Misunderstanding Risk and Return?

Lioui, Abraham; Poncet, Patrice

doi:10.2139/ssrn.1971711

Cited by 3 publications

(6 citation statements)

References 69 publications

(100 reference statements)

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“…2 See, among many others, Jagannathan and Wang (1996), Lewellen and Nagel (2006), Kan, Robotti, and Shanken (2009), Lioui and Poncet (2009), and Lewellen, Nagel, and Shanken (2010).…”

Section: Introductionmentioning

confidence: 99%

The Cross Section of Expected Returns with MIDAS Betas

González¹,

Nave²,

Rubio

2011

J. Financ. Quant. Anal.

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This paper explores the cross-sectional variation of expected returns for a large cross section of industry and size/book-to-market portfolios. We employ mixed data sampling (MIDAS) to estimate a portfolio’s conditional beta with the market and with alternative risk factors and innovations to well-known macroeconomic variables. The market risk premium is positive and significant, and the result is robust to alternative asset pricing specifications and model misspecification. However, the traditional 2-pass ordinary least squares (OLS) cross-sectional regressions produce an estimate of the market risk premium that is negative, and significantly different from 0. Using alternative procedures, we compare both beta estimators. We conclude that beta estimates under MIDAS present lower mean absolute forecasting errors and generate better out-of-sample performance of the optimized portfolios relative to OLS betas.

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“…2 See, among many others, Jagannathan and Wang (1996), Lewellen and Nagel (2006), Kan, Robotti, and Shanken (2009), Lioui and Poncet (2009), and Lewellen, Nagel, and Shanken (2010).…”

Section: Introductionmentioning

confidence: 99%

The Cross Section of Expected Returns with MIDAS Betas

González¹,

Nave²,

Rubio

2011

J. Financ. Quant. Anal.

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“…With this specification, we obtain a relationship between the main drivers of the monetary policy managementinflation and yield curve slopeconducted by Central Banks and the cross-section of portfolios excess returns. Lioui and Poncet (2011) argue that the order of the orthogonalization process could have interfered in Petkova (2006) results. We test for this and confirm that SMB and HML proxy for her set of four state variables.…”

Section: Resultsmentioning

confidence: 99%

“…In this study, we use monthly data from July 1963 to June 2017, for a total of 648 months. The beginning of the period is set to 1963 to coincide with most of the papers examining FF models, as Fama and French (1992, 1993, 1996, Campbell (1996), Petkova (2006), Lioui and Poncet (2011), Chen and Petkova (2012), Fama and French (2015), among others. We use excess returns on the market portfolio and returns on portfolios build on size (SMB), value (HML), operational profitability (RMW) and investment (CMA) (see, Fama and French 2015).…”

Section: Datamentioning

confidence: 99%

“…To evaluate the model in Equations ( 7) and ( 8) it is necessary to estimate the set of state variables innovations. For this task, we adopt the approach described by Campbell (1996), also assumed by Petkova (2006), Lioui and Poncet (2011) and Chen and Petkova (2012) for the time series dynamics of the state variables. A first order VAR was used based on a state vector zt that contains RM, HML, SMB, RMW, CMA, DY, T, DS, RF and CPI, not all of them at the same time.…”

Section: The Var Approachmentioning

confidence: 99%

“…Gulen, Xing and Zhang ( 2010) study the flexibility of value and growth companies in adapting to bad economic conditions. Lioui and Poncet (2011) revisited Petkova (2006) and…”

Section: Introductionmentioning

confidence: 99%

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Essays on Asset Pricing Factor Models: Evidences on Idiosyncratic Volatility, Emerging Markets and Monetary Policy

LEITE¹

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To my advisor, Professor Marcelo Cabús Klotzle, for his support and guidance during this long path, and my technical advisor from Brazilian Central Bank, Cláudio Henrique da Silva Barbedo for his friendship and indefectible help in all times.To the Brazilian Central Bank, its Post-Graduate Program (PPG), the staff of the UNIBACEN / DIOPE / CPROG and the friends from the COPES / PASBC, through which this work became possible.To all members of the Examining Committee for their invaluable comments and suggestions.To my wife whose love and dedication gave me the needed confidence to realize this project. To my son, unconditional love.To the teachers, in particular Prof Antonio Carlos Figueiredo Pinto, and staff of IAG, highlighting Teresa Campos, for the excellent courses and invaluable support. Without them this work would not have been possible.To my parents, Fabio Antonio Leite and Dilma de Azevedo Leite, for all guidance, support and moral values that made me who I am. To my father-in-law and mother-in-law for their support and invaluable help in difficult times. To my brothers and sisters, by birth or by choose, brother-in-law, sister-in-law, nephews and nieces for all the encouragement and for the pleasant and invigorating hours of joy during our birthdays, holidays, and weekends.To Pontifical Catholic University of Rio de Janeiro for the aid granted.To the Secretaries Lilian and Sandra for the friendship and competence.To all my friends and colleagues in Brazilian Central Bank, in particular to Rosana Marques Oliveira Roman, who, gently, helped me getting part of the database needed to carry on the job, more than once, to

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Pairs Trading in the UK Equity Market: Risk and Return

Bowen

Hutchinson

2013

SSRN Journal

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Misunderstanding Risk and Return?

Cited by 3 publications

References 69 publications

The Cross Section of Expected Returns with MIDAS Betas

The Cross Section of Expected Returns with MIDAS Betas

Essays on Asset Pricing Factor Models: Evidences on Idiosyncratic Volatility, Emerging Markets and Monetary Policy

Pairs Trading in the UK Equity Market: Risk and Return

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