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The CAPM strikes back? : an investment model with disasters
Bai, Hang; Hou, Kewei; Kung, Howard; Zhang, Lu - 2015
in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. Our single-factor model … reproduces the failure of the CAPM in explaining the value premium in finite samples without disasters, and its relative success … in samples with disasters. The standard consumption CAPM fails in simulations, even though a nonlinear model with the …
Persistent link: https://www.econbiz.de/10010531874
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The CAPM strikes back? An equilibrium model with disasters
Bai, Hang; Hou, Kewei; Kung, Howard; Li, Erica X. N.; … - In: Journal of financial economics 131 (2019) 2, pp. 269-298
Persistent link: https://www.econbiz.de/10012131539
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The CAPM strikes back? : an investment model with disasters
Bai, Hang; Hou, Kewei; Kung, Howard; Zhang, Lu - 2015
Persistent link: https://www.econbiz.de/10010502721
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Equilibrium cross section of returns
Gomes Neto, João Batista F.; Kogan, Leonid; Zhang, Lu - In: Journal of political economy 111 (2003) 4, pp. 693-732
Persistent link: https://www.econbiz.de/10001786306
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Equilibrium cross-section of returns
Gomes, Joao (contributor); Kogan, Leonid (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002006966
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The CAPM Strikes Back? An Investment Model with Disasters
Bai, Hang - 2015
pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in …
Persistent link: https://www.econbiz.de/10012457652
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Equilibrium cross-section of returns
Gomes Neto, João Batista F. - 2002
Persistent link: https://www.econbiz.de/10013424064
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The CAPM Strikes Back? An Investment Model with Disasters
Bai, Hang; Hou, Kewei; Kung, Howard; Zhang, Lu - 2021
pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in …
Persistent link: https://www.econbiz.de/10013224982
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A comparison of new factor models
Hou, Kewei; Xue, Chen; Zhang, Lu - 2015
Using hundreds of significant anomalies as testing portfolios, this paper compares the performance of major empirical asset pricing models. The q-factor model and a closely related five-factor model are the two best performing models among a long array of models. The q-factor model outperforms...
Persistent link: https://www.econbiz.de/10011279578
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q-factors and investment CAPM
Zhang, Lu - 2019
-factor model is an empirical implementation of the investment CAPM. The basic philosophy is to price risky assets from the … perspective of their suppliers (firms), as opposed to their buyers (investors). As a disruptive innovation, the investment CAPM …
Persistent link: https://www.econbiz.de/10012168924