Robust-Hoo Forecasting and Asset Pricing Anomalies PDF Download

Author: Aaron Tornell
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Aaron Tornell
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 68

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Author: Aaron Tornell
Publisher:
ISBN:
Category :
Languages : en
Pages : 50

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Author: Keith P. Vorkink
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 392

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Author: Denys Maslov
Publisher:
ISBN:
Category :
Languages : en
Pages : 340

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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.

Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 546

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Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232

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The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Author: Wayne Ferson
Publisher: MIT Press
ISBN: 0262039370
Category : Business & Economics
Languages : en
Pages : 497

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Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Author: Leonard Zacks
Publisher: John Wiley & Sons
ISBN: 1118127765
Category : Business & Economics
Languages : en
Pages : 352

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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: Henry Saffer
Publisher:
ISBN:
Category : Advertising
Languages : en
Pages : 36

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The purpose of this paper is to empirically examine the relationship between alcohol advertising bans and alcohol consumption. Most prior studies have found no effect of advertising on total alcohol consumption. A simple economic model is provided which explains these prior results. The data set used in this study is a pooled time series of data from 20 countries over 26 years. The empirical model is a simultaneous equations system which treats both alcohol consumption and alcohol advertising bans as endogenous. The primary conclusions of this study are that alcohol advertising bans decrease alcohol consumption and that alcohol consumption has a positive effect on the legislation of advertising bans. The results indicate that an increase of one ban could reduce alcohol consumption by five to eight percent. The alcohol price elasticity is estimated at about .2. The results suggest that recent exogenous decreases in alcohol consumption will decrease the probability of enactment of new bans and undermine the continuance of existing bans. Canada, Denmark, New Zealand and Finland have recently rescinded alcohol advertising bans. Alcohol consumption in these countries may increase or decrease at a slower rate than would have occurred had advertising bans remained in place.