Narrow search
Showing 1 - 10 of 158
Cover Image
Conditional Betas, Higher Comoments and the Cross-Section of Expected Stock Returns
Xu, Lei - 2010
size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined …-factor asset pricing models. Models tested are the CAPM, the Fama-French three-factor model and a four-factor model including the … coefficients of coskewness and cokurtosis have the correct sign as predicted by the higher-moment CAPM theory but only cokurtosis …
Persistent link: https://www.econbiz.de/10009440933
Cover Image
Prices as Factors: Approximate Aggregation with Incomplete Markets
Telmer, Chris I; Zin, Stanley E. - 2000
kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …
Persistent link: https://www.econbiz.de/10009441191
Cover Image
Essays in cross-sectional asset pricing
Cederburg, Scott Hogeland - 2011
returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I … investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular … to refine and reassess the cross-sectional evidence against the CAPM.In the first chapter, I test the cross …
Persistent link: https://www.econbiz.de/10009466087
Cover Image
The Regulation of Stock Trading and its Enforcement in China
Shen, Tingting - 2004
The first public share issue in the PRC took place in 1994. By the early 21st century, in the space of less than two decades, the Chinese stock market has become the largest one in Asia, with the exception of Japan. Along with this rapid enlargement of the market, the Chinese stock trading...
Persistent link: https://www.econbiz.de/10009471788
Cover Image
A comparative analysis of oil as a risk factor in Australian industry stock returns, 1980-2006
McSweeney, E.; Worthington, A. C. - 2007
This paper uses a multifactor model to examine the role of crude oil as a pricing factor in Australian excess industry returns over the period January 1980 to August 2006. A dynamic model is also specified to provide insights into the relationship between the stock market and past oil price...
Persistent link: https://www.econbiz.de/10009457366
Cover Image
Testing non-linear dependence in the hedge fund industry
Mencía González, Javier - 2010
This paper proposes a parsimonious approach to test non-linear dependence on the conditional mean and variance of hedge funds with respect to several market factors. My approach introduces non-linear dependence by means of empirically relevant polynomial functions of the factors. For comparison...
Persistent link: https://www.econbiz.de/10012530285
Cover Image
Oil Prices and Long-Run Risk
READY, ROBERT - 2011
I show that relative levels of aggregate consumption and personal oil consumption provide anexcellent proxy for oil prices, and that high oil prices predict low future aggregate consumptiongrowth. Motivated by these facts, I add an oil consumption good to the long-run risk model of Bansal and...
Persistent link: https://www.econbiz.de/10009438584
Cover Image
Consumption Volatility Risk
Boguth, Oliver; Kuehn, Lars-Alexander - 2009
consumption CAPM based on realized consumption growth, little is known about how the time-variation of consumption growth …
Persistent link: https://www.econbiz.de/10009440955
Cover Image
Are Accounting Standards Diversifiable? Evidence of the Aggregate Valuation Effects of Standards
Jorgensen, Bjorn N.; Li, Jing; Sadka, Gil - 2009
Prior research documents that individual stock returns respond to earnings differently under new accounting standards, regulations, or changes in enforcement. This paper examines whether this result extends to the aggregate stock market. We take a macro perspective and study the properties of...
Persistent link: https://www.econbiz.de/10009441198
Cover Image
Asset Pricing with Idiosyncratic Risk and Overlapping Generations
Storesletten, Kjetil; Telmer, Chris I; Yaron, Amir - 2007
What is the effect of non-tradeable idiosyncratic risk on asset-market risk premiums? Constantinides and Duffie (1996) and Mankiw (1986) have shown that risk premiums will increase if the idiosyncratic shocks become more volatile during economic contractions. We add two important ingredients to...
Persistent link: https://www.econbiz.de/10009441309