Posts Tagged ‘Equity

17
Oct
11

Tabla du Jour: Sin palabras…

(Fuente: Bespoke Investment Group)

03
Oct
11

Paper: Equity Yields

Equity Yields

Abstract
We study a new data set of prices of traded dividends with maturities up to 10 years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help predict other measures of economic growth such as consumption growth. We relate the dynamics of growth expectations to recent events such as the financial crisis and the earthquake in Japan.

Link al Paper

10
Aug
11

Paper: Equity y detección de Crashes

Detection of Crashes and Rebounds in Major Equity Markets

Financial markets are well known for their dramatic dynamics and consequences that affect much of the world’s population. Consequently, much research has aimed at understanding, identifying and forecasting crashes and rebounds in financial markets. The Johansen-Ledoit-Sornette (JLS) model provides an operational framework to understand and diagnose financial bubbles from rational expectations and was recently extended to negative bubbles and rebounds. Using the JLS model, we develop an alarm index based on an advanced pattern recognition method with the aim of detecting bubbles and performing forecasts of market crashes and rebounds. Testing our methodology on 10 major global equity markets, we show quantitatively that our developed alarm performs much better than chance in forecasting market crashes and rebounds. We use the derived signal to develop elementary trading strategies that produce statistically better performances than a simple buy and hold strategy.

Link al Paper

31
Mar
11

Paper: VaR y correlación

Implied correlation from VaR

Abstract

Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes show that implied correlation is not constant but tends to be higher for events in the left tails (crashes) than in the right tails (booms).

 

Link al Paper

02
Mar
11

Paper: Modelos HFT

Developing High-Frequency Equities Trading Models

Link al Paper

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UPDATE

Llegamos a este paper via Quantivity, uno de los co-autores es un argentino suelto en NY, esperamos que cuando este en Buenos Aires y tenga tiempo nos pueda presentar su trabajo sobre HFT.

23
Feb
11

Screening de Acciones (bis)

Empirical Finance Blog lanzo un producto gratuito (por lo menos en su version beta) para hacer screening.


09
Feb
11

Paper: Diversificación de la Volatilidad

The Hazards of Volatility Diversification

Abstract:
Recent research advocates volatility diversification for long equity investors. It can even be justified when short-term expected returns are highly negative, but only when its equilibrium return is ignored. Its advantages during stock market crises are clear but we show that the high transactions costs and negative carry and roll yield on volatility futures during normal periods would outweigh any benefits gained unless volatility trades are carefully timed. Our analysis highlights the difficulty of predicting when volatility diversification is optimal. Hence insitutional investors should be sceptical of studies that extol its benefits. Volatility is better left to experienced traders such as speculators, vega hedgers and hedge funds.

Link al Paper

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UPDATE

Falkenblog tiene un post donde comenta este paper.




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"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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