market-timinginvestment strategiesThis paper examines the dispersion of betas, which is the spread of betas on a market, and its application as market return predictor. The beta dispersion can bdoi:10.2139/ssrn.2984889Kuntz, LauraChloéSocial Science Electronic Publishing...
A critical difference is the lower dispersion of residual returns. Over 90% of the variance of a typical active equity portfolio is due to factor exposures rather than to stock picking. Therefore, using nominal returns to measure skill is like trying to take a baby’s temperature by examining...
Another Look at Trading Costs And Short-Term Reversal Profits - De, Huij, Zhou Does the market know better? The case of strategic vs. non-strategic bankruptcies - Coelho, John, and Taffler Explaining Stock Returns with Intraday Jumps - Amaya and Vasquez Geographic Dispersion and Stock Returns...
Another Look at Trading Costs And Short-Term Reversal Profits - De, Huij, Zhou Does the market know better? The case of strategic vs. non-strategic bankruptcies - Coelho, John, and Taffler Explaining Stock Returns with Intraday Jumps - Amaya and Vasquez Geographic Dispersion and Stock Returns...
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the ...
(ex-post) hedged portfolio returns. We further break these series into 12-month intervals and calculate their correlations to the Market. Low average market correlation and low dispersion of correlations indicates that a hedging technique effectively eliminatessystematicmarket exposure of a typical ...
Ang (2014) defines exposure to macroeconomic factors as the main component in determining returns, exposure to style factors causes their dispersion, and “alpha” represents the extra performance that cannot be explained by factor asset allocation. The construction of smart beta indices includes ...
Ang (2014) defines exposure to macroeconomic factors as the main component in determining returns, exposure to style factors causes their dispersion, and “alpha” represents the extra performance that cannot be explained by factor asset allocation. The construction of smart beta indices includes ...