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Results 11 - 20
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83
Asset Pricing Tests Using Random Portfolios
, 2012
"... Results from two-stage asset pricing tests vary with first-stage design choices and test assets. First, I argue that time-varying betas have higher construct validity than constant loadings as they are not conditional on future (returns) information and more accurately capture time-varying expected ..."
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returns. Second, randomly generated portfolios as test assets yield, in contrast to the systematically formed portfolios in the literature, implied factor premia that are consistent with a reduction in measurement error and robust to the arbitrary level of aggregation. Third, the market and HML factor
© 2012 INFORMS The Accrual Anomaly: Risk or Mispricing?
"... We document considerable return comovement associated with accruals after controlling for other commonfactors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational frictionle ..."
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We document considerable return comovement associated with accruals after controlling for other commonfactors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational
Asset Pricing Tests Using Realized Returns
, 2012
"... Results from two-stage (cross-sectional) asset pricing tests vary with first-stage design choices and the test assets employed. First, I argue that time-varying loadings have higher construct validity as explanatory variables for the current expected return in that they do not contain future informa ..."
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in measurement error and robust to the arbitrary level of aggregation. Third, firm-level results on the market factor and HML factor are particularly dependent on the distinction between explaining contemporaneous returns and predicting future returns.
Master Essay Asset-Specific and Systematic Liquidity on the Swedish Stock Market
"... This essay studies the effect of liquidity on stock returns on the Swedish stock market. Liquidity is addressed both as a market risk factor and an asset characteristics. We use the relative bid-ask spread as a proxy for liquidity level. The aggregate liquidity factor Illiquid-Minus-Liquid is constr ..."
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-Minus-Liquid is constructed in a similar way to Fama-French SMB and HML factors. Using monthly time-series regressions on the three-factor Fama-French model and the four-factor model including aggregate liquidity, we find that liquidity is priced as a systematic source of risk on the Swedish stock market. Moreover, monotonic
Volatility Pricing in the Stock and Treasury Markets
, 2009
"... An asset’s sensitivity to stock market volatility carries a significant risk premium across both equity and fixed income markets. Large-cap and growth stocks have less exposure to volatility risk. Their relatively greater ability to weather volatility surprises, such as those often associated with f ..."
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Cited by 2 (0 self)
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that incorporate stock market volatility risk should provide more accurate models of expected returns for bonds. My novel three-factor model with market return, a volatility surprise factor, and the HML factor dominates the Fama-French three-factor model at estimating the cross-section of expected returns
CashFlow Risk, Discount Risk, and the Value Premium.” National Bureau of Economic Research Working Paper 11816
"... Abstract A habit persistence, general equilibrium model with multiple assets matches both the time series properties of the market portfolio and the cross-sectional predictability of returns on price sorted portfolios, the value premium. Consistent with empirical evidence, the model shows that (a) ..."
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Cited by 3 (0 self)
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rationalizes why the conditional CAPM and a Fama and French (1993) HML factor outperform the unconditional CAPM. * We thank seminar participants at Carnegie Mellon, UCLA, Princeton University, The Federal Reserve Bank of New York, Columbia Business School, London Business School, London School of Economics
Strctural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios
, 2005
"... We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper, we point to structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market portfolio and ..."
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We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper, we point to structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market portfolio
Portfolio Optimization Under Asset Pricing Anomalies ∗
, 2001
"... Fama and French (1993) find that the SMB and the HML factors explain much of the cross-section stock returns that are unexplained by the CAPM, whereas Daniel and Titman (1997) show that it is the characteristics of the stocks that are responsible rather than the factors. But both arguments are large ..."
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Fama and French (1993) find that the SMB and the HML factors explain much of the cross-section stock returns that are unexplained by the CAPM, whereas Daniel and Titman (1997) show that it is the characteristics of the stocks that are responsible rather than the factors. But both arguments
DYNAMIC HEDGING OF COPPER OPTIONS OBJECTIVES OF THE STUDY
, 2009
"... The objective of this thesis is to study the pricing of copper options by comparing the premiums of traded options and delta hedging cost. Furthermore, this thesis analyzes the profits of using options in the copper price risk management of an industrial company that uses copper as a raw material. D ..."
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on simultaneous copper returns to account for systematic bias in the hedge ratios. The returns are also analyzed against the performance of the S&P 500 Composite Index, the US Government Bond Index, the GSCI, as well as the SMB and HML factors. The profitability of using traded options in risk management
A genetic screen for ribosomal DNA silencing defects identifies multiple DNA replication and chromatin-modulating factors
- Mol Cell Biol
, 1999
"... Transcriptional silencing in Saccharomyces cerevisiae occurs at several genetic loci, including the ribosomal DNA (rDNA). Silencing at telomeres (telomere position effect [TPE]) and the cryptic mating-type loci (HML and HMR) depends on the silent information regulator genes, SIR1, SIR2, SIR3, and SI ..."
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Cited by 44 (3 self)
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Transcriptional silencing in Saccharomyces cerevisiae occurs at several genetic loci, including the ribosomal DNA (rDNA). Silencing at telomeres (telomere position effect [TPE]) and the cryptic mating-type loci (HML and HMR) depends on the silent information regulator genes, SIR1, SIR2, SIR3
Results 11 - 20
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83
