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Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas

Grassi, Stefano; Violante, Francesco - 2021

Starting from the Cholesky-GARCH model, recently proposed by Darolles, Francq, and Laurent (2018), the paper introduces the Block-Cholesky GARCH (BC-GARCH). This new model adapts in a natural way to the asset pricing framework. After deriving conditions for stationarity, uniform invertibility...

Persistent link: https://www.econbiz.de/10013239060

High Dimensional Beta Test with High Frequency Data

Chen, Dachuan; Feng, Long; Mykland, Per A.; Zhang, Lan - 2022

This is the first paper about the high dimensional beta tests with high frequency financial data, which allowing that the number of regressors can be larger than the number of observations within each estimation block and can also grow to infinity in asymptotics. In this paper, the sum-type test...

Persistent link: https://www.econbiz.de/10013405238

Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation

Miyamoto, Kenji - 2018

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is …

Persistent link: https://www.econbiz.de/10012907181

Market Beta (β) and Stock Returns - An Analysis of Select Gulf Companies

Elango, Dr. Rengasamy - 2010

CAPM (Capital Asset Pricing Model) approach. Our results provide weak evidence of relationship between risk and return …

Persistent link: https://www.econbiz.de/10013152317

An Investigation of Beta and Downside Beta Based CAPM-Case Study of Karachi Stock Exchange

Tahir, Mohammad - 2013

Sharpe's (1964) Capital Asset Pricing Model (CAPM) assumes that the relationship between risk and return is positive …, linear and significant. However, it is not free from controversies and one of them advocates replacing CAPM's beta by … Hogan and Warren (1974) replace variance with semivariance in CAPM as the first official version of downside risk based CAPM …

Persistent link: https://www.econbiz.de/10013084203

Which Beta is Best? On the Information Content of Option-Implied Betas

Baule, Rainer - 2014

Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known...

Persistent link: https://www.econbiz.de/10013061242

Hedge fund alpha and beta corrected for stale pricing

Godwin, CFA, Alexander - 2022

This paper introduces a novel method for estimating the alpha and beta of hedge fund indices that corrects for stale pricing in reported returns. This approach can be further used to estimate volatility and other risk measures. We apply this technique to a composite hedge fund index and six...

Persistent link: https://www.econbiz.de/10014361316

Estimating Illiquid Asset Class Alpha and Beta using Secondary Transaction Prices

Godwin, CFA, Alexander - 2022

This paper introduces a novel method for estimating the true economic alpha and market beta of illiquid asset classes using secondary transaction prices. Furthermore, this approach can be used to measure the degree of stale pricing in the reported returns of such asset classes. We apply this...

Persistent link: https://www.econbiz.de/10014361324

Investor Betas

Lewis, Ryan; Santosh, Shrihari - 2021

Investors’ return on their portfolios, as proxied by the market, is a theoretically appealing but empirically unsuccessful asset pricing factor. In practice, many institutional investors choose to deviate substantially from the market portfolio. We propose a simple model in the spirit of...

Persistent link: https://www.econbiz.de/10013249518

Cross-sectional analysis of stock returns in Athens Stock Exchange for the period 2004-2011

Svingou, Argiro - In: Spoudai : journal of economics and business 63 (2013) 1/2, pp. 100-120

This study is an investigation of the factors affecting the average returns of stocks that were traded on the Athens Stock Exchange for the period July 2004 - June 2011. The methodological approach is similar to that applied by Fama and French (1992), in the first stage, stocks are grouped into...

Persistent link: https://www.econbiz.de/10010255677