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The Stochastic Volatility in Mean Model
Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10010324578
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Behavioral Heterogeneity in Stock Prices
Boswijk, Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005
We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...
Persistent link: https://www.econbiz.de/10010325397
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Learning from experience in the stock market
Nakov, Anton; Nuño, Galo - 2011
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10011605442
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Asset pricing with cognitive dissonance
Drees, Burkhard; Eckwert, Bernhard - 1993
The behavior of asset prices is analyzed in a general equilibrium model where agents not only have preferences over consumption but also (implicitly) over their beliefs. Agents endogenously choose to disregard information contained in a signal if it conflicts with their desired beliefs. In this...
Persistent link: https://www.econbiz.de/10010398095
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One-factor-Garch models for German stocks: Estimation and forecasting
Kaiser, Thomas - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010435583
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A multiple factor model for European stocks
Stephan, Thomas G.; Maurer, Raimond; Dürr, Martin - 2000
We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European stocks. Following the approach of the BARRA model, we have adopted a cross-sectional methodology. The proportion of explained variance ranges from 7.3% to 66.3% in the weekly...
Persistent link: https://www.econbiz.de/10010316262
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The stable long-run CAPM and the cross-section of expected returns
Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10010295722
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10010295747
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Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.
Amisano, Gianni; Savona, Roberto - 2008
Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
Persistent link: https://www.econbiz.de/10011604927
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The Effect of CSR on Stock Performance: New Evidence for the USA and Europe
von Arx, Urs; Ziegler, Andreas - 2008
financial performance. In contrast to former studies, we examine two different regions, namely the USA and Europe. Our … between 2003 and 2006 appear to be more robust in the USA and, in addition, to be nonlinear. Our analysis furthermore points …
Persistent link: https://www.econbiz.de/10011753149