Models for expected returns with statistical factors

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dc.contributor.author Cueto, José Manuel
dc.contributor.author Grané Chávez, Aurea
dc.contributor.author Cascos Fernández, Ignacio
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2019-09-09T17:39:25Z
dc.date.available 2019-09-09T17:39:25Z
dc.date.issued 2019-09-04
dc.identifier.issn 2387-0303
dc.identifier.uri http://hdl.handle.net/10016/28776
dc.description.abstract In this paper we propose factor-models assembled out of three new factors and evaluate them on European Equities. The new factors are built from statistical measurements on stock prices, in particular, coefficient of variation, skewness and kurtosis. Data come from Reuters, correspond to nearly 2000 EU companies and span from Jan-2008 to Feb-2018. Regarding methodology, we propose a non-parametric resampling procedure that accounts for time dependency in order to test the validity of the model and the significance of the parameters involved. We compare our bootstrap- based inferential results with classical proposals (based on F-statistics). Methods under assessment are Time-series regression, Cross-Sectional regression and the Fama-MacBeth procedure. The main findings indicate that the two factors that better improve the CAPM-model with regard to the adjusted R2 in the time-series regressions are the skewness and the cofficient of variation. For this reason, a model including those two factors together with the market is thoroughly studied.
dc.description.sponsorship Research partially supported by ECO2015-66593-P
dc.language.iso eng
dc.relation.ispartofseries Working paper. Statistics and Econometrics
dc.relation.ispartofseries 19-12
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Asset Pricing
dc.subject.other Bootstrap
dc.subject.other Cross-Sectional Regression
dc.subject.other Factor Models
dc.subject.other Time Series
dc.title Models for expected returns with statistical factors
dc.type workingPaper
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2015-66593-P
dc.type.version draft
dc.identifier.uxxi DT/0000001723
dc.contributor.funder Ministerio de Economía y Competitividad (España)
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