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29 results on '"Velikov, Mihail"'

2. Zeroing In on the Expected Returns of Anomalies.

Author

Chen, Andrew Y. and Velikov, Mihail

Subjects
EXPECTED returns, INVESTMENTS, RATE of return on stocks, SPREAD (Finance), COST, TENDER offers, MARKET volatility
Abstract

We zero in on the expected returns of long-short portfolios based on 204 stock market anomalies by accounting for i) effective bid–ask spreads, ii) post-publication effects, and iii) the modern era of trading technology that began in the early 2000s. Net of these effects, the average anomaly's expected return is a measly 4 bps per month. The strongest anomalies net, at best, 10 bps after controlling for data mining. Several methods for combining anomalies net around 20 bps. Expected returns are negligible despite cost mitigations that produce impressive net returns in-sample and the omission of additional trading costs, like price impact. [ABSTRACT FROM AUTHOR]

Published
2023
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13. Peer Momentum

Author

Misirli, Efdal, primary, Scida, Daniela, additional, and Velikov, Mihail, additional

Published
2020
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21. FOMC announcements and predictable returns.

Author

Velikov, Mihail (1987 - ), Novy-Marx, Robert, Velikov, Mihail (1987 - ), and Novy-Marx, Robert

Abstract

Thesis (Ph. D.)--University of Rochester. Simon School of Business, 2015., Existing literature associates FOMC meetings with abnormally high market returns and good performance of the CAPM. I show that both effects are concentrated on meetings with surprise cuts to the Fed funds target rate. Moreover, stocks that perform poorly around meetings with surprise rate cuts subsequently outperform the market. This behavior generates robust predictability in the cross section of monthly stock returns. Stocks whose returns have positive covariances with surprise changes to the Fed funds target rate carry a significant premium in their future returns. These covariances, however, are transient, indicating short-lived interest rate exposure for individual firms. The evidence is difficult to reconcile with equilibrium risk pricing of short-term interest rate shocks in the cross section of stock returns.

Published
2017

22. Show me the money: The monetary policy risk premium

Author

Ozdagli, Ali K. and Velikov, Mihail

Subjects
G14, ddc:330, monetary policy, E44, risk factors, E12, asset pricing, G12, E52, E31
Abstract

We study how monetary policy affects the cross-section of expected stock returns. For this purpose, we create a parsimonious monetary policy exposure (MPE) index based on observable firm characteristics that are theoretically linked to how firms react to monetary policy. We find that stocks whose prices react more positively to expansionary monetary policy surprises earn lower average returns. This finding is consistent with the intuition that monetary policy is expansionary in bad economic times when the marginal value of wealth is high, and thus high MPE stocks serve as a hedge against bad times. A long-short trading strategy designed to exploit this effect achieves an annualized value-weighted return of 9.96 percent with an associated Sharpe Ratio of 0.93 between 1975 and 2015. This return premium cannot be explained by standard factor models and survives a battery of robustness tests.

Published
2016

29. FINANCIAL INSTABILITY AND THE EVOLUTION OF FOREIGN EXCHANGE EXPOSURE OF EUROPEAN FIRMS.

Author

Huato, Julio, Hecht, Jason, and Velikov, Mihail

Subjects
ECONOMIC stabilization, FOREIGN exchange rate risk, FOREIGN exchange, STOCK exchanges, BUSINESS cycles, KALMAN filtering
Abstract

In rugged times, financial managers need a superior grasp of the dynamics of foreign-exchange exposure. Although its time-variability has long been recognized, most recent empirical measures of exposure continue to be estimated with methods that assume it constant over time. In this work, we offer a first approximation to the dynamics of exposure by using, alternatively, rolling-window regression and a Kalman-filter specification to estimate timevarying exposures on the daily returns of 1,031 European firms from January 2000 through May 2009, a period marked by two large upswing- downswing cycles in the European stock markets. This paper summarizes the main results graphically and begins its examination. [ABSTRACT FROM AUTHOR]

Published
2009

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