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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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Portfolio selection: An extreme value approach
DiTraglia, Francis J.; Gerlach, Jeffrey R. - In: Journal of Banking & Finance 37 (2013) 2, pp. 305-323
We show theoretically that lower tail dependence (χ), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate χ for a sample of DJIA stocks and show that it differs...
Persistent link: https://www.econbiz.de/10011065726
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Efficient Skewness/Semivariance Portfolios
Brito, Rui Pedro; Sebastião, Hélder; Godinho, Pedro - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2015
This paper proposes a new way to measure and deal with risk within the portfolio selection problem using a skewness/semivariance biobjective optimization framework. The solutions of this biobjective optimization problem allow the investor to analyse the efficient trade-off between skewness and...
Persistent link: https://www.econbiz.de/10011206302
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DYNAMIC CORRELATIONS, ESTIMATION RISK, AND PORFOLIO MANAGEMENT DURING THE FINANCIAL CRISIS
García-Álvarez, Luis; Luger, Richard - Centro de Estudios Monetarios y Financieros (CEMFI) - 2011
performances than the naive diversification benchmark strategy. The results clearly show the erosive effects of model estimation …
Persistent link: https://www.econbiz.de/10009370567
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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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Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Department of Economics, Faculty of Economic and … - 2013
This article attempts to examine whether the equity premium in the United States can be predicted from a com-prehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...
Persistent link: https://www.econbiz.de/10010936606
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Эконометрический анализ динамики российских паевых инвестиционных фондов в кризисный и посткризисный периоды...
Zaytsev, Alexander - Volkswirtschaftliche Fakultät, … - 2011
Using estimated CAPM-models portfolio risks of Russian mutual funds are analyzed. Two questions are considered: how did …
Persistent link: https://www.econbiz.de/10011260907
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Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Institut de Préparation à l'Administration et à la … - 2013
This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...
Persistent link: https://www.econbiz.de/10010754801
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An analysis of price discovery from panel data models of CDS and equity returns
Narayan, Paresh Kumar; Sharma, Susan Sunila; … - In: Journal of Banking & Finance 41 (2014) C, pp. 167-177
We propose a panel data model of price discovery. We find that the stock market contributes to price discovery in most sectors while the Credit Default Swap (CDS) market contributes to price discovery in only a few sectors. We discover that in sectors where both the stock market and the CDS...
Persistent link: https://www.econbiz.de/10010744374
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Maximum likelihood estimation of the equity premium
Wachter, Jessica A.; Avdis, Efstathios - National Bureau of Economic Research (NBER) - 2013
The equity premium, namely the expected return on the aggregate stock market less the government bill rate, is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the...
Persistent link: https://www.econbiz.de/10010796711