Artikel
Models for expected returns with statistical factors
In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and compare the results with those of traditional inferential techniques. The new factors are built from statistical measurements on stock prices - in particular, coefficient of variation, skewness, and kurtosis. Data come from Reuters, correspond to nearly 2000 EU companies, and span from January 2008 to February 2018. Regarding methodology, we propose a non-parametric resampling procedure that accounts for time dependency in order to test the validity of the model and the significance of the parameters involved. We compare our bootstrap-based inferential results with classical proposals (based on F-statistics). Methods under assessment are time-series regression, cross-sectional regression, and the Fama-MacBeth procedure. The main findings indicate that the two factors that better improve the Capital Asset Pricing Model with regard to the adjusted R2 in the time-series regressions are the skewness and the coefficient of variation. For this reason, a model including those two factors together with the market is thoroughly studied. We also observe that our block-bootstrap methodology seems to be more conservative with the null of the GRS test than classical procedures.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 12 ; Pages: 1-17 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
asset pricing
Big Data
bootstrap
cross-sectional regression
factor models
time series
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cueto, José Manuel
Grané, Aurea
Cascos, Ignacio
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
-
doi:10.3390/jrfm13120314
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Cueto, José Manuel
- Grané, Aurea
- Cascos, Ignacio
- MDPI
Entstanden
- 2020
Ähnliche Objekte (12)
The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes
The optimal spending rate versus the expected real return of a sovereign wealth fund
Credit spreads, business conditions, and expected corporate bond returns
Random rank-dependent expected utility
Subjective expected utility with state-dependent but action/observation-independent preferences
On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles
Minimal expected time in drawdown through investment for an insurance diffusion model
Predictors of excess return in a green energy equity portfolio: Market risk, market return, value-at-risk and or expected shortfall?
The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns
Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors
Information frictions and stock returns
Copula-based factor models for multivariate asset returns
The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes
The optimal spending rate versus the expected real return of a sovereign wealth fund
Credit spreads, business conditions, and expected corporate bond returns
Random rank-dependent expected utility
Subjective expected utility with state-dependent but action/observation-independent preferences
On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles
Minimal expected time in drawdown through investment for an insurance diffusion model
Predictors of excess return in a green energy equity portfolio: Market risk, market return, value-at-risk and or expected shortfall?
The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns
Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors
Information frictions and stock returns
Copula-based factor models for multivariate asset returns
The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes
The optimal spending rate versus the expected real return of a sovereign wealth fund
Credit spreads, business conditions, and expected corporate bond returns
Random rank-dependent expected utility
Subjective expected utility with state-dependent but action/observation-independent preferences
On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles
Minimal expected time in drawdown through investment for an insurance diffusion model
Predictors of excess return in a green energy equity portfolio: Market risk, market return, value-at-risk and or expected shortfall?
The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns
Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors
Information frictions and stock returns