Conditional alphas and realized betas
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/11330 |
Resumo: | This paper proposes a two-step procedure to back out the conditional alpha of a given stock using high-frequency data. We rst estimate the realized factor loadings of the stocks, and then retrieve their conditional alphas by estimating the conditional expectation of their risk-adjusted returns. We start with the underlying continuous-time stochastic process that governs the dynamics of every stock price and then derive the conditions under which we may consistently estimate the daily factor loadings and the resulting conditional alphas. We also contribute empiri-cally to the conditional CAPM literature by examining the main drivers of the conditional alphas of the S&P 100 index constituents from January 2001 to December 2008. In addition, to con rm whether these conditional alphas indeed relate to pricing errors, we assess the performance of both cross-sectional and time-series momentum strategies based on the conditional alpha estimates. The ndings are very promising in that these strategies not only seem to perform pretty well both in absolute and relative terms, but also exhibit virtually no systematic exposure to the usual risk factors (namely, market, size, value and momentum portfolios). |
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Corradi, ValentinaDistaso, WalterFernandes, MarceloEscolas::EESP2013-12-06T20:35:11Z2013-12-06T20:35:11Z2013-12-06TD 341http://hdl.handle.net/10438/11330This paper proposes a two-step procedure to back out the conditional alpha of a given stock using high-frequency data. We rst estimate the realized factor loadings of the stocks, and then retrieve their conditional alphas by estimating the conditional expectation of their risk-adjusted returns. We start with the underlying continuous-time stochastic process that governs the dynamics of every stock price and then derive the conditions under which we may consistently estimate the daily factor loadings and the resulting conditional alphas. We also contribute empiri-cally to the conditional CAPM literature by examining the main drivers of the conditional alphas of the S&P 100 index constituents from January 2001 to December 2008. In addition, to con rm whether these conditional alphas indeed relate to pricing errors, we assess the performance of both cross-sectional and time-series momentum strategies based on the conditional alpha estimates. The ndings are very promising in that these strategies not only seem to perform pretty well both in absolute and relative terms, but also exhibit virtually no systematic exposure to the usual risk factors (namely, market, size, value and momentum portfolios).engEESP - Textos para Discussão;TD 341Asset pricingConditional CAPMPricing errorsRealized betaRisk-adjusted performanceEconomiaControle de estoqueConditional alphas and realized betasinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTD 341 - CEQEF 09 - Valentina Corradi - Walter Distaso - Marcelo Fernandes.pdfTD 341 - CEQEF 09 - Valentina Corradi - Walter Distaso - Marcelo 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dc.title.eng.fl_str_mv |
Conditional alphas and realized betas |
title |
Conditional alphas and realized betas |
spellingShingle |
Conditional alphas and realized betas Corradi, Valentina Asset pricing Conditional CAPM Pricing errors Realized beta Risk-adjusted performance Economia Controle de estoque |
title_short |
Conditional alphas and realized betas |
title_full |
Conditional alphas and realized betas |
title_fullStr |
Conditional alphas and realized betas |
title_full_unstemmed |
Conditional alphas and realized betas |
title_sort |
Conditional alphas and realized betas |
author |
Corradi, Valentina |
author_facet |
Corradi, Valentina Distaso, Walter Fernandes, Marcelo |
author_role |
author |
author2 |
Distaso, Walter Fernandes, Marcelo |
author2_role |
author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.author.fl_str_mv |
Corradi, Valentina Distaso, Walter Fernandes, Marcelo |
dc.subject.por.fl_str_mv |
Asset pricing Conditional CAPM Pricing errors Realized beta Risk-adjusted performance |
topic |
Asset pricing Conditional CAPM Pricing errors Realized beta Risk-adjusted performance Economia Controle de estoque |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Controle de estoque |
description |
This paper proposes a two-step procedure to back out the conditional alpha of a given stock using high-frequency data. We rst estimate the realized factor loadings of the stocks, and then retrieve their conditional alphas by estimating the conditional expectation of their risk-adjusted returns. We start with the underlying continuous-time stochastic process that governs the dynamics of every stock price and then derive the conditions under which we may consistently estimate the daily factor loadings and the resulting conditional alphas. We also contribute empiri-cally to the conditional CAPM literature by examining the main drivers of the conditional alphas of the S&P 100 index constituents from January 2001 to December 2008. In addition, to con rm whether these conditional alphas indeed relate to pricing errors, we assess the performance of both cross-sectional and time-series momentum strategies based on the conditional alpha estimates. The ndings are very promising in that these strategies not only seem to perform pretty well both in absolute and relative terms, but also exhibit virtually no systematic exposure to the usual risk factors (namely, market, size, value and momentum portfolios). |
publishDate |
2013 |
dc.date.accessioned.fl_str_mv |
2013-12-06T20:35:11Z |
dc.date.available.fl_str_mv |
2013-12-06T20:35:11Z |
dc.date.issued.fl_str_mv |
2013-12-06 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
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dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/11330 |
dc.identifier.sici.none.fl_str_mv |
TD 341 |
identifier_str_mv |
TD 341 |
url |
http://hdl.handle.net/10438/11330 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
EESP - Textos para Discussão;TD 341 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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