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1.
Return enhancement trading strategies for size based portfolios 总被引:1,自引:1,他引:0
Recent theoretical work suggests that definitions of market efficiency that allow for the possibility of time-varying risk-premia
will generally lead to return sign predictability. Consistent with this theory, we show that a logit model based on the lagged
value of the market risk premium is useful for successfully predicting the return sign for CRSP small decile portfolio returns,
but not large ones. We additionally employ this model in market timing simulations of micro-cap mutual funds in which investment
can actually be made. The results indicate that a market-timing strategy based on our return-sign forecasting model outperforms
a buy-and-hold strategy for 13 of 14 micro-cap funds studied. On average, the buy-and-hold strategy produces an average compound
return of 11.98% per annum versus an average of 16.60% for the market-timing strategy. Nevertheless, trading restrictions
make the return-sign forecasting model more practical to employ by the micro-cap fund portfolio manager rather than the individual
fund investor.
相似文献
Bruce G. ResnickEmail: |
2.
Francis In Sangbae Kim Vijaya Marisetty Robert Faff 《Review of Quantitative Finance and Accounting》2008,31(1):55-70
We propose a new approach for investigating the performance of managed funds using wavelet analysis and apply it to an Australian
dataset. This method, applied to a multihorizon Sharpe ratio, shows that the wavelet variance at the short scale is higher
than that of the longer scale, implying that an investor with a short investment horizon has to respond to every fluctuation
in the realized returns, while for an investor with a much longer horizon, the long-run risk associated with unknown expected
returns is not as important as the short-run risk. Using multihorizon Sharpe ratios of six groups of managed funds, we find
that none of the fund groups are dominant over all time scales.
相似文献
Robert Faff (Corresponding author)Email: |
3.
Motivated by the surge in popularity of passive hedge fund investments, the present article discusses the concept of “alternative
beta” and its implications for the hedge fund industry. The article covers a variety of topics, ranging from the basic rationale
for hedge fund replication to replication methodologies and products to the academic and financial market environment. We
find that with their radical departure from the hedge fund hallmark of alpha delivery, passive replication products represent
the next generation of hedge fund investing, and offer the catalyst for further development of the matured hedge fund industry.
Further, we show how the alternative beta concept contributes to a proper separation of alpha, and thus enhances the overall
efficiency and quality of hedge fund returns. The article also demonstrates that hedge fund replication can take several different
forms. In conclusion, we believe that passive hedge fund products have the potential to consistently outperform mediocre (funds
of) hedge funds on an after-fee basis.
相似文献
Jan ViebigEmail: |
4.
This paper analyzes long-term comovements between hedge fund strategies and traditional asset classes using multivariate cointegration
methodology. Since cointegrated assets are tied together over the long run, a portfolio consisting of these assets will have
lower long-term volatility. Thus, if the presence of cointegration lowers uncertainty, risk-averse investors should prefer
assets that are cointegrated. Long-term (passive) investors can benefit from the knowledge of cointegrating relationships,
while the built-in error correction mechanism allows active asset managers to anticipate short-run price movements. The empirical
results indicate there is a long-run relationship between specific hedge fund strategies and traditional financial assets.
Thus, the benefits of different hedge fund strategies are much less than suggested by correlation analysis and portfolio optimization.
However, certain strategies combined with specific stock market segments offer portfolio managers adequate diversification
potential, especially in the framework of tactical asset allocation.
相似文献
Dieter G. KaiserEmail: |
5.
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 总被引:1,自引:1,他引:0
Allan A. Zebedee Eric Bentzen Peter R. Hansen Asger Lunde 《Financial Markets and Portfolio Management》2008,22(1):3-20
We examine the impact of monetary policy on the S&P 500 using intraday data. The analysis shows an economically and statistically
significant relationship between S&P 500 intraday returns and changes in the Fed funds target rate. The significance and magnitude
of the response is dependent on whether the change was expected or unexpected. An expected change in the Fed funds target
rate has no impact on prices in the broad equity market; however, an unexpected change of 25 basis points in the Fed funds
target rate results in an approximate 48 basis points decline in the broad equity market’s return. The speed of these market
reactions is rapid with the equity market reaching a new equilibrium within 15 minutes.
相似文献
Allan A. ZebedeeEmail: |
6.
A recent trend in the German asset-backed securities (ABS) market is the securitization of subordinated loans and profit participation agreements (PPAs) granted to medium-sized
enterprises (MEs). This paper provides an overview of this growing market and analyzes the benefits of such transactions for
portfolio companies as well as for originators and potential investors. Simulations of 10 recent transactions indicate that
despite the relatively low interest rates charged on obligors, originators and investors can earn attractive returns at fairly
low risk. In particula, the junior tranches of these securitizations exhibit quite attractive risk-return profiles.
相似文献
Julia Hein (Corresponding author)Email: |
7.
The optimal asset allocation of the main types of pension funds: a unified framework 总被引:1,自引:0,他引:1
Katarzyna Romaniuk 《The GENEVA Risk and Insurance Review》2007,32(2):113-128
The existing literature deals with the optimal investment strategy of defined benefit (DB) or defined contribution (DC) pension
plans. This article’s objective is to compare the optimal policies of different types of pension plans. This is done by first
defining an original framework, which is based on the distinction between the nature of the guarantee—which can be internal
or external—offered by or to a pension fund. This framework allows to establish links between optimization programs of DC,
DB and targeted money purchase schemes. The case of an internal guarantee appears as a standard portfolio insurer’s problem.
The second kind of guarantee, not analyzed in the literature yet with regard to the resulting optimal policy, is characterized
by the existence of an option in the final wealth definition. Four funds are present in the internal guarantee optimal allocation:
the speculative component, the preference independent guarantee- and contribution-hedge terms and the preference dependent
state variable-hedge fund. The external guarantee program, solved with an original method using the principles of standard
options theory, yields an optimal policy incorporating the delta of the option embodied in the final wealth definition. The
conclusion is that the resulting optimal portfolio policy becomes riskier.
相似文献
Katarzyna RomaniukEmail: |
8.
Dirk Brounen Piet Eichholtz David C. Ling 《The Journal of Real Estate Finance and Economics》2007,35(4):449-474
This paper investigates whether it is possible to create value through the active management of direct property portfolios.
Using data from the USA, the UK and Australia, we examine whether trading intensity and portfolio growth explain the risk
and return characteristics of listed property companies. The results suggest that beating the market by pursuing tactical
asset selection and investment timing strategies is difficult even when acquiring and disposing of properties in illiquid
private property markets. When the property type in which the firm specializes is included as a control variable in the regressions,
none of the portfolio management intensity indicators developed in this paper is significantly associated with abnormal performance
or systematic risk.
相似文献
Dirk BrounenEmail: |
9.
S. K. Wong K. W. Chau C. Y. Yiu 《The Journal of Real Estate Finance and Economics》2007,35(3):281-293
How shocks in one market influence the returns and volatility of other markets has been an important question for portfolio
managers. In the finance literature, many studies found evidence of volatility spillovers across international markets, as
well as between spot and futures markets. Although real estate is often regarded as a good vehicle for diversification, the
dynamics of its volatility transmission have been largely ignored. This paper provides the first study to examine volatility
spillovers between the spot and forward (pre-sale) index returns of the Hong Kong real estate market through a bivariate GARCH
model. Transaction-based indices were used so that our volatility modelling was free from any smoothing problem. Our results
showed that real estate returns exhibited volatility clustering, and the volatility of the forward market was more sensitive
to shocks than the spot market. Moreover, volatility was mainly transmitted from the forward market to the spot market, but
not vice versa.
相似文献
S. K. WongEmail: |
10.
John J. Maher Robert M. Brown Raman Kumar 《Review of Quantitative Finance and Accounting》2008,31(2):167-189
We examine the valuation effects of overall demand for corporate equities combined with the influence of abnormal earnings
and unexpected funds flow. Our results indicate that the expected and unexpected net new total flow of funds into all stock
mutual funds do not by themselves have a meaningful effect on firm equity valuation. However, we find the combination of unexpected
funds flow and realized abnormal earnings have significant and important valuation effects. Importantly, the valuation impact
is greatest for those firms with high earnings growth potential that also operate in an environment characterized by high
information asymmetry.
相似文献
Raman KumarEmail: |
11.
Bernd Scherer 《Financial Markets and Portfolio Management》2009,23(3):315-327
The current vast account surpluses of commodity-rich nations, combined with record account deficits in developed markets (the
United States, Britain) have created a new type of investor. Sovereign wealth funds (SWF) are instrumental in deciding how
these surpluses will be invested. We need to better understand the investment problem for an SWF in order to project future
investment flows. Extending Gintschel and Scherer (J. Asset Manag. 9(3):215–238, 2008), we apply the portfolio choice problem for a sovereign wealth fund in a Campbell and Viceira (Strategic Asset Allocation,
2002) strategic asset allocation framework. Changing the analysis from a one to a multi-period framework allows us to establish
a three-fund separation. We split the optimal portfolio for an SWF into speculative demand as well as hedge demand against
oil price shocks and shocks to the short-term risk-free rate. In addition, all terms now depend on the investor’s time horizon.
We show that oil-rich countries should hold bonds and that the optimal investment policy for an SWF as a long-term investor
is determined by long-run covariance matrices that differ from the correlation inputs that one-period (myopic) investors use.
相似文献
Bernd SchererEmail: |
12.
Christian Andres André Betzer Charlie Weir 《Financial Markets and Portfolio Management》2007,21(4):403-424
We examine shareholder wealth effects in a heterogeneous sample of 115 European leveraged going private transactions from
1997 to 2005. Average abnormal returns as reaction to the LBO announcement amount to 24.20%. In cross-sectional regressions,
we find that these value gains can largely be attributed to differences in corporate governance: on a macro level, abnormal
returns for pre-LBO shareholders are larger in countries with a poor protection of minority shareholders. On a firm level,
companies with a high pre-LBO free float and comparatively weak monitoring by shareholders tend to show high abnormal returns.
Furthermore, companies that are undervalued with respect to an industry peer-group exhibit higher announcement returns, indicating
that agency conflicts and/or market inefficiencies can serve as an explanation.
相似文献
Charlie WeirEmail: |
13.
By using an extension of the Fama and MacBeth cross-sectional regression model, this analysis examines the relationship between
stock returns and (i) a local beta, (ii) two global betas, and (iii) some firm-specific characteristics in the Chinese A-share
market. The results of the analysis suggest that neither the conditional local beta nor the global betas has a significant
relationship with stock returns in A-shares. Our findings indicate that firm factors, such as the book-to-market ratio and
firm size, are important in explaining stock returns. However, the size effect is sensitive to the specification of the model.
Finally, the results of sub-period tests indicate that the A-share market did not become increasingly integrated with either
the world stock markets or the Hong Kong stock market over the period 1995–2002.
相似文献
Yuenan WangEmail: |
14.
Joseph T. L. Ooi Jingliang Wang James R. Webb 《The Journal of Real Estate Finance and Economics》2009,38(4):420-442
The volatility of a stock returns can be decomposed into market and firm-specific volatility, with the former commonly known
as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining
the monthly cross-sectional returns of REIT stocks. Contrary to the CAPM theory, a significant positive relationship is found
between idiosyncratic volatility and the cross-sectional returns. This suggests that firm-specific risk matters in REIT pricing.
The regression results further show that once idiosyncratic risk is controlled for in the asset-pricing model, the size and
book-to-market equity ratio factors ceased to be significant. The explanatory power of the momentum effect remains robust
in the presence of idiosyncratic risk.
相似文献
James R. WebbEmail: |
15.
Zhenguo Lin Yingchun Liu Kerry D. Vandell 《The Journal of Real Estate Finance and Economics》2009,38(2):183-191
This paper re-examines and extends the findings of Bond et al., Journal of Real Estate Finance and Economics, 34, 447–461, (2007) who consider the theoretical model of Lin and Vandell, Real Estate Economics, 35, 291–330, (2007) to determine the extent to which individual real estate asset return characteristics caused by marketing
period risk disappear in a large, diversified real estate portfolio. The effects of marketing period risk are found to disappear
in the limit with growth in the size of the portfolio, with ex ante variance approaching ex post variance, but only if the portfolio consists of nonsystematic risk alone, in which case both approach zero. The marketing period risk factor (MPRF), representing the ratio of ex ante to ex post variance, however, does not in general approach zero in the limit, in fact could increase or decrease depending upon the
illiquidity characteristics of the individual assets and the magnitude and degree of correlation among individual property
returns and marketing periods. The results suggest that even large institutional real estate portfolio managers must consider
the illiquidity present in their portfolios and cannot assume that its effect will be diversified away.
相似文献
Kerry D. VandellEmail: |
16.
M. Deetz T. Poddig I. Sidorovitch A. Varmaz 《Financial Markets and Portfolio Management》2009,23(3):285-313
This paper examines the out-of-sample performance of asset allocation strategies that use conditional multi-factor models
to forecast expected returns and estimate the future variance and covariance. We find that strategies based on conditional
multi-factor models outperform strategies based on unconditional multi-factor models, and do better than a passive buy-and-hold
strategy. However, a strategy that uses the sample mean as a return forecast is superior. We also find that the estimation
of the covariance matrices based on the conditional and unconditional multi-factor models does not improve the performance
of the active asset allocation strategy relative to the incorporation of the historical covariance matrices. These results
are fairly robust to different estimation approaches, as well as to the impact of transaction costs and the consideration
of upper and lower bounds for the portfolio weights.
相似文献
M. DeetzEmail: |
17.
Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2009,39(1):74-91
This study decomposes real estate investment trust (REIT) returns into two components: (1) real returns, and (2) public returns.
The real returns are based on the changes in the private, appraisal-based net asset values of REITs, whereas the public returns
are measured by the variations in REITs’ premiums/discounts. This study then investigates the price discovery of REIT prices.
The results indicate that lagged public returns are useful in predicting real returns. In addition, the study documents concurrent
factor exposures for public returns and lagged factor exposures for private returns under a variety of asset pricing models.
Overall, the results are consistent with the notion that public markets are more efficient in processing information.
相似文献
Kevin C. H. ChiangEmail: |
18.
Evidence of feedback trading with Markov switching regimes 总被引:1,自引:1,他引:0
Previous research has concluded that the degree of return autocorrelation observed in index returns varies linearly with the
volatility of the series, and that feedback traders are at least partly responsible for this phenomenon. Using daily Australian
bond and equity market returns, we test this conclusion directly by using a Markov switching model for changing variance that
explicitly allows the autocorrelation of returns to vary with the volatility regime. We find evidence that a significant proportion
of investors in both the Australian equity and bond markets are positive feedback traders and are responsible for the observed
increase in negative autocorrelation in index returns during periods of high and increasing volatility.
相似文献
Robert W. FaffEmail: |
19.
Henryk Gurgul Paweł Majdosz Roland Mestel 《Financial Markets and Portfolio Management》2007,21(3):353-379
This study provides empirical evidence of the joint dynamics between stock returns and trading volume using stock data of
DAX companies. Contemporaneous as well as dynamic interactions are investigated for a period from January 1994 to December
2005 on a daily basis. Our results suggest that there is almost no relationship between stock return levels and trading volume
in either direction. We find that trading volume is contemporaneously positively related to return volatility. In addition,
we establish that lagged return volatility induces trading volume movements. Finally, we examine dependencies in the tails
and find no significant support for the hypothesis of the independence of the maximal values of absolute returns and trading
volume.
相似文献
Roland Mestel (Corresponding author)Email: |
20.
Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds 总被引:1,自引:1,他引:0
Vinay Datar Raymond W. So Yiuman Tse 《Review of Quantitative Finance and Accounting》2008,31(4):379-393
This article examines the intraday returns and liquidity patterns of the Standard & Poor’s Depositary Receipts (SPY) and the iShares
Morgan Stanley Capital International Inc. (MSCI) Japan Index Fund (EWJ). These exchange-traded funds seemingly have very different holdings, namely, US stocks and Japanese stocks. Our findings
suggest that some commonality exists in the returns and liquidity of these apparently different assets. First, there are intraday,
daily and monthly patterns in the measures of liquidity for both funds. Second, the measures of liquidity are correlated across
these two assets. Third, there is evidence of intraday spillover in the mean, volatility and depth from the SPY to the EWJ,
but daily spillover is not observed. Our study extends two evolving strands of the literature: the integration of world markets
in terms of returns behavior, and the other strand suggests that liquidity may have a systematic, or market-wide, component.
This paper provides direct evidence of the integration between the US and Japanese markets because contemporaneous trading
prices for the US (SPY) and Japanese (EWJ) indices are employed.
相似文献
Yiuman Tse (Corresponding author)Email: Email: |