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Author : Bradley Steele Paye
Release : 2004
Genre : Asset allocation
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Essays on Stock Return Predictability and Portfolio Allocation by : Bradley Steele Paye
Download or read book Essays on Stock Return Predictability and Portfolio Allocation written by Bradley Steele Paye. This book was released on 2004. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William N. Goetzmann
Release : 2006-11-16
Genre : Business & Economics
Kind : eBook
Book Rating : 77X/5 ( reviews)
Book Synopsis The Equity Risk Premium by : William N. Goetzmann
Download or read book The Equity Risk Premium written by William N. Goetzmann. This book was released on 2006-11-16. Available in PDF, EPUB and Kindle. Book excerpt: What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
Author : Hui-Ju Tsai
Release : 2010
Genre : Asset allocation
Kind : eBook
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Book Synopsis Essays on Optimal Portfolio Decisions for Long-term Investors by : Hui-Ju Tsai
Download or read book Essays on Optimal Portfolio Decisions for Long-term Investors written by Hui-Ju Tsai. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains two essays on the optimal portfolio decision for long-term investors. The first essay studies the optimal asset allocation for long-horizon investors with non-tradable labor income when multiple risky asset returns are predictable. It finds that more risk-averse investors hold a higher bond/stock ratio in their risky portfolios when labor income is positively correlated with stock return or independent of risky asset returns, but the reverse is true when labor income is positively correlated with bond return. The allocation to stock inherits the inverted U-shaped pattern of labor income growth with respect to expected time until retirement. These results suggest that popular recommendations of investment advisors that more conservative investors should hold a higher bond/stock ratio and that the portfolio allocation to stock should equal 100 minus age may both lack theoretical justification. In the out-of-sample performance test, the dynamic portfolio shows the highest mean returns and Sharpe ratio than two benchmark portfolios, justifying the economic significance of incorporating the time-variation of investment opportunities and nontradable labor income into investors' portfolio choice. The second essay studies employees' optimal portfolio in their defined contribution pension plans. Assuming a discrete time model with predictable risky asset returns, the essay finds that the employees' optimal portfolio decision can be greatly affected by the employees' time to retirement, risk preference, contribution rate as well as the correlation between labor income and asset returns. Performance test shows that the gains from adopting the dynamic portfolio strategy relative to several benchmark strategies, including the 1/n rule, the optimal static strategy with and without the consideration of asset return predictability, all stock strategy, and all company stock strategy, are economically significant and the economic gain increases with employees' risk aversion. The empirical evidence that employees invest significantly in their company stock in pension plans is difficult to be justified, even after the consideration of short-sale constraints, higher expected company stock return, employees' familiarity with their company, and employers' exclusive match policy. Over allocation to company stock can be very costly, especially to conservative employees.
Author : Amit Goyal
Release : 2001
Genre : Stocks
Kind : eBook
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Book Synopsis Three Essays on the Predictability of Stock Returns by : Amit Goyal
Download or read book Three Essays on the Predictability of Stock Returns written by Amit Goyal. This book was released on 2001. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ekaterina Serikova
Release : 2020
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Essays on Market Microstructure and Return Predictability of Mutual Funds by : Ekaterina Serikova
Download or read book Essays on Market Microstructure and Return Predictability of Mutual Funds written by Ekaterina Serikova. This book was released on 2020. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contains three papers. Each paper addresses a distinct research question and is implemented on a separate dataset. The first paper concludes that daytime auctions, together with market opening and closing intervals, contribute to the periodicity of the cross-section of stock returns. By applying the model of infrequent rebalancing, I show that model parameters fit the data for the after-auction intervals. I thus conclude that after-auction periods take over a large share of infrequent rebalancing and show that this effect is driven by the concentration of liquidity traders. Small, low-fragmented stocks heavily traded on the home market show the strongest evidence for infrequent rebalancing after the daytime auctions. The second paper sheds light on how traders allocate risk of stock portfolios in a trading day. Traders decrease risk before the market close. They do so by selling stocks with the highest marginal risk and buying stocks that decrease the risk of their portfolio the most. As our measure of portfolio risk relates to the one that clearing houses use for the margin requirements, we conclude that the risk-reduction behavior is driven by traders' reluctance to provide end-of-day margin contributions to the CCP. These trading flows in the direction of risk contraction distort closing stock prices. The third paper replicates and combines eight prominent predictors of mutual fund returns to obtain a composite, aggregate fund predictor. While only three of the eight individual variables are significant predictors of future fund performance in a multivariate setting, the composite predictor has strong forecasting power. A hypothetical quintilebased long-short strategy based on the composite predictor realizes a four-factor alpha of 6% per year. The performance spread is robust to different regression specifications, is similar for different size classes and investment styles, and persists over time. Our results p.
