Asymmetric Returns And Semidimensional Risks PDF Download
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Author | : Cheekiat Low |
Publisher | : |
Total Pages | : 45 |
Release | : 2001 |
Genre | : |
ISBN | : |
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Most theoretical models in finance measure risk as variance or covariance. However, many financial decision-makers seem to regard risk as the volatility of below-target returns and treat the volatility of above-target returns as a sweetener. Using simple metrics of downside risk and upside potential, constructed from conditional covariances, I test for the empirical content of this asymmetry. I introduce a new composite metric of semidimensional risks which reveals that the nonlinearity in the covariation of stock returns with bearish and bullish conditions of the market is priced in the cross-section of stock returns. In particular, I find that stocks that have concave characteristic regression lines against the market earn higher average returns than stocks that have convex characteristic regression lines. This new metric captures the relevant information in returns asymmetry or nonlinearity better than either coskewness or the square-coefficient from quadratic regression. I also present results that are consistent with a semidimensional risk-based explanation for the twin puzzles of return momentum and reversal. The primitive representation of the security pricing kernel as the negative of covariance between marginal utility of consumption and security returns lends theoretical support for semidimensional risks and provides a unifying perspective for seemingly disparate literature on semivariances, skewness and behavioral finance.
Author | : Alexander M. Ineichen |
Publisher | : John Wiley & Sons |
Total Pages | : 383 |
Release | : 2011-07-12 |
Genre | : Business & Economics |
ISBN | : 1118160606 |
Download Asymmetric Returns Book in PDF, ePub and Kindle
In Asymmetric Returns, financial expert Alexander Ineichen elevates the critical discussion about alpha versus beta and absolute returns versus relative returns. He argues that controlling downside volatility is a key element in asset management if sustainable positive compounding of capital and financial survival are major objectives. Achieving sustainable positive absolute returns are the result of taking and managing risk wisely, that is, an active risk management process where risk is defined in absolute terms and changes in the market place are accounted for. The result of an active risk management process-when successful-is an asymmetric return profile, that is, more and higher returns on the upside and fewer and lower returns on the downside. Ineichen claims that achieving Asymmetric Returns is the future of active asset management. Alexander M. Ineichen, CFA, CAIA, is Managing Director and Senior Investment Officer for the Alternative Investment Solutions team, a key provider within Alternative and Quantitative Investments, itself a business within UBS Global Asset Management. He is also on the Board of Directors of the Chartered Alternative Investment Analyst Association (CAIAA). Ineichen is the author of the two UBS research publications In Search of Alpha—Investing in Hedge Funds (October 2000) and The Search for Alpha Continues—Do Fund of Hedge Funds Add Value? (September 2001). As of 2006 these two reports were the most often printed research papers in the documented history of UBS. He is also author of the widely popular Absolute Returns—The Risk and Opportunities of Hedge Fund Investing, also published by John Wiley & Sons.
Author | : Mehmet F. Dicle |
Publisher | : |
Total Pages | : 14 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Asymmetric Return Response to Expected Risk Book in PDF, ePub and Kindle
Purpose: As investors' fear have an impact on their risk-return tradeoff, this fear leaves markets susceptible to sudden and large fluctuations. Markets develop a long- run normal and regulatory actions should be different for non-normal trading days. Regulators should amend their precautionary methods to recognize the difference in investor behavior for high-risk periods versus low-risk periods.Design/methodology/approach: We empirically show the difference in investor response to changes in expected risk as a function of level of risk. We then show dif- ferent return patterns for high-risk and low-risk days. Our approach is implemented to evaluate whether Investors' reaction is the same to changes in risk during high-risk periods versus during low-risk periods.Findings: The results indicate that the negative return response to incremental increases in risk is significantly higher for periods of high versus low expected risk, with high defined as risk levels above long-run normal.Research limitations/implications: Investors' increased response to changes in risk expose financial markets to higher likelihood of sudden and larger fluctuations during high-risk periods. Regulator imposed circuit breakers are designed to protect markets against such market crashes. However, circuit breakers are not designed to account for investor behavior changes. Our results show that circuit breakers should be different for high-risk versus low-risk periods.Practical implications: A circuit breaker that is designed to protect investors against large drops should be amended to have a lower threshold during high-risk periods.Originality/value: Our contribution is, to our knowledge, the first research effort to evaluate the effects of differences in investor behavior on investor reactions and regulator imposed fail safes. During the times of extreme market risk, our proposed changes may enable circuit breakers function their intended purposes.
Author | : |
Publisher | : |
Total Pages | : 486 |
Release | : 2001 |
Genre | : Risk management |
ISBN | : |
Download GARP Risk Review Book in PDF, ePub and Kindle
Author | : John L. Knight |
Publisher | : |
Total Pages | : 17 |
Release | : 1995 |
Genre | : |
ISBN | : |
Download Statistical Modelling of Asymmetric Risk in Asset Returns Book in PDF, ePub and Kindle
Author | : Li Gu |
Publisher | : |
Total Pages | : 43 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Asymmetric Risk Loadings in the Cross Section of Stock Returns Book in PDF, ePub and Kindle
Time-varying factor loadings exhibit pronounced asymmetry in the cross section of stock returns. To capture this asymmetry, we develop regime-switching versions of the CAPM and the Fama French three-factor model, allowing both factor loadings and predictable risk premiums to switch across regimes. We estimate the models jointly on the decile book-to-market portfolios, together with the market portfolio to investigate the role of asymmetric risk in the book-to-market premium. We find that betas of value stocks increase significantly during bear market episodes. However, we still reject that the book-to-market premium is equal to zero for both the regime-switching conditional CAPM and the Fama-French model, even in the presence of regimes.
Author | : |
Publisher | : |
Total Pages | : 602 |
Release | : 2001 |
Genre | : Dissertations, Academic |
ISBN | : |
Download Dissertation Abstracts International Book in PDF, ePub and Kindle
Author | : Daniel P. Raymer |
Publisher | : AIAA (American Institute of Aeronautics & Astronautics) |
Total Pages | : 0 |
Release | : 2006 |
Genre | : Airplanes |
ISBN | : 9781563478291 |
Download Aircraft Design Book in PDF, ePub and Kindle
Winner of the Summerfield Book Award Winner of the Aviation-Space Writers Association Award of Excellence. --Over 30,000 copies sold, consistently the top-selling AIAA textbook title This highly regarded textbook presents the entire process of aircraft conceptual designfrom requirements definition to initial sizing, configuration layout, analysis, sizing, and trade studiesin the same manner seen in industry aircraft design groups. Interesting and easy to read, the book has more than 800 pages of design methods, illustrations, tips, explanations, and equations, and extensive appendices with key data essential to design. It is the required design text at numerous universities around the world, and is a favorite of practicing design engineers.
Author | : Roy D. Hager |
Publisher | : |
Total Pages | : 140 |
Release | : 1988 |
Genre | : Airplanes |
ISBN | : |
Download Advanced Turboprop Project Book in PDF, ePub and Kindle
Author | : Jan Roskam |
Publisher | : DARcorporation |
Total Pages | : 372 |
Release | : 1985 |
Genre | : Aerospace engineering |
ISBN | : 9781884885549 |
Download Airplane Design VII Book in PDF, ePub and Kindle