Results 41 to 50 of about 299,746 (223)
Estimating background risk hedging demands from cross‐sectional data
Journal of Financial Research, EarlyView.Abstract Based on a theory of portfolio choice with non‐tradable assets, we estimate hedging demands due to background risks before and after the Great Recession for U.S households. Hedging demands related to human capital, residential property and business assets reduce financial risk‐taking, but these effects decline over the Great Recession, as does
James Brugler +2 more
wiley +1 more source
Improving momentum returns using generalized linear models
International Review of Finance, Volume 25, Issue 2, June 2025.Abstract We estimate the enduring momentum probabilities of past winners and losers continuing as future winners and losers by incorporating a comprehensive set of firm characteristics. Our results reveal that combining the price momentum signals and enduring momentum probabilities generates returns double those of the traditional price momentum ...
Hui Zeng +3 more
wiley +1 more source
Cogent Economics & Finance, 2020 This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and conditional alpha sub-samples in Vietnam stock market covering the period from January 2008 to December 2018.
Xuan Vinh Vo +2 more
doaj +1 more source
f-Betas and Portfolio Optimization with f-Divergence induced Risk Measures [PDF]
arXiv, 2023 In this paper, we build on using the class of f-divergence induced coherent risk measures for portfolio optimization and derive its necessary optimality conditions formulated in CAPM format. We derive a new f-Beta similar to the Standard Betas and also extended it to previous works in Drawdown Betas.
arxiv
Explaining and Predicting Momentum Performance Shifts Across Time and Sectors
Journal of Forecasting, Volume 44, Issue 3, Page 960-977, April 2025.ABSTRACT In this paper, we analyze the momentum of the NASDAQ and its major sectoral components across an extended period of key economic events, which include recessions, expansions, wars, financial crises, and the Covid‐19 health crisis. We seek to explain how momentum works as an investment strategy during different economic conditions and whether ...
Konstantinos Mamais +2 more
wiley +1 more source
REGE Revista de Gestão, 2007 Nas últimas décadas, o modelo CAPM tem despertado grande interesse na comunidade científica. Apesar das críticas, o aprimoramento do CAPM estático, que dá origem a novos modelos dinâmicos, traz maior segurança para o investidor ao longo do ciclo de ...
Elmo Tambosi Filho +2 more
doaj
Investigating the volatility, upside risk, downside risk and Capital Asset Pricing Model: Evidences from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2010 Modern Portfolio Theories are based on Markowitz’s portfolio optimization model that involves the assumption of Mean Variance Behavior and therefore require the asymmetry and normality of returns.
Mohsen Sadeghi +2 more
doaj
Journal of Applied Econometrics, Volume 40, Issue 3, Page 325-340, April/May 2025.ABSTRACT Quantile regression provides a powerful tool for investigating the effects of covariates on key quantiles of a conditional distribution. However, we often lack a general picture of how covariates affect the overall shape of the conditional distribution.
Qiang Chen, Zhijie Xiao
wiley +1 more source
EPS‐motivated share repurchases and wealth transfer
Journal of Business Finance &Accounting, Volume 52, Issue 2, Page 722-749, April 2025.Abstract We study the association between earnings‐per‐share (EPS)‐motivated share repurchases and wealth transfer between the repurchasing firm's ongoing shareholders and selling/transacting shareholders. Compared to other repurchases, EPS‐accretive repurchases are associated with greater wealth transfer from ongoing to selling shareholders, thereby ...
Christina Mashruwala, Shamin Mashruwala
wiley +1 more source
Contagion and downside risk in the REIT market during the subprime mortgage crisis
International Journal of Strategic Property Management, 2015 This study empirically tests the contagion effects in stock and real estate investment trust (REIT) markets during the subprime mortgage crisis by using daily stock- and REIT-markets data from the following countries and international bodies: the United ...
Ming-Chi Chen +3 more
doaj +1 more source