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Anomalies de marché et sélection des titres au Canada

Guay, Richard; L'Her, Jean-François; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 1995

Cet article examine de manière conjointe les effets de la taille, des ratios bénéfice/cours et valeur comptable/valeur marchande des actions sur les rendements des actions canadiennes. Il présente une estimation des primes de risque associées à chacune de ces anomalies de marché. Les...

Persistent link: https://www.econbiz.de/10005079378

A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure

Ghysels, Eric; Ng, Serena - Centre Interuniversitaire de Recherche en Analyse des … - 1997

Many continuous time term structure of interest rate models assume a factor structure where the drift and volatility functions are affine functions of the state variable process. These models involve very specific parametric choices of factors and functional specifications of the drift and...

Persistent link: https://www.econbiz.de/10005100561

A Semi-Parametric Factor Model for Interest Rates

Ghysels, Eric; Ng, Serena - Centre Interuniversitaire de Recherche en Analyse des … - 1996

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor...

Persistent link: https://www.econbiz.de/10005100562

On Stable Factor Structures in the Pricing of Risk

Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1995

risk and return trade-offs. The two classes are the conditional CAPM and the nonlinear APT. The parameters of both models … development. In that regard we find the nonlinear APT more satisfactory than the conditional APT and CAPM. Dans cette étude nous … réexaminons les modèles à facteurs qui ont été proposés récemment, c'est à dire le CAPM conditionnel et l'APT non-linéaire. Ces …

Persistent link: https://www.econbiz.de/10005100814

Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation

Doz, Catherine; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

This paper provides a semiparametric framework for modelling multivariate conditional heteroskedasticity. First, we show that stochastic volatility factor models with possibly cross-correlated disturbances cannot be identified from returns conditional variance structure only, except when strong...

Persistent link: https://www.econbiz.de/10005100682

Ratchet vs Blasé Investors and Asset Markets

St-Amour, Pascal - Centre Interuniversitaire de Recherche en Analyse des … - 2004

His paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) consumption level is a function of wealth. Ratchet effects obtain when higher wealth increases the subsistance consumption level; blasé behavior...

Persistent link: https://www.econbiz.de/10005100831

CAPM, Components of Beta and the Cross Section of Expected Returns

Cenesizoglu, Tolga; Reeves, Jonathan J. - Centre Interuniversitaire de Recherche en Analyse des … - 2013

This paper demonstrates that a conditional version of the Capital Asset Pricing Model (CAPM) explains the cross section …

Persistent link: https://www.econbiz.de/10011183707

Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles

Bonomo, Marco; Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 1994

In this paper, we match both the first and the second moments of the equity premium and the risk-free rate by endowing the agents in the economy with disappointment aversion preferences and by making the joint process of consumption and dividends follow a Hamilton's (1989) Markov switching...

Persistent link: https://www.econbiz.de/10005627173

Option-Implied Measures of Equity Risk

Chang, Bo-Young; Christoffersen, Peter; Jacobs, Kris; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We .nd that option-implied volatility and skewness...

Persistent link: https://www.econbiz.de/10004976983

Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...

Persistent link: https://www.econbiz.de/10005100629