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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 Multivariate Analysis of Factors Affecting Stock Returns on the JSE
Chimanga, Artwell; Kotze, Danelle - In: The African Finance Journal 11 (2009) 2, pp. 80-96
This study examines the factors that explain the return generating process of stocks listed on the JSE. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly multivariate factor analysis techniques. The paper further explores the sensitivities of the factors...
Persistent link: https://www.econbiz.de/10008467138
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Characterization of arbitrage-free market
Henclová, Alena - In: Bulletin of the Czech Econometric Society 10 (2003)
King and Korf [4] introduced a new framework for analyzing pricing theory for incomplete markets and contingent claims …
Persistent link: https://www.econbiz.de/10008473454
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Yield Curve Smoothing and Residual Variance of Fixed Income Positions.
Douady, Raphaël - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014
We model the yield curve in any given country as an object lying in an infinite-dimensional Hilbert space, the evolution of which is driven by what is known as a cylindrical Brownian motion. We assume that volatilities and correlations do not depend on rates (which hence are Gaussian). We prove...
Persistent link: https://www.econbiz.de/10011123703
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Dynamic choice and asset markets
Altuĝ, Sumru; Labadie, Pamela - 1994
Persistent link: https://www.econbiz.de/10004247149
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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014
in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption …
Persistent link: https://www.econbiz.de/10010986365
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A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
Audigé, Henri - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
The objective of this paper is to gauge how and to which extent the surge in Greek sovereign bond rates in 2010 and 2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth Transition Conditional Correlation GARCH models...
Persistent link: https://www.econbiz.de/10010992421
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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10010851206
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Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclude it may help signal impending market...
Persistent link: https://www.econbiz.de/10010851243