Unconverting The Risk Return Relation In The Stock Market PDF Download
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| Author | : Hui Guo |
| Publisher | : |
| Total Pages | : |
| Release | : 2001 |
| Genre | : Investments |
| ISBN | : |
Download Uncovering the Risk-return Relation in the Stock Market Book in PDF, ePub and Kindle
"There is an ongoing debate in the literature about the apparent weak or negative relation between risk (conditional variance) and return (expected returns) in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM to investigate this relation. Our primary innovation is to model and identify empirically the two components of expected returns--the risk component and the component due to the desire to hedge changes in investment opportunities. We also explicitly model the effect of shocks to expected returns on ex post returns and use implied volatility from traded options to increase estimation efficiency. As a result, the coefficient of relative risk aversion is estimated more precisely, and we find it to be positive and reasonable in magnitude. Although volatility risk is priced, as theory dictates, it contributes only a small amount to the time-variation in expected returns. Expected returns are driven primarily by the desire to hedge changes in investment opportunities. It is the omission of this hedge component that is responsible for the contradictory and counter-intuitive results in the existing literature"--Federal Reserve Bank of St. Louis web site.
| Author | : Richard A. Brealey |
| Publisher | : MIT Press (MA) |
| Total Pages | : 168 |
| Release | : 1969 |
| Genre | : Investment analysis |
| ISBN | : |
Download An Introduction to Risk and Return from Common Stocks Book in PDF, ePub and Kindle
| Author | : Hui Guo |
| Publisher | : |
| Total Pages | : |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Unconverting the Risk-return Relation in the Stock Market Book in PDF, ePub and Kindle
| Author | : Pim van Vliet |
| Publisher | : John Wiley & Sons |
| Total Pages | : 180 |
| Release | : 2017-01-17 |
| Genre | : Business & Economics |
| ISBN | : 1119351057 |
Download High Returns from Low Risk Book in PDF, ePub and Kindle
Believing "high-risk equals high-reward" is holding your portfolio hostage High Returns from Low Risk proves that low-volatility, low-risk portfolios beat high-volatility portfolios hands down, and shows you how to take advantage of this paradox to dramatically improve your returns. Investors traditionally view low-risk stocks as safe but unprofitable, but this old canard is based on a flawed premise; it fails to see beyond the monthly horizon, and ignores compounding returns. This book updates the thinking and brings reality to modelling to show how low-risk stocks actually outperform high-risk stocks by an order of magnitude. Easy to read and easy to implement, the plan presented here will help you construct a portfolio that delivers higher returns per unit of risk, and explains how to achieve excellent investment results over the long term. Do you still believe that investors are rewarded for bearing risk, and that the higher the risk, the greater the reward? That old axiom is holding you back, and it is time to start seeing the whole picture. This book shows you, through deep historical simulation, how to reap the rewards of smarter investing. Learn how and why low-risk, low-volatility stocks beat the market Discover the formula that outperforms Greenblatt's Construct your own low-risk portfolio Select the right ETF or low-risk fund to manage your money Great returns and lower risk sound like a winning combination — what happens once everyone is doing it? The beauty of the low-risk strategy is that it continues to work even after the paradox is widely known; long-term investment success is possible for anyone who can shake off the entrenched wisdom and go low-risk. High Returns from Low Risk provides the proof, model and strategy to reign in your exposure while raking in the profit.
| Author | : Raj S. Dhankar |
| Publisher | : Springer Nature |
| Total Pages | : 323 |
| Release | : 2019-10-24 |
| Genre | : Business & Economics |
| ISBN | : 8132239504 |
Download Risk-Return Relationship and Portfolio Management Book in PDF, ePub and Kindle
This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
| Author | : Hui Guo |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download On the Risk-Return Relation in International Stock Markets, Forthcoming Book in PDF, ePub and Kindle
We investigate the risk-return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices. In contrast with CAPM, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk-return tradeoff in many countries after controlling for the (U.S.) consumption-wealth ratio. U.S. realized variance is also significantly related to future international stock market returns; more importantly, it always subsumes the information content of its local counterparts. Our results indicate that stock market variance is an important determinant of the equity premium.
| Author | : Hui Guo |
| Publisher | : |
| Total Pages | : |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download The Risk-Return Relation in International Stock Markets Book in PDF, ePub and Kindle
We investigate the risk-return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indexes. In contrast with CAPM, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk-return tradeoff in many countries after controlling for the (U.S.) consumption-wealth ratio. U.S. realized variance is also significantly related to future international stock market returns; more importantly, it always subsumes the information content of its local counterparts. Our results indicate that stock market variance is an important determinant of the equity premium.
| Author | : Suzanne G.M. Fifield |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Is There a Risk and Return Relation? Book in PDF, ePub and Kindle
Traditional finance theory posits that the relationship between the risk and return of stocks is positive. Furthermore, investment practice is often based on the central contention of the Capital Asset Pricing Model (CAPM) that high (low) beta stocks earn higher (lower) returns. However, this fundamental return and risk relationship is questioned by a several researchers who assert that the relationship is, in fact, negative. Consequently, a growing body of research examines the nature of the stock return-risk relationship using both market- and firm-level data. The results of this research are mixed. The purpose of this paper is to shed further light on this relationship by (i) examining both market- and firm-level price data; (ii) employing a battery of tests, including individual market, panel and quantile regressions; and (iii) analysing the nature of the relationship during periods of high and low volatility and in bull and bear markets. The results indicate that there is no single robust relationship between risk and return. Of note, our results suggest a positive relationship when returns are high and during bear markets. Furthermore, the finding of a positive relationship is stronger (i) at the market-level than the firm-level; and (ii) over long time periods. However, the analysis indicates that a negative relationship exists at low return levels, during bull markets and, more so, at the individual firm level. Overall, the results suggest that the risk-return relationship is switching in nature and is primarily driven by changing risk preferences. Notably, a positive relationship exists when macroeconomic risk plays a larger role.
| Author | : Napon Hongsakulvasu |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download A Risk Return Relation in Stock Markets Book in PDF, ePub and Kindle
In this paper, I propose a new semi-parametric GARCH-in-Mean model. Since many empirical papers have the mix results on the risk-return relation, the cause of problem may come from the misspecification of conditional mean equation or conditional variance equation or both of them. My model uses non-parametric estimation in conditional mean equation and semi-parametric estimation in conditional variance equation which allows the non-linear risk return relation in conditional mean equation and allows the non-linear relation between the volatility and the cumulative sum of exponentially weighted past returns. Three parameters on my model are GARCH parameter, the leverage effect parameter and leptokurtic parameter. I also extend my model to include four exogenous variables, dividend yield, term spread, default spread and momentum into conditional mean equation by using additive model which allows each variable to have non-linear relation with the return. An empirical study on S&P 500 suggests that risk has a small affect on market return. However, when four exogenous variables are added to the model, my model shows that the risk-return relation has a positive hump shape. The electronic version of this dissertation is accessible from http://hdl.handle.net/1969.1/155545
| Author | : C. N. V. Krishnan |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Analyzing the Time-Varying Stock Market Risk-Return Relation Book in PDF, ePub and Kindle
We analyze the stock market risk-return relation over the period from 1927 to 2005. We empirically implement the Intertemporal Capital Asset Pricing Model (ICAPM) using a cross-section of stock and bond portfolios, and allow for the market price of risk to be time-varying. We show that including bond portfolios in the estimation not only significantly changes the time-series estimates of the market price of risk, but also makes the correlation between conditional stock-market variance and the variance component of expected market return positive.
