Do Asset Returns Hedge Against Inflation in Pakistan

2008 ◽  
Author(s):  
Khalid Mustafa ◽  
Mohammed Nishat
Keyword(s):  
Asset Returns

Dynamics of Asset Returns Considering Asymmetric Volatility Effects: Evidences from Korean Asset Markets

2011 ◽  
Vol 33 (1) ◽  
pp. 93-124
Author(s):  
Yun-Yeong Kim ◽  
Lee, Jinsoo
Keyword(s):  
Asset Returns ◽  
Asset Markets ◽  
Asymmetric Volatility

Properties of the beta coefficient of the global minimum variance portfolio

2020 ◽  
Vol 8 (1) ◽  
pp. 11-21
Author(s):  
S. M. Yaroshko ◽  
◽  
M. V. Zabolotskyy ◽  
T. M. Zabolotskyy ◽  
◽  
...  
Keyword(s):  
Confidence Interval ◽  
Asymptotic Distribution ◽  
Global Minimum ◽  
Asset Returns ◽  
Minimum Variance ◽  
Benchmark Portfolio ◽  
Beta Coefficient ◽  
Minimum Variance Portfolio ◽  
Global Minimum Variance Portfolio ◽  
Daily Returns

The paper is devoted to the investigation of statistical properties of the sample estimator of the beta coefficient in the case when the weights of benchmark portfolio are constant and for the target portfolio, the global minimum variance portfolio is taken. We provide the asymptotic distribution of the sample estimator of the beta coefficient assuming that the asset returns are multivariate normally distributed. Based on the asymptotic distribution we construct the confidence interval for the beta coefficient. We use the daily returns on the assets included in the DAX index for the period from 01.01.2018 to 30.09.2019 to compare empirical and asymptotic means, variances and densities of the standardized estimator for the beta coefficient. We obtain that the bias of the sample estimator converges to zero very slowly for a large number of assets in the portfolio. We present the adjusted estimator of the beta coefficient for which convergence of the empirical variances to the asymptotic ones is not significantly slower than for a sample estimator but the bias of the adjusted estimator is significantly smaller.

Learning and Mean Reversion in Asset Returns

CFA Digest ◽  
2000 ◽  
Vol 30 (3) ◽  
pp. 56-57
Author(s):  
William H. Sackley
Keyword(s):  
Mean Reversion ◽  
Asset Returns

Productivity, Asset Returns, and International Index Momentum

2007 ◽  
Author(s):  
Zhiwu Chen ◽  
Yangru Wu ◽  
Hong Zhang
Keyword(s):  
Asset Returns

Innovation and Asset Returns

2009 ◽  
Author(s):  
Nicolae Bogdan Garleanu ◽  
Leonid Kogan ◽  
Stavros Panageas
Keyword(s):  
Asset Returns

Is Beta is Relevant to Asset Returns? Evidence from a Conditional Test

2013 ◽  
Author(s):  
Bernard Bollen ◽  
Philip Gharghori
Keyword(s):  
Asset Returns ◽  
Conditional Test
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