Long-run risks in international stock markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2008
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 166 S. graph. Darst. |
Internformat
MARC
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| 100 | 1 | |a Bernhard, Jan |d 1978- |e Verfasser |0 (DE-588)13651149X |4 aut | |
| 245 | 1 | 0 | |a Long-run risks in international stock markets |c submitted by Jan Bernhard |
| 246 | 1 | 3 | |a Long run risks in international stock markets |
| 264 | 1 | |c 2008 | |
| 300 | |a XII, 166 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Sankt Gallen, Univ., Diss., 2008 |o Dissertation no. 3495 | ||
| 650 | 7 | |a Aktienindex |2 stw | |
| 650 | 7 | |a Aktienmarkt |2 stw | |
| 650 | 7 | |a Internationaler Finanzmarkt |2 stw | |
| 650 | 7 | |a Marktrisiko |2 stw | |
| 650 | 7 | |a VAR-Modell |2 stw | |
| 650 | 0 | 7 | |a Risikoanalyse |0 (DE-588)4137042-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Internationaler Aktienmarkt |0 (DE-588)4257200-9 |2 gnd |9 rswk-swf |
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| 689 | 0 | 0 | |a Internationaler Aktienmarkt |0 (DE-588)4257200-9 |D s |
| 689 | 0 | 1 | |a Risikoanalyse |0 (DE-588)4137042-9 |D s |
| 689 | 0 | 2 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |D s |
| 689 | 0 | |5 DE-604 | |
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Datensatz im Suchindex
| _version_ | 1804138065065672704 |
|---|---|
| adam_text | Contents
1 Introduction 1
1.1 Motivation and contribution........................ 1
1.2 Literature review.............................. 3
2 International value premium 11
2.1 International country index data...................... 11
2.2 Portfolio construction............................ 14
2.3 Portfolio composition and asset turnover................. 19
2.4 Cash flow analysis.............................. 20
2.A Appendix.................................. 23
3 Theoretical framework of international long-run risk models 24
3.1 International Bansal-Yaron (2004) economy ............... 25
3.2 Calibration of the international long-run risk model........... 32
3.2.1 Calibration of consumption and dividend growth rates ..... 32
3.2.2 Asset pricing implications..................... 35
3.3 International long-run risk model and cointegration........... 38
3.A Appendix.................................. 44
3.A.1 Proof of proposition: International equity premium and return
volatility............................... 44
3.A.2 Derivation of the risk-free rate dynamics............. 46
4 Empirical long-run risk analysis 47
4.1 Estimation of the international long-run risk model........... 47
4.1.1 Growth-rate-projection-based cash flow beta estimation..... 48
4.1.2 Innovation-based cash flow beta analysis............. 54
4.1.3 Cointegration-based estimation of cash flow betas........ 57
4.2 Horse race — cross-sectional evidence on international long-run risk and
standard asset pricing models....................... 60
4.3 Monte-Carlo study............................. 65
4.4 Return-based international long-run risk model ............. 67
4.5 International size and momentum anomalies in the long-run risk model 70
4.6 Predictability of international cash flow growth rates and returns ... 72
Contents IX
4.6.1 Methodology for testing long-horizon predictability....... 73
4.6.2 Empirical results of the long-horizon regressions......... 75
4.7 Summary .................................. 83
4.A Appendix.................................. 84
4.A.1 GMM estimation.......................... 84
4.A.2 Fama-MacBeth estimation..................... 86
4.A.3 (Un-)conditional moments of multi-period VAR dynamics .... 86
5 International multi-factor long-run risk model based on common interna-
tional low-frequency components 89
5.1 International multi-factor long-run risk model.............. 91
5.2 Estimation framework ........................... 93
5.3 Data sample................................. 96
5.4 Estimation of common international low-frequency factors ....... 97
5.5 Robustness tests and cointegration framework.............. 102
5.5.1 Monte-Carlo and Bootstrap analysis ............... 103
5.5.2 Cointegration study of international consumption data..... 105
5.6 Empirical analysis of the multi-factor long-run risk models....... 107
5.7 Summary .................................. 115
5.A Appendix.................................. 117
6 Long-run risks in international asset allocation 120
6.1 Parametric asset allocation and currency hedging framework...... 122
6.2 Data sample and asset characteristics................... 126
6.3 Parametric asset allocation with single characteristics.......... 127
6.4 Parametric asset allocation with multiple characteristics ........ 132
6.5 Long-term asset allocation......................... 134
6.6 Parametric currency hedging policies................... 136
6.7 Summary .................................. 143
7 Conclusion 145
Bibliography 149
List of Figures
2.1 Annual value spreads of global equity portfolios............. 16
2.2 U.S. log cash flow-to-consumption ratio.................. 21
3.1 Equity premium of U.S. market index................... 37
3.2 Trade-weighted exchange index: major currencies............ 43
4.1 Comovement of international cash flow growth rates and long-run U.S.
consumption growth............................ 52
4.2 Long-run U.S. consumption growth.................... 57
4.3 Predictability of dividend growth rates implied by error-correction VAR 79
4.4 Predictability of dividend growth rates implied by VAR......... 80
4.5 Predictability of portfolio returns implied by error-correction VAR ... 82
4.6 Predictability of portfolio returns implied by VAR............ 83
5.1 Scree plots of multi-period consumption growth rates.......... 98
5.2 U.S. consumption growth and international low-frequency factors . . . 101
List of Tables
2.1 Descriptive statistics of MSCI country indices.............. 12
2.2 Descriptive statistics of the international value premium ........ 17
2.3 Risk analysis of global value and growth portfolios............ 18
2.4 Composition of international value and growth portfolios........ 19
2.5 Descriptive statistics of quarterly per share cash flow growth rates ... 22
2.6 Descriptive statistics of the real international value premium...... 23
3.1 Parameter specification........................... 33
3.2 Consumption and dividend growth dynamics............... 34
3.3 Asset pricing implications of the international long-run risk model ... 36
4.1 Cash flow betas based on growth rate projection three portfolios ... 50
4.2 Cash flow betas based on growth rate projection - two portfolios .... 51
4.3 Wald test: International cash flow betas................. 51
4.4 Predictability of U.S. consumption growth................ 56
4.5 Innovation-based estimation of cash flow betas.............. 58
4.6 Cointegration-based estimation of cash flow betas............ 59
4.7 Cross-sectional evidence - three portfolios ................ 61
4.8 Cross-sectional evidence - five portfolios................. 62
4.9 Cross-sectional analysis of international CAPM and CCAPM...... 64
4.10 Monte-Carlo study of international long-run risk model......... 66
4.11 International return-consumption betas.................. 68
4.12 Cross-sectional analysis of return-based international long-run risk model 69
4.13 International value, momentum and size premium............ 70
4.14 International long-run risk model with momentum and size portfolios . 71
4.15 Autocorrelation function of predictive variables ............. 76
4.16 Multivariate long-horizon regression - international cash flow growth rates 77
4.17 Multivariate long-horizon regression - international portfolio returns . 81
5.1 Descriptive statistics of international consumption growth rates in U.S.
dollars.................................... 96
5.2 Rotated factor loadings of long-run consumption growth rates..... 99
5.3 Identification of extracted factors..................... 100
5.4 Bootstrapping test of factor analysis ................... 103
XII__________________________________List of Tables
5.5 Monte-Carlo study of factor analysis ................... 104
5.6 Cointegration analysis of international consumption data........ 107
5.7 Cash flow betas of various multi-factor long-run risk models ...... 109
5.8 Cross-sectional tests of two-factor long-run risk models......... Ill
5.9 Monte-Carlo test of European long-run risk factor model........ 113
5.10 Cross-sectional tests of multi-factor long-run risk models........ 114
5.11 Rotated factor loadings of consumption, GDP, and industrial produc-
tion growth rates.............................. 117
5.12 Robustness tests of international multi-factor long-run risk models (A) 118
5.13 Robustness tests of international multi-factor long-run risk models (B) 119
6.1 International parametric asset allocation strategies............ 128
6.2 Conditional parametric asset allocation strategies............ 131
6.3 Parametric asset allocation with multiple characteristics ........ 133
6.4 Long-term parametric asset allocation................... 135
6.5 Simple currency hedging strategies .................... 138
6.6 Parametric currency hedging strategies.................. 140
6.7 Out-of-sample test: Parametric currency hedging ............ 142
|
| adam_txt |
Contents
1 Introduction 1
1.1 Motivation and contribution. 1
1.2 Literature review. 3
2 International value premium 11
2.1 International country index data. 11
2.2 Portfolio construction. 14
2.3 Portfolio composition and asset turnover. 19
2.4 Cash flow analysis. 20
2.A Appendix. 23
3 Theoretical framework of international long-run risk models 24
3.1 International Bansal-Yaron (2004) economy . 25
3.2 Calibration of the international long-run risk model. 32
3.2.1 Calibration of consumption and dividend growth rates . 32
3.2.2 Asset pricing implications. 35
3.3 International long-run risk model and cointegration. 38
3.A Appendix. 44
3.A.1 Proof of proposition: International equity premium and return
volatility. 44
3.A.2 Derivation of the risk-free rate dynamics. 46
4 Empirical long-run risk analysis 47
4.1 Estimation of the international long-run risk model. 47
4.1.1 Growth-rate-projection-based cash flow beta estimation. 48
4.1.2 Innovation-based cash flow beta analysis. 54
4.1.3 Cointegration-based estimation of cash flow betas. 57
4.2 Horse race — cross-sectional evidence on international long-run risk and
standard asset pricing models. 60
4.3 Monte-Carlo study. 65
4.4 Return-based international long-run risk model . 67
4.5 International size and momentum anomalies in the long-run risk model 70
4.6 Predictability of international cash flow growth rates and returns . 72
Contents IX
4.6.1 Methodology for testing long-horizon predictability. 73
4.6.2 Empirical results of the long-horizon regressions. 75
4.7 Summary . 83
4.A Appendix. 84
4.A.1 GMM estimation. 84
4.A.2 Fama-MacBeth estimation. 86
4.A.3 (Un-)conditional moments of multi-period VAR dynamics . 86
5 International multi-factor long-run risk model based on common interna-
tional low-frequency components 89
5.1 International multi-factor long-run risk model. 91
5.2 Estimation framework . 93
5.3 Data sample. 96
5.4 Estimation of common international low-frequency factors . 97
5.5 Robustness tests and cointegration framework. 102
5.5.1 Monte-Carlo and Bootstrap analysis . 103
5.5.2 Cointegration study of international consumption data. 105
5.6 Empirical analysis of the multi-factor long-run risk models. 107
5.7 Summary . 115
5.A Appendix. 117
6 Long-run risks in international asset allocation 120
6.1 Parametric asset allocation and currency hedging framework. 122
6.2 Data sample and asset characteristics. 126
6.3 Parametric asset allocation with single characteristics. 127
6.4 Parametric asset allocation with multiple characteristics . 132
6.5 Long-term asset allocation. 134
6.6 Parametric currency hedging policies. 136
6.7 Summary . 143
7 Conclusion 145
Bibliography 149
List of Figures
2.1 Annual value spreads of global equity portfolios. 16
2.2 U.S. log cash flow-to-consumption ratio. 21
3.1 Equity premium of U.S. market index. 37
3.2 Trade-weighted exchange index: major currencies. 43
4.1 Comovement of international cash flow growth rates and long-run U.S.
consumption growth. 52
4.2 Long-run U.S. consumption growth. 57
4.3 Predictability of dividend growth rates implied by error-correction VAR 79
4.4 Predictability of dividend growth rates implied by VAR. 80
4.5 Predictability of portfolio returns implied by error-correction VAR . 82
4.6 Predictability of portfolio returns implied by VAR. 83
5.1 Scree plots of multi-period consumption growth rates. 98
5.2 U.S. consumption growth and international low-frequency factors . . . 101
List of Tables
2.1 Descriptive statistics of MSCI country indices. 12
2.2 Descriptive statistics of the international value premium . 17
2.3 Risk analysis of global value and growth portfolios. 18
2.4 Composition of international value and growth portfolios. 19
2.5 Descriptive statistics of quarterly per share cash flow growth rates . 22
2.6 Descriptive statistics of the real international value premium. 23
3.1 Parameter specification. 33
3.2 Consumption and dividend growth dynamics. 34
3.3 Asset pricing implications of the international long-run risk model . 36
4.1 Cash flow betas based on growth rate projection three portfolios . 50
4.2 Cash flow betas based on growth rate projection - two portfolios . 51
4.3 Wald test: International cash flow betas. 51
4.4 Predictability of U.S. consumption growth. 56
4.5 Innovation-based estimation of cash flow betas. 58
4.6 Cointegration-based estimation of cash flow betas. 59
4.7 Cross-sectional evidence - three portfolios . 61
4.8 Cross-sectional evidence - five portfolios. 62
4.9 Cross-sectional analysis of international CAPM and CCAPM. 64
4.10 Monte-Carlo study of international long-run risk model. 66
4.11 International return-consumption betas. 68
4.12 Cross-sectional analysis of return-based international long-run risk model 69
4.13 International value, momentum and size premium. 70
4.14 International long-run risk model with momentum and size portfolios . 71
4.15 Autocorrelation function of predictive variables . 76
4.16 Multivariate long-horizon regression - international cash flow growth rates 77
4.17 Multivariate long-horizon regression - international portfolio returns . 81
5.1 Descriptive statistics of international consumption growth rates in U.S.
dollars. 96
5.2 Rotated factor loadings of long-run consumption growth rates. 99
5.3 Identification of extracted factors. 100
5.4 Bootstrapping test of factor analysis . 103
XII_List of Tables
5.5 Monte-Carlo study of factor analysis . 104
5.6 Cointegration analysis of international consumption data. 107
5.7 Cash flow betas of various multi-factor long-run risk models . 109
5.8 Cross-sectional tests of two-factor long-run risk models. Ill
5.9 Monte-Carlo test of European long-run risk factor model. 113
5.10 Cross-sectional tests of multi-factor long-run risk models. 114
5.11 Rotated factor loadings of consumption, GDP, and industrial produc-
tion growth rates. 117
5.12 Robustness tests of international multi-factor long-run risk models (A) 118
5.13 Robustness tests of international multi-factor long-run risk models (B) 119
6.1 International parametric asset allocation strategies. 128
6.2 Conditional parametric asset allocation strategies. 131
6.3 Parametric asset allocation with multiple characteristics . 133
6.4 Long-term parametric asset allocation. 135
6.5 Simple currency hedging strategies . 138
6.6 Parametric currency hedging strategies. 140
6.7 Out-of-sample test: Parametric currency hedging . 142 |
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| author | Bernhard, Jan 1978- |
| author_GND | (DE-588)13651149X |
| author_facet | Bernhard, Jan 1978- |
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| genre_facet | Hochschulschrift |
| id | DE-604.BV035102306 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:14:37Z |
| indexdate | 2024-07-09T21:22:15Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016770269 |
| oclc_num | 551218718 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-384 DE-703 DE-634 DE-83 DE-188 |
| owner_facet | DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-384 DE-703 DE-634 DE-83 DE-188 |
| physical | XII, 166 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| record_format | marc |
| spelling | Bernhard, Jan 1978- Verfasser (DE-588)13651149X aut Long-run risks in international stock markets submitted by Jan Bernhard Long run risks in international stock markets 2008 XII, 166 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Sankt Gallen, Univ., Diss., 2008 Dissertation no. 3495 Aktienindex stw Aktienmarkt stw Internationaler Finanzmarkt stw Marktrisiko stw VAR-Modell stw Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Internationaler Aktienmarkt (DE-588)4257200-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Internationaler Aktienmarkt (DE-588)4257200-9 s Risikoanalyse (DE-588)4137042-9 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016770269&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bernhard, Jan 1978- Long-run risks in international stock markets Aktienindex stw Aktienmarkt stw Internationaler Finanzmarkt stw Marktrisiko stw VAR-Modell stw Risikoanalyse (DE-588)4137042-9 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Internationaler Aktienmarkt (DE-588)4257200-9 gnd |
| subject_GND | (DE-588)4137042-9 (DE-588)4121078-5 (DE-588)4257200-9 (DE-588)4113937-9 |
| title | Long-run risks in international stock markets |
| title_alt | Long run risks in international stock markets |
| title_auth | Long-run risks in international stock markets |
| title_exact_search | Long-run risks in international stock markets |
| title_exact_search_txtP | Long-run risks in international stock markets |
| title_full | Long-run risks in international stock markets submitted by Jan Bernhard |
| title_fullStr | Long-run risks in international stock markets submitted by Jan Bernhard |
| title_full_unstemmed | Long-run risks in international stock markets submitted by Jan Bernhard |
| title_short | Long-run risks in international stock markets |
| title_sort | long run risks in international stock markets |
| topic | Aktienindex stw Aktienmarkt stw Internationaler Finanzmarkt stw Marktrisiko stw VAR-Modell stw Risikoanalyse (DE-588)4137042-9 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Internationaler Aktienmarkt (DE-588)4257200-9 gnd |
| topic_facet | Aktienindex Aktienmarkt Internationaler Finanzmarkt Marktrisiko VAR-Modell Risikoanalyse Capital-Asset-Pricing-Modell Internationaler Aktienmarkt Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016770269&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT bernhardjan longrunrisksininternationalstockmarkets |