Similar Search Results

Conditioning Variables and the Cross-Section of Stock Returns

Ferson, Wayne E. - 1999

Previous studies have identified predetermined variables that have some power to explain the time series of stock and bond returns. This paper shows that loadings on the same variables also provide significant cross-sectional explanatory power for stock portfolio returns. These loadings are...

Persistent link: https://www.econbiz.de/10012471791

Conditioning Information and Variance Bounds on Pricing Kernels

Bekaert, Geert - 1999

We show how to use conditioning information optimally to construct a sharper unconditional Hansen-Jagannathan (1991) bound. The approach in this paper is different from that of Gallant, Hansen and Tauchen (1990), but both approaches yield the same bound when the conditional moments are known....

Persistent link: https://www.econbiz.de/10012471931

Costs of Equity Capital and Model Mispricing

Pastor, Lubos - 1998

Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return...

Persistent link: https://www.econbiz.de/10012472312

Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors

Hansen, Lars Peter - 1997

This paper explores in depth the nature of the conditional moment restrictions implied by log-linear intertemporal capital asset pricing models (ICAPMs) and shows that the generalized instrumental variables (GMM) estimators of these models (as typically implemented in practice) are inefficient....

Persistent link: https://www.econbiz.de/10012472873

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Ait-Sahalia, Yacine - 1995

Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The...

Persistent link: https://www.econbiz.de/10012473518

Econometric Evaluation of Asset Pricing Models

Hansen, Lars Peter - 1993

In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency and derive the limiting distribution of these estimators. The...

Persistent link: https://www.econbiz.de/10012474465

Simulated Moments Estimation of Markov Models of Asset Prices

Duffie, Darrell - 1990

This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoff's among the regularity...

Persistent link: https://www.econbiz.de/10012475763

Asset Pricing with a Factor Arch Covariance Structure : Empirical Estimates for Treasury Bills

Engle, Robert F. - 1988

Asset pricing relations are developed for a vector of assets with a time varying covariance structure. Assuming that the eigenvectors are constant but the eigenvalues changing, both the Capital Asset Pricing Model and the Arbitrage Pricing Theory suggest the same testable implication: the time...

Persistent link: https://www.econbiz.de/10012476281

Tests of International CAPM with Time-Varying Covariances

Engel, Charles - 1987

We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the … restrictions imposed by CAPM against a more general asset pricing model. The "betas" in our CAPM vary over time from two sources … estimate. We find that the model in which the CAPM restrictions are imposed (which involve cross-equation constraints between …

Persistent link: https://www.econbiz.de/10012476765

Factors that Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin - 2018

We propose a new method for estimating latent asset pricing factors that fit the time-series and cross-section of expected returns. Our estimator generalizes Principal Component Analysis (PCA) by including a penalty on the pricing error in expected returns. We show that our estimator strongly...

Persistent link: https://www.econbiz.de/10012452863

1
2
3
4
5
6
7
8
9
10
Next
Last