in Stock Returns? 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 Is There a Latent Factor in Stock Returns? PDF full book. Access full book title Is There a Latent Factor in Stock Returns? by Hayette Gatfaoui. Download full books in PDF and EPUB format.
Author: Hayette Gatfaoui Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
The measurement problems encountered while trying to exhibit the influence of market risk factor on asset returns may be numerous. It seems then difficult to highlight the unique common latent factor underlying stock return evolutions in the market. So far, excess return relationships are mainly and broadly considered. Moreover, basic and common studies require a market factor proxy (i.e., market portfolio benchmark). The chosen proxy usually impacts related results (see Roll [1977]). To bypass such problems, we resort to Kalman filtering methodology to exhibit the common latent factor underlying stock market returns. Of course, when this one exists.
Author: Hayette Gatfaoui Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
The measurement problems encountered while trying to exhibit the influence of market risk factor on asset returns may be numerous. It seems then difficult to highlight the unique common latent factor underlying stock return evolutions in the market. So far, excess return relationships are mainly and broadly considered. Moreover, basic and common studies require a market factor proxy (i.e., market portfolio benchmark). The chosen proxy usually impacts related results (see Roll [1977]). To bypass such problems, we resort to Kalman filtering methodology to exhibit the common latent factor underlying stock market returns. Of course, when this one exists.
Author: Mr.Marco Del Negro Publisher: INTERNATIONAL MONETARY FUND ISBN: 9781451860719 Category : Business & Economics Languages : en Pages : 0
Book Description
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by the extent to which firms operate across countries. We show that portfolios consisting of stocks with low exposures to country shocks achieve substantial variance reduction relative to the global market, both in- and out-of-sample. The shock exposures are thus a stock-selection device for international portfolio diversification.
Author: Nathaniel Light Publisher: ISBN: Category : Languages : en Pages : 70
Book Description
We propose a new approach for estimating expected returns on individual stocks from a large number of firm characteristics. We treat expected returns as latent variables and apply the partial least squares (PLS) estimator that filters them out from the characteristics under an assumption that the characteristics are linked to expected returns through one or few common latent factors. The estimates of expected returns constructed by our approach from twenty six firm characteristics generate a wide cross-sectional dispersion of realized returns and outperform estimates obtained by alternative techniques. Our results also provide evidence of commonality in asset pricing anomalies.
Author: Andrew Ang Publisher: Oxford University Press, USA ISBN: 0199959323 Category : Business & Economics Languages : en Pages : 717
Book Description
Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In this book, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent.
Author: John C. Loehlin Publisher: Psychology Press ISBN: 1135614342 Category : Business & Economics Languages : en Pages : 303
Book Description
This book introduces multiple-latent variable models by utilizing path diagrams to explain the underlying relationships in the models. This approach helps less mathematically inclined students grasp the underlying relationships between path analysis, factor analysis, and structural equation modeling more easily. A few sections of the book make use of elementary matrix algebra. An appendix on the topic is provided for those who need a review. The author maintains an informal style so as to increase the book's accessibility. Notes at the end of each chapter provide some of the more technical details. The book is not tied to a particular computer program, but special attention is paid to LISREL, EQS, AMOS, and Mx. New in the fourth edition of Latent Variable Models: *a data CD that features the correlation and covariance matrices used in the exercises; *new sections on missing data, non-normality, mediation, factorial invariance, and automating the construction of path diagrams; and *reorganization of chapters 3-7 to enhance the flow of the book and its flexibility for teaching. Intended for advanced students and researchers in the areas of social, educational, clinical, industrial, consumer, personality, and developmental psychology, sociology, political science, and marketing, some prior familiarity with correlation and regression is helpful.
Author: Martin Lettau Publisher: ISBN: Category : Assets (Accounting) Languages : en Pages : 31
Book Description
We propose a new method for estimating latent asset pricing factors that fit the time-series and cross-section of expected returns. Our estimator generalizes Principal Component Analysis (PCA) by including a penalty on the pricing error in expected returns. We show that our estimator strongly dominates PCA and finds weak factors with high Sharpe-ratios that PCA cannot detect. Studying a large number of characteristic sorted portfolios we find that five latent factors with economic meaning explain well the cross-section and time-series of returns. We show that out-of-sample the maximum Sharpe-ratio of our five factors is more than twice as large as with PCA with significantly smaller pricing errors. Our factors are based on only a subset of the stock characteristics implying that a significant amount of characteristic information is redundant.
Author: Hayette Gatfaoui
Author: Hayette Gatfaoui
Author: Mr.Marco Del Negro
Author: Nathaniel Light
Author: Robin Brooks
Author: Andrew Ang
Author: John C. Loehlin
Author: Diana Zhumabekova
Author: Richard Edgar Held
Author: Martin Lettau
Author: Vasant Naik