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Performance of long-short idiosyncratic volatility portfolios

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

... on idiosyncratic volatility and its role in explaining the cross- sectional variation in ...whether idiosyncratic volatility is priced for size and value-sorted Fama and French (1992) ...

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A study of idiosyncratic volatility in mutual fund performance

A study of idiosyncratic volatility in mutual fund performance

... their portfolios to those stocks, their portfolios will show correlated residual returns that are independent of systematic risk ...on idiosyncratic risk and cor- related ...superior ...

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Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?

Performance of Idiosyncratic Volatility Strategies in Commodity Markets: Delusion or Reality?

... well-diversified portfolios that does not rely on any assumption of expected returns, thus placing risk management at the heart of the portfolio construction ...their long-term invest- ment policy ...

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Idiosyncratic volatility and momentum: the performance of Australian equity pension funds

Idiosyncratic volatility and momentum: the performance of Australian equity pension funds

... that idiosyncratic volatility is diversified away in and therefore should play no role in the pricing of fund ...that idiosyncratic volatility increases over time and while the correlation ...

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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

... as idiosyncratic when using just the three Fama-French (FF) factors, the signs of the IVOL effects we observe would ...the long-short daily return spread between stocks in the top and bottom ...

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Idiosyncratic volatility, stock market volatility, and expected stock returns

Idiosyncratic volatility, stock market volatility, and expected stock returns

... time trend to the forecasting equation (row 7). The results of the second subsample reported in panel B are also very similar to those of the full sample. Such a stable forecasting relation across time explains the good ...

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Is idiosyncratic volatility priced in commodity futures markets?

Is idiosyncratic volatility priced in commodity futures markets?

... past performance, total volatility, skewness or ...considers idiosyncratic volatility as another potential signal of expected commodity futures ...that idiosyncratic volatility ...

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Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility

Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility

... of idiosyncratic risk is positively correlated with expected returns, while short-term volatilities are an insignificant predictor of the cross-section of stock ...next-period volatility and expected ...

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Managing Portfolio Volatility & Drawdown Risk with Long/Short Equity

Managing Portfolio Volatility & Drawdown Risk with Long/Short Equity

... future performance, and should not be construed as an offer to sell or a solicitation to buy any security or make an offer where otherwise ...future performance, such statements are forward looking and are ...

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Stock Selection System: Building Long/Short Portfolios Using Intraday Patterns

Stock Selection System: Building Long/Short Portfolios Using Intraday Patterns

... Portfolio Performance Results In Fig. 8, the total portfolio performance for the directional Long/Short strategy of 100/50 based on 60 min intraday patterns, is about 8% (with no reinvesting ...

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Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market

Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market

... aggregate idiosyncratic and market volatility using Bunzel and Vogelsang’s [25] t-dan ...both idiosyncratic and market volatility do not exhibit long-term ...and short-term ...

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Forward premium puzzle and firm-Level idiosyncratic volatility

Forward premium puzzle and firm-Level idiosyncratic volatility

... for portfolios HML1 and HML3, whereas the banking sector downside adjusted model does a better job of explaining excess returns in the long portfolio S1, S2, and ...HML portfolios are never funded ...

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Volatility Patterns and Idiosyncratic Risk on the Swedish Stock Market

Volatility Patterns and Idiosyncratic Risk on the Swedish Stock Market

... average idiosyncratic volatility on the ...ways; long-term and short-term increases in volatility due to increasing numbers of newly listed ...The long-term perspective clearly ...

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IDIOSYNCRATIC VOLATILITY

IDIOSYNCRATIC VOLATILITY

... of volatility in the Nordic ...in volatility does not lie within the scope of the ...between volatility and previously suggested explanatory ...whether idiosyncratic risk is priced in the ...

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Aggregate Idiosyncratic Volatility

Aggregate Idiosyncratic Volatility

... of idiosyncratic variances in the ...flow volatility, and finally, business cycle variables and market wide volatility, a category new to this ...aggregate idiosyncratic volatility in ...

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The Determinants of Idiosyncratic Volatility

The Determinants of Idiosyncratic Volatility

... the volatility for stocks that are dominated by institutions and may induce a negative correlation between volatility and ...(De Long, Shleifer, Summers, and Waldmann ...

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Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach

Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach

... by short-sale constraints impeding rational ...on short selling financial stocks amid the credit crisis in September and October, ...the short-sale restriction around mid September, the financial ...

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Short Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach

Short Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach

... by short-sale constraints impeding rational ...on short selling financial stocks amid the credit crisis in September and October, ...the short-sale restriction around mid September, the financial ...

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Three Essays on Idiosyncratic Volatility

Three Essays on Idiosyncratic Volatility

... of idiosyncratic to total volatility is obtained from a regression of the daily ratios on a dummy variable for each of the eleven days around the rumor date and an intercept representing the pre- and ...

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Price Momentum and Idiosyncratic Volatility

Price Momentum and Idiosyncratic Volatility

... Explanations of the momentum effect are either risk-based or behavior-based. In Berk, Green and Naik (1999), momentum arises from the persistence in expected returns. In Johnson (2002), since the growth rate risk carries ...

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