Economic Value of Stock Return Models: Evidence from Optimal Portfolio - Couverture souple

Zhou, Ye

 
9783659898327: Economic Value of Stock Return Models: Evidence from Optimal Portfolio
Couverture souple
ISBN 10 : 3659898325 ISBN 13 : 9783659898327
Editeur : LAP LAMBERT Academic Publishing, 2016

Synopsis

Stock return predictability continues to attract an enormous amount of attention and yet the empirical evidence struggles to meet a general consensus. While a number of studies debate on the ability of economically meaningful variables such as dividend yield, term spread and consumption-wealth ratio to predict future stock returns, an important strand of the literature focuses on how to accurately incorporate the effect of stylized facts such as stochastic volatility and jumps on the data generating process of stock returns. However attempts have produced mixed results and mainly examined model specifications by using statistical measures. The economic advantage of using double-jump models remains largely unexplored. We find that, under both latent volatility and realized volatility measures, although jumps clearly affect the optimal weights, the pure diffusion model has better portfolio performance than jump-diffusion model, as stochastic volatility alone delivers the best portfolio performance. In addition, adding jumps in volatility yields more economic gains over the jump-diffusion model.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Stock return predictability continues to attract an enormous amount of attention and yet the empirical evidence struggles to meet a general consensus. While a number of studies debate on the ability of economically meaningful variables such as dividend yield, term spread and consumption-wealth ratio to predict future stock returns, an important strand of the literature focuses on how to accurately incorporate the effect of stylized facts such as stochastic volatility and jumps on the data generating process of stock returns. However attempts have produced mixed results and mainly examined model specifications by using statistical measures. The economic advantage of using double-jump models remains largely unexplored. We find that, under both latent volatility and realized volatility measures, although jumps clearly affect the optimal weights, the pure diffusion model has better portfolio performance than jump-diffusion model, as stochastic volatility alone delivers the best portfolio performance. In addition, adding jumps in volatility yields more economic gains over the jump-diffusion model.

Biographie de l'auteur

Ye Zhou, PhD: Studied Quantitative Finance at Warwick Business School. He is presently a financial analyst at Bank of America Merrill Lynch, specialising in equity derivatives and credit derivatives.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2016
Langue
anglais
ISBN 10 
3659898325
ISBN 13 
9783659898327
Reliure
Broché
Nombre de pages
168
Coordonnées du fabricant
non disponible
Personne responsable
KreGa Onlinehandel GmbH
4950000000000
info@krega-onlinehandel.de

Birkenweg 31
Brakel
33034
Allemagne