We provide statistical estimates of individual security mispricing which is defined as the departure of the market price from the prediction of a fundamental asset pricing model. We show that there is a return premium associated with systematic mispricing risk which is the dependence of the individual security mispricing on a market wide mispricing factor. The risk or characteristic-adjusted re...

The fluctuation of real estate prices has been a subject of public attention, and related studies are often unable to effectively measure changes due to limitations in information acquisition and modeling. In fact, the existence of abnormal return of the real estate market can be regarded as an important indicator of fluctuations in prices or a bubble. Therefore, based on the Capital Asset Pric...

We present a new method for testing whether a fund manager's track record allows us to infer that he is able to beat the market with high probability or is just plain lucky. The test is based on the martingale maximal inequality. Unlike other standard approaches the test is robust to the assumed distribution of returns while retaining substantial statistical power. The method is illustrated usi...

there have been several efforts in the literature to extract as much information as possible from the financial networks. most of the research has been concerned about the hierarchical structures, clustering, topology and also the behavior of the market network; but not a notable work on the network filtration exists. this paper proposes a stock market filtering model using the correlation - ba...

The factor structure of a single-country model is designed to capture all sources of equity return co-movement within a local market. Furthermore, the volatilities and correlations of the factors are estimated using stocks belonging only to the local market. Intuitively, therefore, single-country models should provide the most accurate risk forecasts for portfolios concentrated within the local...

Research on the impact of the introduction of derivatives on the market volatility has reported mixed evidences. In this paper, we study the volatility implications of the introduction of derivatives on the stock market in India using S&P CNX IT index. To account for the heteroscedasticity in the time series, GARCH model is used. We find clustering and persistence of volatility in different deg...

This thesis proposes an Artificial Neural Network (ANN) enhanced decision support system for financial risk management. The decision support system allows hedgers to maximise their expected return while practising the hedge against financial risks. The importance of the research stems from the fact that it can be used to reduce the risk associated with adverse price movements in the stock marke...

If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and rising markets. We find that stocks with high downs...

This paper examines the impact of RFID investment announcements on the market value of the firms and explores industry effects of the positive abnormal returns to firms making the announcements. Drawing upon the efficient market theory, market signaling hypothesis, and prior empirical studies, we employ event study methodology to analyze RFID investment announcements over a six-year period from...

We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that investors trade only in two portfolios: the market portfolio, and a hedging portfolio, which allows them ...