Publikationen

Publikationen des Lehrstuhls

On the performance of volatility-managed equity factors - international and further evidence

Art der Publikation: Arbeitspapier

On the performance of volatility-managed equity factors - international and further evidence

Autor(en):
Schwarz, Patrick
Veröffentlichung:
2021
Schlagworte:
Volatility-managed portfolio; Transaction costs; Factor timing; Culture; International stock markets
Ergänzende Unterlagen:
Online Appendix
Link zum Volltext:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3951115
Vortrag zu dieser Publikation:
28th Annual Meeting of the German Finance Association (DGF)
Zitation:
Download BibTeX

Kurzfassung

Abstract

Motivated by the mixed evidence on the performance of (downside) volatility-managed equity factor portfolios in the U.S., I study the performance of nine (downside) volatility-managed equity factors before and after considering transaction costs in a set of 45 international equity markets. My results suggest that volatility management is most promising for market, value, profitability, and momentum portfolios and that the performance can be enhanced by applying downside volatility instead of total volatility (variance) as a scaling factor. Nevertheless, a marginal trader would find it difficult to profit from these strategies as only the managed market and momentum strategies are partially robust to my transaction cost estimations. Collectively, my results suggest that the persistence of abnormal returns of (downside) volatility-managed equity factors can largely be explained by the associated transaction costs. Finally, my cross-country analysis suggests that the slow trading hypothesis is partially able to explain cross-country performance differences of volatility-managed value and momentum portfolios.

Vorträge

Hier finden Sie ausgewählte Vorträge des Lehrstuhls.

Zur Vortragsübersicht

Curriculum

Hier finden Sie zahlreiche Informationen zu all unseren Lehrveranstaltungen.

Curriculum

Seminararbeiten

Hier finden Sie Informationen zu unserem Seminarangebot.

Seminararbeiten

Abschlussarbeiten

Hier finden Sie Informationen zu unserem Abschlussarbeitenangebot.

Abschlussarbeiten