Similar Search Results

Testing for the Lucas critique : a quantitative investigation

Lindé, Jesper - In: The American economic review 91 (2001) 4, pp. 986-1005

Persistent link: https://www.econbiz.de/10001612505

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

Aït-Sahalia, Yacine - 2010

theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more …

Persistent link: https://www.econbiz.de/10012763707

Conditioning Information and Variance Bounds on Pricing Kernels

Bekaert, Geert - 2000

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/10012788973

Tests of International CAPM with Time-Varying Covariances

Engel, Charles - 2008

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 quot;betasquot; in our CAPM vary over time from two … 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/10012774612

Bayesian Inference and Portfolio Efficiency

Kandel (deceased), Shmuel - 2008

A Bayesian approach is used to investigate a sample's information about a portfolio's degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio is...

Persistent link: https://www.econbiz.de/10012774475

Labor and the market value of the firm

Merz, Monika; Yashiv, Eran - In: The American economic review 97 (2007) 4, pp. 1419-1431

Persistent link: https://www.econbiz.de/10003586409

The Shorting Premium and Asset Pricing Anomalies

Drechsler, Itamar - 2014

Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53%...

Persistent link: https://www.econbiz.de/10013050316

Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns

Burnside, A. Craig - 2010

When excess returns are used to estimate linear stochastic discount factor (SDF) models, researchers often adopt a normalization of the SDF that sets its mean to 1, or one that sets its intercept to 1. These normalizations are often treated as equivalent, but they are subtly different both in...

Persistent link: https://www.econbiz.de/10013134862

Bad Beta, Good Beta

Campbell, John Y. - 2010

break the CAPM beta of a stock with the market portfolio into two components, one reflecting news about the market's future … cash flows and one reflecting news about the market's discount rates. Intertemporal asset pricing theory suggests that the … this can explain their higher average returns. The poor performance of the CAPM since 1963 is explained by the fact that …

Persistent link: https://www.econbiz.de/10012762857

Empirical Evaluation of Asset Pricing Models : A Comparison of the Sdf and Beta Methods

Wang, Zhenyu - 2010

The stochastic discount factor (SDF) method provides a unified general framework for econometric analysis of asset pricing models. It has recently been pointed out that the generality of the SDF method may come at the cost of estimation efficiency. We show that there is no need for this concern....

Persistent link: https://www.econbiz.de/10012763237

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