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In this paper we use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post- war economies...
Persistent link: https://www.econbiz.de/10005134844
This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...
Persistent link: https://www.econbiz.de/10005076970
This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton�s Intertemporal CAPM to test whether these four...
Persistent link: https://www.econbiz.de/10005076992
timescales. The beta risk is priced in the up and down markets and the co-kurtosis is not. Co-skewness does not appear to be …
Persistent link: https://www.econbiz.de/10005125060
In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...
Persistent link: https://www.econbiz.de/10005413049
This paper examines a decision-making problem of rational agents with risk averse utilities in the financial market both in statics and in dynamics. In the financial market there are two securities, one risky security and one riskless bond, and a continuum of investors with heterogeneous...
Persistent link: https://www.econbiz.de/10005561670
This paper analyses a temporary financial market equilibrium by considering a two-period model of asset pricing with s securities, one riskless bond, and a continuum of heterogeneous agents with different preferences, endowments, and beliefs. Investors' objectives are to maximize the expected...
Persistent link: https://www.econbiz.de/10005561694
This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton’s Intertemporal CAPM to test whether these four...
Persistent link: https://www.econbiz.de/10005561735
In an earlier paper (Los, 1998a), the exact and complete return attribution framework of Singer and Karnosky (1995) was extended to include market risk measurements for n countries. Exploiting a selection matrix based on the cash accounting identities, the resulting degenerate portfolio choice...
Persistent link: https://www.econbiz.de/10005125061
Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra...
Persistent link: https://www.econbiz.de/10005413097