Similar Search Results

Diverging roads: theory-based vs. machine learning-implied stock risk premia

Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020

We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the … preferable to rely on a theory-based approach instead of engaging in the computerintensive hyper-parameter tuning of statistical … models. The theory-based approach also delivers a solid performance at the one year horizon, at which only one machine …

Persistent link: https://www.econbiz.de/10012163064

Asset pricing with a reference level of consumption : new evidence from the cross-section of stock returns

Grammig, Joachim (contributor); … - 2007 - Rev. version

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. We motivate an alternative model that accounts for the return on human capital as a determinant of the reference level....

Persistent link: https://www.econbiz.de/10003671149

Consumption-based asset pricing with a reference level : new evidence from the cross-section of stock returns

Grammig, Joachim (contributor); … - 2006

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. The novelty is that we use a broad cross-section of test assets, which provides a level playing field for a comparison to...

Persistent link: https://www.econbiz.de/10003328088