Long-range dependence and asset return anomaly

IF 4.4 3区管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Annals of Operations Research Pub Date : 2024-11-20 DOI:10.1007/s10479-024-06376-9

Yun Xiang, Shijie Deng

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引用次数: 0

Abstract

We investigate the significance of long-range dependence effect of asset prices in forecasting asset returns. By modeling asset price dynamics as a fractional Brownian motion process and using the corresponding Hurst parameter as a proxy to the long-range dependence of prices, a long-range dependence factor is constructed as the Hurst parameters estimated from daily logarithm returns of assets. Portfolio-level analysis and firm-level cross-sectional regressions reveal an abnormally negative returns associated with the long-range dependence factor, which is statistically significant. Specifically, a long-short strategy formed by sorting stocks with respect to the estimated Hurst parameters and then longing/shorting stocks in the lowest/highest deciles offers a \(13.13\%\) return per annum after accounting for transaction costs. The predictive regression method confirms that there is an anomalous return associated with the long-range dependence factor. Such anomalous returns is not explained by the identified risk factors in the existing literature and it is robust with respect to factor construction and portfolio formation parameters.

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长期依赖与资产回报异常

研究了资产价格的长期依赖效应在预测资产收益中的意义。通过将资产价格动态建模为分数布朗运动过程，并使用相应的Hurst参数作为价格长期依赖性的代理，构建了一个长期依赖性因子，作为从资产的日对数收益估计的Hurst参数。投资组合水平的分析和公司水平的横截面回归表明，长期依赖因子与异常负收益相关，这在统计学上是显著的。具体来说，通过根据估计的赫斯特参数对股票进行排序，然后在最低/最高十分位数做多/做空股票，形成的多空策略在考虑交易成本后，每年的回报率为\(13.13\%\)。预测回归方法证实存在与长程依赖因子相关的异常回归。这种异常收益不能用现有文献中确定的风险因素来解释，并且在因素构建和投资组合形成参数方面具有鲁棒性。

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来源期刊

Annals of Operations Research 管理科学-运筹学与管理科学

CiteScore

7.90

自引率

16.70%

发文量

596

审稿时长

8.4 months

期刊介绍： The Annals of Operations Research publishes peer-reviewed original articles dealing with key aspects of operations research, including theory, practice, and computation. The journal publishes full-length research articles, short notes, expositions and surveys, reports on computational studies, and case studies that present new and innovative practical applications. In addition to regular issues, the journal publishes periodic special volumes that focus on defined fields of operations research, ranging from the highly theoretical to the algorithmic and the applied. These volumes have one or more Guest Editors who are responsible for collecting the papers and overseeing the refereeing process.