Discussion of 'Systematic Risk and Empirical Research.'

Article Abstract:

The latest research on the link between stock returns and systematic risk factors has tended to concentrate on variables that describe the return generating process in the wake of a series of research papers contributed by authors E.F. Fama and K.R. French. Authors David Ashton's and Mark Tippett's study raises concerns about tests based on a model where the market portfolio has a pivotal function. However, it will be argued that the gloomy outlook suggested by these results are not necessarily as bleak as they appear.

Accounting Methods, Asset & Risk Management, Risk assessment, Accounting, Criticism and interpretation, Ashton, David, Tippett, Mark

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Forecasting volatility for portfolio selection

Article Abstract:

A study was conducted to investigate the forecasting performance of time series forecasts over a three-month investment period and option based implied volatilities. The examination employed three time series models and 24 implied volatility estimation models. Results showed that implied volatilities generate improved individual forecasts than time series. Nevertheless, forecasts that integrate volatilities and time series estimates perform better than both component forecasts.

Portfolio management

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