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The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
Lemke, Wolfgang; Werner, Thomas - 2009
We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...
Persistent link: https://www.econbiz.de/10011605091
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Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System
Breig, Christoph; Elsas, Ralf - 2009
In this paper, we address the question whether the impact of default risk on equity returns depends on the financial system firms operate in. Using an implementation of Merton's option-pricing model for the value of equity to estimate firms' default risk, we construct a factor that measures the...
Persistent link: https://www.econbiz.de/10010427776
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Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse
Stehle, Richard; Schulz, Anja; Schröder, Michael; … - 2003
Dieses Papier untersucht, inwieweit Multifaktormodelle nach Fama/French (1993) am deutschen Aktienmarkt die zeitliche … am US-amerikanischen, kanadischen und britischen Aktienmarkt ergibt sich aus den linearen Zeitreihen- Regressionen, dass … Querschnitt am deutschen Aktienmarkt wesentlich besser erklärt als am US-amerikanischen Aktienmarkt. …
Persistent link: https://www.econbiz.de/10010297296
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Stock market volatility and learning
Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2008
Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of...
Persistent link: https://www.econbiz.de/10011604908
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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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Winter blues and time variation in the price of risk
Garrett, Ian; Kamstra, Mark; Kramer, Lisa - 2004
determine whether the seasonality can be explained using a conditional version of the capital asset pricing model (CAPM) that … United Kingdom, Japan, and Australia, the authors find that a conditional CAPM that allows the price of risk to vary in …
Persistent link: https://www.econbiz.de/10010397599
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Asset-pricing models and economic risk premia: A decomposition
Balduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; … - 2005
The risk premia assigned to economic (nontraded) risk factors can be decomposed into three parts: (i) the risk premia on maximum-correlation portfolios mimicking the factors; (ii) (minus) the covariance between the nontraded components of the candidate pricing kernel of a given model and the...
Persistent link: https://www.econbiz.de/10010397680
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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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The Capital Asset Pricing Model: A New Empirical Investigation
Zarifhonarvar, Ali - 2023
capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this … area, this study discusses the theoretical background of the CAPM model. After explaining the relationship between … systematic risk and the relation of these coefficients to the CAPM model predictions are tested. Thus, after data sampling to …
Persistent link: https://www.econbiz.de/10013499610
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The Cross-Section of Positively Weighted Portfolios
Niedermayer, Daniel; Zimmermann, Heinz - 2007
expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient … the results suggest that the CAPM's pricing error is small when slightly inefficient, positively weighted proxies are used. …
Persistent link: https://www.econbiz.de/10011390622