Search results for "Excess return"
showing 3 items of 3 documents
Elliptically Symmetric Distributions: A Review of Achieved Results and Open Issues
2005
The spherically and elliptically symmetrical distributions are used in different statistical areas for different purposes such as the description of multivariate data, in order to find alternatives to the normal distribution in multinormality tests and in the creation of statistical models in which the usual assumption of normality is not realistic. Some achieved results, open issues and some proposals for their use in applications, especially in the financial area, are here presented.
(In)Efficiencies in Latin American ETFs
2017
Este estudio evalúa empíricamente la eficiencia en la valoración de varios ETFs latinoamericanos, expresada en desviaciones de sus precios de mercado frente a los valores liquidativos subyacentes. Se cuantifican tales ineficiencias y se implementa una estrategia de negociación verificada por regresiones basadas en el CAPM y el Modelo Fama-French. Los resultados discrepan con la Hipótesis de los Mercados Eficientes y son mejor explicados por aspectos de las finanzas comportamentales. Finalmente, se examina cómo las desviaciones influyen sobre la decisión de creación o redención de ETFs, mediante un análisis de regresión logística. Los resultados evidencian que los participantes autorizados r…
Modeling Conditional Skewness in Stock Returns
2007
Abstract In this paper, we propose a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness. The model is based on the so-called z distribution capable of modeling skewness and kurtosis of the size typically encountered in stock return series. The need to allow for skewness can also be readily tested. The model is consistent with the volatility feedback effect in that conditional skewness is dependent on conditional variance. Compared to previously presented GARCH models allowing for conditional skewness, the model is analytically tractable, parsimonious and facilitates straightforward interpretation.Our empirical results indicate the presence of conditional skewness in the mon…