Time variation of the equity term structure
NJ Gormsen - The Journal of Finance, 2021 - Wiley Online Library
ABSTRACT I study the term structure of one‐period expected returns on dividend claims
with different maturity. I find that the slope of the term structure is countercyclical. The …
with different maturity. I find that the slope of the term structure is countercyclical. The …
How do factor premia vary over time? A century of evidence
A Ilmanen, R Israel, TJ Moskowitz… - A Century of Evidence …, 2021 - papers.ssrn.com
Evaluating how factor premia vary over time and across asset classes is challenging due to
limited time series data, especially outside of US equities. We examine four prominent …
limited time series data, especially outside of US equities. We examine four prominent …
The FOMC risk shift
We identify a component of monetary policy news that is extracted from high-frequency
changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated …
changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated …
Value return predictability across asset classes and commonalities in risk premia
We show that returns to value strategies in individual equities, industries, commodities,
currencies, global government bonds, and global stock indexes are predictable in the time …
currencies, global government bonds, and global stock indexes are predictable in the time …
Monetary policy and exchange rate returns: Time-varying risk regimes
CW Calomiris, H Mamaysky - 2019 - nber.org
We develop an empirical model of exchange rate returns, applied separately to samples of
developed (DM) and developing (EM) economies' currencies against the dollar. Monetary …
developed (DM) and developing (EM) economies' currencies against the dollar. Monetary …
Time-series variation in factor premia: The influence of the business cycle
C Polk, M Haghbin, A De Longis - … 2020), Polk, C., Haghbin, M., and …, 2019 - papers.ssrn.com
Factor cyclicality can be understood in the context of factor sensitivity to aggregate cash-flow
news. Factors exhibit different sensitivities to macroeconomic risk, and this heterogeneity …
news. Factors exhibit different sensitivities to macroeconomic risk, and this heterogeneity …
[HTML][HTML] A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-making algorithm
J Falces Marin, D Díaz Pardo de Vera… - PloS One, 2022 - journals.plos.org
Market making is a high-frequency trading problem for which solutions based on
reinforcement learning (RL) are being explored increasingly. This paper presents an …
reinforcement learning (RL) are being explored increasingly. This paper presents an …
Extrapolators at the gate: Market-wide misvaluation and the value premium
S Cassella, Z Chen, H Gulen… - Available at SSRN …, 2022 - papers.ssrn.com
We show that the magnitude of the value premium over 1968-2018 is conditional on
aggregate market-wide misvaluation. The value premium is 3.42% per month following …
aggregate market-wide misvaluation. The value premium is 3.42% per month following …
The performance of characteristic-sorted portfolios: Evaluating the past and predicting the future
We present a statistical model that accounts for persistent fluctuations in characteristic-
sorted portfolio returns. The model provides a simple formula for adjusting the standard …
sorted portfolio returns. The model provides a simple formula for adjusting the standard …
Understanding Factor Value
S Zhang - Fisher College of Business Working Paper, 2024 - papers.ssrn.com
The value spread of factors fluctuates over time because of changes in market equity or
book value but predicts factor returns only through the component driven by market equity …
book value but predicts factor returns only through the component driven by market equity …