“…This suggests that variations in the rolling window size or forecast duration do not significantly impact the findings. This aligns with similar robustness tests conducted in previous studies [ 45 ], which also found comparable stability under alternative parameter values. Fig.…”
“…This suggests that variations in the rolling window size or forecast duration do not significantly impact the findings. This aligns with similar robustness tests conducted in previous studies [ 45 ], which also found comparable stability under alternative parameter values. Fig.…”
“…Recent papers on asset pricing have used sophisticated econometric methods to evaluate time series and cross-sectional empirical performance of asset pricing models (Gospodinov et al 2013;Kan et al 2013;Barillas and Shanken 2018;Long et al 2021;Cui et al 2023). Others have used technical factors to improve prediction of stock returns (Neely et al 2014;Bretscher et al 2020;Giglio and Xiu 2021).…”
Section: Difficulty In Pricing Small Stocks Industries and Cross-sect...mentioning
confidence: 99%
“…Although gold is widely recognized as a safe-haven and hedging instrument, as supported by existing research (Bekiros et al 2017;Faria and McAdam 2012;Gil-Alana et al 2015;He et al 2018;Nguyen et al 2019;Wu and Chiu 2017;Cui et al 2023), there has been a paucity of literature examining the use of gold as a zero-beta asset in asset pricing models. Previous studies by He et al (2018He et al ( , 2022 have explored gold, T-bills, Interbank Offered Rates (IBOR), and Overnight Index Swaps (OIS) to identify suitable proxies for risk-free assets.…”
This paper examines the use of the return on gold instead of treasury bills in empirical asset pricing models for the US equity market. It builds upon previous research on the safe-haven, hedging, and zero-beta characteristics of gold in developed markets and the close relationship between interest rates, stock, and gold returns. In particular, we extend this research by showing that using gold as a zero-beta asset helps to improve the time-series performance of asset pricing models when pricing US equities and industries between 1981 and 2015. The performance of gold zero-beta models is also compared with traditional empirical factor models using the 1-month Treasury bill rate as the risk-free rate. Our results indicate that using gold as a zero-beta asset leads to higher R-squared values, lower Sharpe ratios of alphas, and fewer significant pricing errors in the time-series analysis. Similarly, the pricing of small stock and industry portfolios is improved. In cross-section, we also find improved results, with fewer cross-sectional pricing errors and more economically meaningful pricing of risk factors. We also find that a zero-beta gold factor constructed to be orthogonal to the Carhart four factors is significant in cross-section and helps to improve factor model performance on momentum portfolios. Furthermore, the Fama–French three- and five-factor asset pricing models and the Carhart model are all improved by these means, particularly on test assets which have been poorly priced by the traditional versions. Our results have salient implications for policymakers, governments, central bank rate-setting decisions, and investors.
“…MCO is considered effective in dealing with the spread of COVID-19 in Malaysia (Tang, 2020). According to the Global COVID-19 Index (GCI) report released on July 28, 2020, Malaysia is the fourth country in the world after Thailand, South Korea, and Latvia, to successfully handle and recover from COVID-19 (The Star, 2020 andCui et al, 2022). This means that MCO succeeded in reducing the spread and victims of COVID-19 in Malaysia.…”
Objective: This paper aims to know about COVID-19 pandemic has become a global threat and spread of the virus reaches Indonesia and Malaysia. The response to Covid-19 has been governed by Indonesia and Malaysia laws and legislation. This paper aimed at assessing why was the legal response of Malaysia more successful in handling COVID-19 than that of Indonesia?
Method: This research used a normative legal method.
Result: The results revealed that (1) Indonesia and Malaysia issued new laws and regulations, but Indonesia uses a health and disaster management approach, whereas Malaysia uses a health and law enforcement approach; (2) The structure for handling COVID-19 in Indonesia is performed by the COVID-19 Task Force, while Malaysia is carried out by The National Security Council; (3) Indonesia imposes large-scale social restrictions, whereas Malaysia enforces the Movement Control Order.
Conclusion: This paper argues that Malaysia’s legal response through a health and law enforcement approach performed by The National Security Council has been more successful in reducing the number of victims and the spread of COVID-19. Indonesia can emulate Malaysia by using a law enforcement approach to dealing with COVID-19 in addition to a health and disaster management approach. Malaysia has been more successful in handling COVID-19 than Indonesia.
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