ORCID Profile
0000-0001-9982-1164
Current Organisation
UNSW Sydney
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Publisher: Elsevier BV
Date: 06-2022
Publisher: Elsevier BV
Date: 04-2020
Publisher: Cambridge University Press (CUP)
Date: 21-12-2019
DOI: 10.1017/S0022109018000637
Abstract: We develop an intertemporal asset pricing model where cash-flow news, discount-rate news, and their second moments are priced by the market. This model generalizes the market-return decomposition framework, showing that intertemporal considerations imply a decomposition of squared market returns (coskewness risk). Our model accounts for 68% of the return variation across portfolios sorted by size, book-to-market ratio, momentum, investment, and profitability for a modern U.S. s le period. Further, our findings highlight the importance of covariation risk, that is, the risk of simultaneous unfavorable shocks to cash flows and discount rates, in understanding equity risk premia.
Publisher: Oxford University Press (OUP)
Date: 04-04-2022
DOI: 10.1093/RFS/HHAB041
Abstract: Portfolio optimization often struggles in realistic out-of-s le contexts. We deconstruct this stylized fact by comparing historical forecasts of portfolio optimization inputs with subsequent out-of-s le values. We confirm that historical forecasts are imprecise guides of subsequent values, but we discover the resultant forecast errors are not entirely random. They have predictable patterns and can be partially reduced using their own history. Learning from past forecast errors to calibrate inputs (akin to empirical Bayesian learning) generates portfolio performance that reinforces the case for optimization. Furthermore, the portfolios achieve performance that meets expectations, a desirable yet elusive feature of optimization methods. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
Publisher: Elsevier BV
Date: 04-2021
Publisher: Pageant Media US
Date: 30-06-2018
Publisher: Elsevier BV
Date: 09-2013
Publisher: Research Square Platform LLC
Date: 06-04-2023
DOI: 10.21203/RS.3.RS-2775978/V1
Abstract: Yes. The reward is a decline in sovereign bond yields of countries that commit to reducing greenhouse gas emissions under a climate agreement. This decrease is likely due to climate-aware investors incentivizing governments for such climate-friendly decisions. Transition and regulatory climate risks are expected to increase after signing a climate agreement, so they cannot explain a decrease in yields. Exposures to physical climate risks play a role, but their effect is weaker than the incentive effect. Overall, our findings suggest that climate-aware investors are nudging governments to cooperate in international climate agreements.
Publisher: Cambridge University Press (CUP)
Date: 12-10-2018
DOI: 10.1017/S0022109018000376
Abstract: To price assets with a parsimonious set of factor-mimicking portfolios, one typically identifies and weights well- ersified basis portfolios. Traditional weightings lead to factor-mimicking portfolios that are unlikely to price even the basis portfolios from which they are formed. We offer a method to combine basis portfolios into a single factor-mimicking portfolio that is closely linked to the optimal portfolio. In practice, this method improves the pricing accuracy of parsimonious factor models, even for anomaly portfolios formed from characteristics that are distinct from those underlying the basis portfolios.
Publisher: Elsevier BV
Date: 11-2015
Publisher: Pageant Media US
Date: 09-05-2018
Location: United States of America
No related grants have been discovered for Konark Saxena.