Author: Yew Mun YipPublisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 526
Book Description
Predictability of Cross-sectional Expected Stock Returns
Author: Yew Mun YipPublisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 526
Book Description
Machine Learning for Asset Management
Author: Emmanuel JurczenkoPublisher: John Wiley & Sons
ISBN: 1786305445
Category : Business & Economics
Languages : en
Pages : 460
Book Description
This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.
Parallels between the Cross-Sectional Predictability of Stock and Country Returns
Author: Clifford S. AsnessPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Book-to-market ratio (BE/ME), market equity (ME), and one- year past return (momentum) (MOM) help explain the cross- section of expected individual stock returns within the U.S. and within other countries. Examining equity markets as a whole, in contrast to individual stocks, we uncover strong parallels between the explanatory power of these variables for individual stocks and for countries. First, country versions of BE/ME, ME, and MOM help explain the cross-section of expected country returns. Second, the January seasonal in ME's explanatory power for stocks also appears for countries. Third, portfolios formed by sorting stocks and countries on these variables produce similar patterns in profitability before and after the portfolio formation date.
Predictability and the Cross-section of Expected Returns
Author: Christian SchlagPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected returns by sorting stocks based on the sensitivity of expected returns to these quantities. Models with only one uncertainty-related state variable, like the habit model or the long-run risks model, cannot pass this test. However, even extensions with more state variables mostly fail. We derive conditions under which models would be able to produce expected return patterns in line with the data and discuss various examples.
Empirical Asset Pricing
Author: Turan G. BaliPublisher: 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.
Market Moment Spreads and the Cross Section of Expected Returns
Author: Xinfeng RuanPublisher:
ISBN:
Category :
Languages : en
Pages : 38
Book Description
In this paper, we extend the variance risk premium (VRP) in Bollerslev and Tauchen and Zhou (2009) into the moment spreads. Rather than analyzing the times-series market returns predictability, we newly investigate the predictability of market moment spreads in the cross section of expected returns, taking the case of the energy market. By using univariate and multivariate portfolio sorts, we find strong evidence that the kurtosis spread (KTS) has a significantly negative risk premium. The cross-sectional regressions document that there is a significantly negative relation between the KTS betas and the future energy stock returns. We cannot find supportive evidence that the VRP and the skewness spread (SKS) can predict the cross section of the future stock returns in the energy sector. Robustness tests further confirm our observations.
Complex Systems in Finance and Econometrics
Author: Robert A. MeyersPublisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919
Book Description
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Cross-sectional Variation of Measurement Error and Predictability of Earnings and Stock Returns
Author: Jung Hoon KimPublisher:
ISBN:
Category :
Languages : en
Pages : 69
Book Description
In capital markets research, market expectation of future earnings plays a vital role. However, almost all proxies inevitably measure the market expectation of future earnings with error, which results in unsatisfactory empirical outcomes in prior research (e.g., small empirical values of earnings response coefficient and poor quality estimates of expected rates of return). Using analysts' consensus forecasts, this study investigates how noisy measurement of the market expectation of future earnings affects the predictability of future earnings and stock returns. Based on the errors-in-variables approach, this study first provides a framework to capture cross-sectional variation of the measurement error in analysts' consensus forecasts. With this framework in place, this study documents that analysts' consensus forecasts with more measurement error have less ability to predict future earnings and stock returns, and that incorporating information about cross-sectional variation of the measurement error can improve the predictability of future earnings and stock returns. These findings will be useful to accounting research that relies on the market expectation of future earnings and to practitioners seeking to forecast profitability and stock returns.
Cross-sectional Predictability of Stock Returns
Author: Mensah LordPublisher:
ISBN: 9789089940445
Category :
Languages : en
Pages : 163
Book Description
Author: Mihai B. Ion