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Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
Jin, Sainan; Su, Liangjun; Zhang, Yonghui - School of Economics, Singapore Management University - 2014
In this paper we propose a class of nonparametric tests for anomaly effects in empirical asset pricing models in the framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the adoption of nonparametric functional form to...
Persistent link: https://www.econbiz.de/10010887079
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Yes, the CAPM is testable
Guermat, Cherif - In: Journal of Banking & Finance 46 (2014) C, pp. 31-42
It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are … has led many to express serious doubt on the testability of the CAPM. In this paper I show that the CAPM is indeed … the CAPM. The first step uses a simple combination of the coefficients of determination from both Ordinary Least Squares …
Persistent link: https://www.econbiz.de/10010907096
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Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
Perron, Pierre; Chun, Sungju; Vodounou, Cosme - In: Journal of Empirical Finance 20 (2013) C, pp. 42-62
We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The discrete time representation of the...
Persistent link: https://www.econbiz.de/10011042120
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A Nonparametric Option Pricing Model Using Higher Moments
Cayton, Peter Julian - Volkswirtschaftliche Fakultät, … - 2015
through return data transformation. The model complies with the put-call parity principle of option pricing theory. The …
Persistent link: https://www.econbiz.de/10011262870
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The reaction of stock market returns to anticipated unemployment
Gonzalo, Jesús; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2011
We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in stock market’s reaction to unemployment rate and study the effect at each individual point (quantile) of stock return distribution....
Persistent link: https://www.econbiz.de/10010547884
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Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model
Ceylan, Ozcan - Galatasaray Üniversitesi İktisadi Araştırmalar … - 2012
Based on the recent developments in the high-frequency econometrics and asymmetric GARCH modeling literature, I develop a novel model that accounts for the volatility feedback and leverage effects, effectively incorporating signed continuous and jump components of the realized variance in the...
Persistent link: https://www.econbiz.de/10010840309
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The reaction of stock market returns to anticipated unemployment
Gonzalo, Jesús; AbderrahimTaamouti - Departamento de Economía, Universidad Carlos III de Madrid - 2012
We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in stock market's reaction to unemployment rate and study the effect at each individual point (quantile) of stock return distribution....
Persistent link: https://www.econbiz.de/10010610150
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Can analysts predict rallies better than crashes?
Medovikov, Ivan - In: Finance Research Letters 11 (2014) 4, pp. 319-325
We use the copula approach to study the structure of dependence between sell-side analysts’ consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January–December 2011 with...
Persistent link: https://www.econbiz.de/10011118187
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Cross-hedging strategies between CDS spreads and option volatility during crises
Da Fonseca, José; Gottschalk, Katrin - In: Journal of International Money and Finance 49 (2014) PB, pp. 386-400
This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for five European countries from 2007 to 2012, a sample period covering both the Global Financial Crisis (GFC) and the European debt crisis. We analyze to which...
Persistent link: https://www.econbiz.de/10011077085
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Option-implied term structures
Vogt, Erik - Federal Reserve Bank of New York - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...
Persistent link: https://www.econbiz.de/10011103532