An Analysis of Covariance Risk and Pricing Anomalies

By Tobias J. Moskowitz. 2003

148 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/602ac2a8170de8d9364400faebedbcbf30850151

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Citations in the corpus

Value and Momentum Everywhere: Value and Momentum Everywhere (2013, unknown): “…the cross-sectional R2 of the average returns on the test assets against the predicted expected returns from each model, and the Eig% metric from Moskowitz (2003), which is the sum of eigenvalues from the covariance matrix of the test assets implied by the model divided by the sum of…”
THE INTERTEMPORAL RELATION BETWEEN EXPECTED RETURNS AND RISK (2008, background): “Moskowitz (2003) also reports evidence that the SMB factor predicts future market volatility.”
Forecasting multivariate realized stock market volatility (2011, background): “The cross-section of small- and large-firm volatility has been examined in a number of earlier papers (e.g., Kroner and Ng (1998), Chan et al. (1999), and Moskowitz (2003)).”
Investing in Mutual Funds when Returns are Predictable (2006, unknown): “12Earlier studies (e.g., Moskowitz (2003)) also examine optimal portfolios in the presence of return predictability, focusing on mean-variance optimization excluding hedging demands.”
Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance (2017, unknown): “For instance, Moskowitz (2003) emphasizes the signiﬁcance of dynamic conditional correlations during recessions and periods of ﬁnancial distress.”
Correlation Risk and Optimal Portfolio Choice (2010, background): “Pastor and Veronesi (2005) explain the behavior of asset prices during technological revolutions by modeling the change in the nature of the risk associated with new technologies.”
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006, background): “Has the overall return correlation of both bond and equities increased over the latter part of the 1990s and into the early years of the new millennium, as evidenced in Moskowitz (2002)?”