![Robust-[H-infinity] Forecasting and Asset Pricing Anomalies PDF](https://books.google.com/books/content/images/frontcover/mkn6PgAACAAJ?fife=w150-h200)
Author: Aaron TornellPublisher:
ISBN:
Category :
Languages : en
Pages : 50
Book Description
Robust-[H-infinity] Forecasting and Asset Pricing Anomalies
![Robust-[H-infinity] Forecasting and Asset Pricing Anomalies PDF](https://books.google.com/books/content/images/frontcover/mkn6PgAACAAJ?fife=w80-h100)
Author: Aaron TornellRobust-H forecasting and asset pricing anomalies
Author: Aaron TornellRobust-H Forecasting and Asset Pricing Anomalies
Author: Aaron TornellPublisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 68
Book Description
Robust-Hoo Forecasting and Asset Pricing Anomalies
Author: Aaron TornellRobust Estimation Techniques Can Help Explain Asset Pricing Anomalies
Author: Keith P. VorkinkPublisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 392
Book Description
The Market Anomaly "Size Effect". Literature Review, Key Theories and Empirical Methods
Author: Arthur RitterPublisher: GRIN Verlag
ISBN: 3656972001
Category : Business & Economics
Languages : en
Pages : 14
Book Description
Essay from the year 2014 in the subject Business economics - Business Management, Corporate Governance, grade: 16 (1,7), University of St Andrews (School of Management), course: Research Methods for Finance and Management, language: English, abstract: The size effect is a market anomaly in asset pricing according to the market efficiency theory. According to the current body of research, market anomalies arise either because of inefficiencies in the market or the underlying pricing model must be flawed. Anomalies in the financial markets are typically discovered form empirical tests. These tests usually rely jointly on one null hypothesis H0= markets are efficient AND they perform according to a specified equilibrium model (usually CAPM). Thus, if the empirical study rejects the H0, the reason could either be due to market inefficiency or due to the incorrect model. Market efficiency theory says that the price of an asset fully reflects all current information and is not predictable (Fama 1970). Fama (1997) states that market anomalies, even long‐term anomalies, are not an indicator for market inefficiencies due to the reason that they randomly split between “underreaction and overreaction, (so) they are consistent with market efficiency” (p. 284), they happen by chance and it is always possible to beat the market by chance. This essay will give an overview of the literature of the size effect and will stress the key theories, empirical methods and findings, as well as the existing body of research about this particular anomaly.
Asset Pricing Anomalies : Persistence, Aggregation, and Monotonicity
Author: Denys MaslovPublisher:
ISBN:
Category :
Languages : en
Pages : 340
Book Description
In Chapter 1, I investigate whether returns of strategies based on asset pricing anomalies exhibit time series persistence which can be attributed to flow-induced trading by mutual funds. I find persistence for thirteen characteristics, which is statistically significant for five including size, corporate investment, and bankruptcy likelihood. The persistence is not explained by individual stock momentum and is not limited to certain calendar months. The return predictability can be used to construct new trading strategies, which on average earn 4.5% annually. A price pressure measure of mutual fund flow-driven trading explains a substantial part of the strategy performance persistence. In Chapter 2, we propose a new approach for estimating expected returns on individual stocks from firm characteristics. We treat expected returns as latent variables and develop a procedure that filters them out using the characteristics as signals and imposing restrictions implied by a one factor asset pricing model. The estimates of expected returns obtained by applying our method to thirteen asset pricing anomalies generate a wide cross-sectional dispersion of realized returns. Our results provide evidence of strong commonality in the anomalies. The use of portfolios based on the filtered expectations as test assets increases the power of asset pricing tests. In Chapter 3, we examine the sensitivity of fourteen asset pricing anomalies to extreme observations using robust regression methods. We find that although all anomalies except size are strong and robust for stocks with presumably low returns, most of them are sensitive to individual influential observations for stocks with presumably high returns. For some anomalies, extreme observations distort regression results for all stocks and even portfolio returns. When the impact of such observations is mitigated, eight anomalies become positively related to expected returns for stocks with low characteristics meaning that these anomalies have an inverted J-shaped form. Chapter 4 concludes by summarizing the main contributions of three chapters and their implications.
Bank of Finland Discussion Papers
Author: Asset Pricing Models and Financial Market Anomalies
Author: Doron AvramovPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This article develops a framework that applies to single securities to test whether asset pricing models can explain the size, value, and momentum anomalies. Stock level beta is allowed to vary with firm-level size and book-to-market as well as with macroeconomic variables. With constant beta, none of the models examined capture any of the market anomalies. When beta is allowed to vary, the size and value effects are often explained, but the explanatory power of past return remains robust. The past return effect is captured by model mispricing that varies with macroeconomic variables.
Dynamic Asset (mis)pricing
Author: Jules H. van BinsbergenPublisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 69
Book Description
We classify asset pricing anomalies into those that exacerbate mispricing (build-up anomalies) and those that resolve it (resolution anomalies). To this end, we estimate the dynamics of price wedges for a large number of well-known anomaly portfolios in the factor zoo and map them to firm-level mispricings. We find that several prominent anomalies like momentum and profitability further dislocate prices. While mispricing buildup is often quick, the subsequent resolution tends to be slow, suggesting the potential for material real economic consequences. Our results suggest that financial intermediaries chasing build-up anomalies in fact negatively affect price efficiency and associated real capital allocation.