Asset pricing models
Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
... to asset pricing ...an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from ...
36
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
... 4 Conclusion In this paper, we test various conditional asset pricing models for the Brazilian stock market. Our best speci cation involves a two-factor model, where the equilibrium returns are ...
34
On the Dynamic Specification of International Asset Pricing Models
... Conditional Asset Pricing Models What di®erentiates international ¯nancial theory from its domestic counterpart is essentially the presence of di®erent nations in the former ...
40
Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models
... (MLR) models is a basic statistical problem. Such models, which can combine both cross-section and time series data, are common in various fields of statistics and econometrics; see Rao (1973, Chapter 8), ...
35
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
... and Dufour et al. (2004). 4. Empirical analysis Our empirical analysis focuses on testing (2.2) in the context of (2.1) with different distributional assumptions on stock market returns. We use nominal monthly returns ...
23
Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
... In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error ...
22
Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
... In this paper, we consider the problem of testing the specification of MLR models. Of course, the form of a model can be tested against an infinity of alternative formulations or specification errors. Here we ...
37
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
... APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian ...appropriate pricing of the ...
25
Asymmetry risk, state variables and stochastic discount factor specification in asset pricing models
... Key words: lattice, portfolio choice, pricing kernel puzzle, risk aversion puzzle, skewness, state variable, stocliastic discount factor.... Contents Sommaire i Suininary iv Dédicace xvi[r] ...
171
From high frequency data information : four empiricals investigations on risks measurements and asset pricing models
... Cette partie est ` a rapprocher des travaux de Gottlieb et Kalay (1985) et de Amilon et Bystr¨ om (2000) qui s’interrogent sur les effets de la pr´ esence de ce type de ph´ enom` ene sur [r] ...
240
The cost of equity capital for REITs : an examination of three asset-pricing models
... The main objective of this study is to develop a particular multi- factor pricing model that can be used in practice to effectively estimate the cost of equity capit[r] ...
72
Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models
... Key-words: multivariate linear regression; goodness-of-fit; normality test; multivariate normality; multinormality; Student t; normal mixture; stable distribution; specification test; di[r] ...
36
Data-snooping biases in tests of financial asset pricing models
... the selection of securities to be included in a given portfolio is almost never at random, but is often based on some of the stocks' empirical characteristics. Th[r] ...
44
Analysts’ Forecasts and Asset Pricing: A Survey
... appropriate discount rates; and long-term growth forecasts can serve as benchmarks for calculating expected growth rates. All of these are relevant parameters in asset pricing models. In this sense, ...
47
Essays in financial econometrics and asset pricing
... multi-horizon pricing of co-skewness risk accounting for forward-looking information from option ...multi-horizon pricing of co- skewness ...multi-horizon pricing of consumption volatility in the ...
205
Application of robust statistics to asset allocation models
... Asset pricing models such as the capital asset pricing model (CAPM) or arbitrage pricing theory (APT) with adjusted factor coefficients (e.g. risk factor coefficients.. estim[r] ...
107
Essays in empirical asset pricing
... This paper is related to the literature that studies the effect of useless factors on the Fama-MacBeth estimation of risk premium in the arbitrage pricing theory framework. As Kan & Zhang ( 1999b ) point out, ...
155
Structural Change and Asset Pricing in Emerging Markets
... dynamic asset pricing models described in Section 3 will be es- timated for the following set of emerging markets: Argentina, Brazil, Chile, Mexico, India, Korea, Thailand, Greece, Jordan and ...
35
Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
... most asset pricing models relative risk aversion is assumed to be larger than unity, or < 1 in our notation, which leads to a positive discount rate M and a decreasing ...
42
Capital asset pricing model tests in a term structure context
... F-test statistics for the hypothesis that the real "betas" and conditional expected returns on long term bonds are. constant over the period March 1959 to December 1978[r] ...
72