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

Zhou, Ye

Softcover

ISBN 10: 3659898325 ISBN 13: 9783659898327

Verlag: LAP LAMBERT Academic Publishing, 2016

Inhaltsangabe

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.

Über diesen Titel

Über die Autorin bzw. den Autor

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.

Details zur Ausgabe

• Verlag: LAP LAMBERT Academic Publishing
• Erscheinungsdatum: 2016
• Sprache: Englisch
• ISBN 10: 3659898325
• ISBN 13: 9783659898327
• Einband: Taschenbuch
• Anzahl der Seiten: 168
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: SIA OmniScriptum Publishing; customerservice@vdm-vsg.de; ; Brivibas gatve 197; Riga; 1039; Lettland