Holding Period Return Risk Modeling

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Holding Period Return Risk Modeling

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Author : Winfried G. Hallerbach
language : en
Publisher:
Release Date : 2013

Holding Period Return Risk Modeling written by Winfried G. Hallerbach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

In this paper we explore the theoretical and empirical problems of estimating average(excess) return and risk of US equities over various holding periods and sampleperiods. Our findings are relevant for performance evaluation, for estimating thehistorical equity risk premium, and for investment simulation.Using a unique set of US equity data series, comprising monthly prices anddividends based on consistent definitions over the 132 year period 1871-2002, weinvestigate the complex effect of temporal return aggregation and sample estimationerror. Our major finding is that holding period risk and return statistics show anextraordinary sensitivity to the choice of the starting point in calendar time. Forexample, over the period 1926-2002 there is a difference of almost 140 basis pointsbetween the average annual total return starting in January compared to starting inJuly, and a difference of almost 7 (!) percentage points in estimated annual volatility.This is yet another way in which stock price seasonality manifests itself, but thisambiguity in the underlying estimation process seems completely neglected in thecurrent literature.

Holding Period Return Risk Modeling

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Author : Winfried G. Hallerbach
language : en
Publisher:
Release Date : 2003

Holding Period Return Risk Modeling written by Winfried G. Hallerbach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.

Holding Period Return Risk Modelling

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Author : Winfried G. Hallerbach
language : en
Publisher:
Release Date : 2003

Holding Period Return Risk Modelling written by Winfried G. Hallerbach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.

Holding Period Return Risk Modelling

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Author : Winfried G. Hallerbach
language : en
Publisher:
Release Date : 2003

Holding Period Return Risk Modelling written by Winfried G. Hallerbach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.

Portfolio Risk Analysis

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Author : Gregory Connor
language : en
Publisher: Princeton University Press
Release Date : 2010-03-15

Portfolio Risk Analysis written by Gregory Connor and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-15 with Business & Economics categories.

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Investment Formulas A Simple Introduction

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Author : K.H. Erickson
language : en
Publisher: K.H. Erickson
Release Date :

Investment Formulas A Simple Introduction written by K.H. Erickson and has been published by K.H. Erickson this book supported file pdf, txt, epub, kindle and other format this book has been release on with Business & Economics categories.

Investment Formulas: A Simple Introduction includes over 80 formulas in the investment field, alongside relevant definitions and explanations. The formulas cover the topics of historical return measures, investment models, portfolio performance evaluation, firm and stock valuation, bond portfolio management, derivatives, and option valuation.

Investments

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Author : Frederick Amling
language : en
Publisher:
Release Date : 1989

Investments written by Frederick Amling and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.

Security Analysis And Portfolio Management

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Author : Henry A. Latané
language : en
Publisher:
Release Date : 1970

Security Analysis And Portfolio Management written by Henry A. Latané and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970 with Investment analysis categories.

6 November 2006

Investments

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Author : William F. Sharpe
language : en
Publisher: Prentice Hall
Release Date : 1985

Investments written by William F. Sharpe and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Business & Economics categories.

This volume uses various investment vehicles to help the reader consider factor models, arbitrage pricing theory and original and extended capital and pricing models.

Efficient Factor Selection

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Author : Ronald J. Balvers
language : en
Publisher:
Release Date : 2018

Efficient Factor Selection written by Ronald J. Balvers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

An asset pricing model is customarily evaluated by how well it explains means of returns. But how well the model explains fluctuations of returns is similarly important though often overlooked in the literature. We derive “efficient” factors that combine both objectives and turn out to maximize average time-series (first-pass) R-square for given cross-sectional (second-pass) R-square. Efficient factors work better out of sample and even explain mean returns better than structural models. The reason is that structural models emphasize factors that as a group are close to the tangency portfolio. But this portfolio, by necessity, has relatively low variance that explains individual asset return fluctuations poorly and impedes factor identification. These findings explain many of the puzzling results in empirical asset pricing. Further, intended holding period becomes essential now for model evaluation and shorter holding periods require more emphasis on first-pass fit, which is another key issue overlooked in the literature.