Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts

By Andrew J. Patton, Allan G. Timmermann. 2010

277 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/49902d7f5efefb1fdb7659fcdb48c3c9292df992

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Guofu Zhou
2. Jun Tu
3. Fuwei Jiang
4. Allan G. Timmermann
5. Dashan Huang
6. Grigory Vilkov
7. Raman Uppal
8. Yuliya Plyakha

In Finance

1. Guofu Zhou
2. Jun Tu
3. Allan G. Timmermann
4. Raman Uppal
5. Yuliya Plyakha
6. Grigory Vilkov
7. Fuwei Jiang
8. Dashan Huang

Citations in the corpus

• Media Makes Momentum (2014, background): “Despite this disproportionate increase in momentum profits along the media quintiles, the recently proposed monotonicity test of Patton and Timmermann (2010) verifies that momentum profits are strictly increasing with excess media coverage.”
• Measuring Equity Risk with Option-Implied Correlations (2012, background): “non-parametric technique of Patton and Timmermann (2010).(16) Table 1 shows the results of the test for two null hypotheses: (1) there is a monotonically decreasing risk-return relation, and (2) there is a monotonically increasing risk-return relation, with p-values obtained from time-series block b”
• Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns (2016, unknown): “Appendix D shows that this expectation is correct: An equal-weighted hedge strategy that goes 15In unreported monotonicity tests based on Patton and Timmermann (2010), we confirm that raw and risk-adjusted returns are monotonically increasing in deciles at all levels of significance (available on…”
• Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios? (2015, methodology): “We first use the nonparametric test of Patton and Timmermann (2010) to investigate the presence of a monotonic relation between stock characteristics and the total return of the equal-”
• Decentralized investment management: evidence from the pension fund industry (2013, methodology): “To test formally if risk is declining in the number of managers, the size of the fund or both, we adopt the monotonic relation (MR) test developed by Patton and Timmermann (2010). The null of this test is that there is no particular pattern in the return variances as a function of, say, the number o”
• Multi-Horizon Forecast Comparison (2019, unknown): “In particular, Patton and Timmermann (2010) proposed a solution similar to our uSPA test in the context of testing for monotonicity in asset pricing relationships.”
• Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2012, unknown): “, Patton and Timmermann (2010)).”
• Investor sentiment aligned: : A powerful predictor of stock returns (2015, methodology): “Based on the monotonicity test of Patton and Timmermann (2010), we find that the increasing pattern is a true feature of the data that is statistically significant at the 5% level.”