时间域和频率域中风险、回报和交易量之间的薄弱环节

Q4 Economics, Econometrics and Finance

Journal for Studies in Economics and Econometrics Pub Date : 2020-12-14 DOI:10.1080/03796205.2020.1919421

H. Dong, X. Guo

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引用次数: 0

摘要

摘要经典的投资组合理论认为，资产的高收益是由其所承担的高风险来证明的，并得到多因素横截面回归的支持。本文通过对罗素3000指数成分股的时间序列和频率变换进行研究，发现风险与收益、交易量与收益之间存在弱联系。只有1902%(13.45%)的成分具有显著的正(负)风险和回报关系。此外，只有7.66%(12.77%)的收益与交易量呈正相关(负相关)。我们使用交叉小波功率谱来提供关于弱环节的额外证据。横断面分析的结论可能会导致时间序列设置下的资产错配。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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WEAK LINKS AMONG RISK, RETURN AND VOLUME IN TIME AND FREQUENCY DOMAINS

Abstract The classical portfolio theory suggests that higher returns of an asset are justified by the higher risk it carries, supported by multi-factor cross-sectional regressions. By investigating the time series and frequency transformation of the Russell 3000 constituents, this study shows that there are weak links between risk and return, as well as trade volume and return. Only 19,02% (13,45%) constituents have significantly positive (negative) risk and return relationships. In addition, only 7,66% (12,77%) of the returns are positively (negatively) related to trade volume. We use the cross-wavelet power spectrums to provide additional evidence on the weak links. The conclusions from cross-sectional analysis might lead to the asset misallocation in a time series setting.

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来源期刊

Journal for Studies in Economics and Econometrics Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

0.80

自引率

0.00%

发文量

期刊介绍： Published by the Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch. Articles in the field of study of Economics (in the widest sense of the word).