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The Non-Linear Trade-Off Between Return and Risk and Its Determinants 收益与风险的非线性权衡及其决定因素
ERN: Stock Market Risk (Topic) Pub Date : 2019-11-01 DOI: 10.2139/ssrn.2513282
J. Cotter, E. Salvador
{"title":"The Non-Linear Trade-Off Between Return and Risk and Its Determinants","authors":"J. Cotter, E. Salvador","doi":"10.2139/ssrn.2513282","DOIUrl":"https://doi.org/10.2139/ssrn.2513282","url":null,"abstract":"We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of stocks from July 1963 to September 2017. We find the relationship between return and risk to be time-varying and also dependent on the level of risk considered. The proposed positive trade-off is mainly observed during low volatility periods and when we move from low risk up to medium-high risk investments. However, the direction of the trade-off is inverted for the highest risk alternatives especially during high volatility periods. The temporal variation of the risk-return trade-off can be explained by a series of sentiment, macro, credit risk, liquidity and corporate variables. All these determinants suggest that the positive relationship between return and risk is more evident during periods where economic, financial and market conditions improve.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"53 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86843245","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Risky Short Positions and Investor Sentiment: Evidence from the Weekend Effect in Futures Markets 高风险空头头寸与投资者情绪:来自期货市场周末效应的证据
ERN: Stock Market Risk (Topic) Pub Date : 2019-10-07 DOI: 10.2139/ssrn.2433233
Vijay Singal, Jitendra Tayal
{"title":"Risky Short Positions and Investor Sentiment: Evidence from the Weekend Effect in Futures Markets","authors":"Vijay Singal, Jitendra Tayal","doi":"10.2139/ssrn.2433233","DOIUrl":"https://doi.org/10.2139/ssrn.2433233","url":null,"abstract":"Theoretical predictions and empirical results are ambiguous about the effect of short sale constraints on security prices. Since these constraints cannot be eliminated in equity markets, we use trades from futures markets where there is no distinction between short and long positions. We find that even with frictionless short selling, there is an upward bias in prices around weekends. The bias is stronger in periods of high volatility when short sellers are unwilling to accept higher levels of risk. On the other hand, riskiness of long positions does not seem to have a similar impact on prices. Thus, evidence in the paper shows that security prices may be biased upwards even without constraints on short selling due to asymmetric risk of short and long and positions.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90824748","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Large Blockholders and Stock Price Crash Risk 大股东与股价崩盘风险
ERN: Stock Market Risk (Topic) Pub Date : 2019-07-25 DOI: 10.2139/ssrn.3428929
Nicolas Eugster
{"title":"Large Blockholders and Stock Price Crash Risk","authors":"Nicolas Eugster","doi":"10.2139/ssrn.3428929","DOIUrl":"https://doi.org/10.2139/ssrn.3428929","url":null,"abstract":"This paper examines the relationship between large blockholders and stock price crash risk for the entire population of non-financial companies listed on the Swiss Exchange for the period 2003-2016. The results show that firms held by a large blockholder have a lower firm-specific crash risk than widely held firms, and the higher the proportion of voting rights, the lower the crash risk. These findings hold after taking into consideration several firm characteristics and potential endogeneity concerns. Further analysis reveals that the mitigating effect of large blockholders on crash risk is stronger in firms held by the founding family, the state or another financial company. Overall, the evidence suggests that large shareholders serve as monitors in the company and help reducing bad news concealment, leading to lower stock price crash risk.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"380 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76580018","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Consignment Inventory Simulation Model for Single Vendor-Multi Buyers in a Supply Chain 供应链中单供应商-多买家寄售库存仿真模型
ERN: Stock Market Risk (Topic) Pub Date : 2019-04-30 DOI: 10.34218/ijaret.10.2.2019.033
C. Srinivas
{"title":"Consignment Inventory Simulation Model for Single Vendor-Multi Buyers in a Supply Chain","authors":"C. Srinivas","doi":"10.34218/ijaret.10.2.2019.033","DOIUrl":"https://doi.org/10.34218/ijaret.10.2.2019.033","url":null,"abstract":"The focus on the studies of supply chain management has been increasing in recent years among academics as well as practitioners. In this paper, we present an extendable multi agent supply chain simulation model for consignment stock inventory model for a single vendor - multiple buyers. The simulation study dealt the quantitative measures of performance of consignment stock model with respect to number of shipments, delay deliveries, number of shipments shifted due to partial information sharing, average inventory levels of buyer and vendor and joint total economic cost (JTEC) as key performance parameters. Flexsim V3.0 a discrete event simulation software is used for simulating the model.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89986802","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing 贝塔系数的长期和短期成分:对股票定价的影响
ERN: Stock Market Risk (Topic) Pub Date : 2018-11-12 DOI: 10.2139/ssrn.3046548
Hossein Asgharian, C. Christiansen, A. Hou, Weining Wang
{"title":"Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing","authors":"Hossein Asgharian, C. Christiansen, A. Hou, Weining Wang","doi":"10.2139/ssrn.3046548","DOIUrl":"https://doi.org/10.2139/ssrn.3046548","url":null,"abstract":"We propose a new model that estimates the long- and short-run components of the variances and covariances. The advantage of our model to the existing DCC-based models is that it uses the same form for both the variances and covariances and that it estimates these moments simultaneously. We apply this model to obtain long- and short-run factor betas for industry test portfolios, where the risk factors are the market, SMB, and HML portfolios. We use these betas in cross-sectional analysis of the risk premia. Among other things, we find that the risk premium related to the short-run market beta is significantly positive, irrespective of the choice of test portfolio. Further, the risk premia for the short-run betas of all the risk factors are significant outside recessions.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"120 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75606379","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Momentum Strategies: Profitability and Evaluation of Explanations on the Tunisian Market 动量策略:赢利能力和突尼斯市场解释的评价
ERN: Stock Market Risk (Topic) Pub Date : 2016-12-10 DOI: 10.2139/ssrn.2883653
S. Azri, Ezzeddine Abaoub
{"title":"Momentum Strategies: Profitability and Evaluation of Explanations on the Tunisian Market","authors":"S. Azri, Ezzeddine Abaoub","doi":"10.2139/ssrn.2883653","DOIUrl":"https://doi.org/10.2139/ssrn.2883653","url":null,"abstract":"We examine the profitability of momentum strategies in the Tunisian stock market over the period (January 1998-December 2007). We adopt the methodology of Jegadeesh and Titman (1993). The results show that momentum strategies are profitable. We use the methodology of Lo and Mackinlay (1990) and the methodology of Jegadeesh and Titman (1995) to decompose the profits. The results confirm the hypothesis of risk’s recompense of profits. The profitability of momentum strategies not implies the inefficiency of stock market. It than implies the failure of stock pricing model. However, we find that the addition of the momentum factor and a sentiment variable to three factor model of Fama and French, improves the chronological description of portfolio returns.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"55 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85733057","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Measuring Risk with COGARCH(p,q) Models 用COGARCH(p,q)模型测量风险
ERN: Stock Market Risk (Topic) Pub Date : 2016-10-15 DOI: 10.2139/ssrn.2852858
F. Bianchi, L. Mercuri, Edit Rroji
{"title":"Measuring Risk with COGARCH(p,q) Models","authors":"F. Bianchi, L. Mercuri, Edit Rroji","doi":"10.2139/ssrn.2852858","DOIUrl":"https://doi.org/10.2139/ssrn.2852858","url":null,"abstract":"In this paper we introduce a multivariate Independent Component COGARCH(p,q) model for financial time series. We determine optimal portfolio weights obtained as a solution of different static asset allocation problems. Empirical analysis is conducted on two datasets. The first is composed by 154 European hedge funds tracking the performance of the FTSE100 Index while the second contains the members of FTSE100. The performances of different strategies are investigated from an out-of-sample perspective.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"81 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86854447","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets 围绕宏观经济新闻公告的市场质量:来自美国和加拿大市场的证据
ERN: Stock Market Risk (Topic) Pub Date : 2016-09-12 DOI: 10.2139/ssrn.2867167
Bart Frijns, Ivan Indriawan, A. Tourani-Rad, Y. Tse
{"title":"Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets","authors":"Bart Frijns, Ivan Indriawan, A. Tourani-Rad, Y. Tse","doi":"10.2139/ssrn.2867167","DOIUrl":"https://doi.org/10.2139/ssrn.2867167","url":null,"abstract":"We investigate changes in market quality in the United States and Canada during macroeconomic news announcements. We measure market quality in terms of the cost of trading, pricing errors, and returns dependence. Using a sample of cross-listed stocks and stock index futures, we provide robust evidence that market quality is higher in the United States than in Canada. We observe that, around announcement periods, transaction costs increase more in Canada than in the United States, suggesting that the US market offers better liquidity. More information is also incorporated into the US market. The pattern of intraday serial dependence in returns reveals that it takes investors about five minutes less to react to order imbalances in the United States than in Canada. The differences between the US and Canadian results using index futures are generally more significant than those based on cross-listed stocks, indicating that index futures are better than stocks at providing market-wide information.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87950543","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Global Bad and Good Uncertainties and Their Impact on Macro Aggregates and Stock Returns 全球好坏不确定性及其对宏观总量和股票收益的影响
ERN: Stock Market Risk (Topic) Pub Date : 2016-05-23 DOI: 10.2139/ssrn.2725074
Michael Semenischev
{"title":"Global Bad and Good Uncertainties and Their Impact on Macro Aggregates and Stock Returns","authors":"Michael Semenischev","doi":"10.2139/ssrn.2725074","DOIUrl":"https://doi.org/10.2139/ssrn.2725074","url":null,"abstract":"This paper estimates global bad and good uncertainties from monthly data on industrial production from a large set of countries. Bad and good uncertainties have opposite effects on macro aggregates and stock returns. An increase in bad uncertainty adversely impacts both, while an increase in good uncertainty has positive effects. This holds for many considered countries. Furthermore, global uncertainties help to explain stock returns in the cross-section. The pricing performance of the global CAPM and two-factor model of Fama and French (1998) always improve if the pricing factors are scaled with global uncertainties. Bad uncertainty is important in conomic distress times. In contrast, good uncertainty helps to explain returns in calm times. Overall, the results highlight the opposite effect of bad and good uncertainty and show that both are key drivers of real economies and financial markets.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"34 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74800686","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Investing in Global Equity Markets with Particular Emphasis on Chinese Stocks 投资全球股票市场，尤其关注中国股票
ERN: Stock Market Risk (Topic) Pub Date : 2016-01-20 DOI: 10.2139/SSRN.2744304
J. Guerard, Shijie Deng, Robert A. Gillam, H. Markowitz, Ganlin Xu, Ziwei Wang
{"title":"Investing in Global Equity Markets with Particular Emphasis on Chinese Stocks","authors":"J. Guerard, Shijie Deng, Robert A. Gillam, H. Markowitz, Ganlin Xu, Ziwei Wang","doi":"10.2139/SSRN.2744304","DOIUrl":"https://doi.org/10.2139/SSRN.2744304","url":null,"abstract":"In this analysis of the risk and return of stocks in global markets, we build several models of stock selection and create optimized portfolios to outperform a global benchmark. We apply several applications of robust regression techniques in producing stock selection models and several Markowitz-based optimization techniques in portfolio construction in various global stock universes. We test separate Japanese and Chinese stock selection models because they are large markets, with large global benchmark weights or are frequently in the news. We find that (1) that robust regression applications are appropriate for modeling stock returns in global markets; and (2) mean-variance techniques continue to produce portfolios capable of generating excess returns above transactions costs; and (3) our models pass data mining tests such that the models produce statistically significant asset selection. We estimate expected return models in a global equity markets using a given stock selection model and generate statistically significant active returns from various portfolio construction techniques.","PeriodicalId":11800,"journal":{"name":"ERN: Stock Market Risk (Topic)","volume":"221 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76675000","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
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