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Full-Text Articles in Economics
Direction-Of-Change Forecasts For Asian Equity Markets Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Robert S. Mariano, Anthony S. Tay, Yiu Kuen Tse
Direction-Of-Change Forecasts For Asian Equity Markets Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Robert S. Mariano, Anthony S. Tay, Yiu Kuen Tse
Research Collection School Of Economics
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.
Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung
Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung
Finance Faculty Publications
We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …