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Realized beta: Persistence and predictability
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that …
Persistent link: https://www.econbiz.de/10010986490
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Multi-Commodity Real Options Analysis of Power Plant Investments: Discounting Endogenous Risk Structures
Madlener, Reinhard; Rohlfs, Wilko - Institut für Future Energy Consumer Needs and Behavior … - 2011
The value of power generation technologies can be derived from the investment cost, the plant’s expected lifetime, and the discounted cash-flows, the latter of which typically are a combination of several underlyings, such as the price of fuel, electricity, and CO2. To determine this value,...
Persistent link: https://www.econbiz.de/10010991190
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Are investor sentiments priced by the CAPM?
Verma, Rahul; Soydemir, Gökçe - In: Journal of Financial Transformation 35 (2012), pp. 57-70
In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of … U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven … positively related to returns predicted, as well as those not predicted by the CAPM. We also compare these findings with the …
Persistent link: https://www.econbiz.de/10010991643
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Dynamic price dependence of Canadian and international art markets: an empirical analysis
Hodgson, Douglas; Seçkin, Aylin - In: Empirical Economics 43 (2012) 2, pp. 867-890
Although the market for Canadian paintings is now of substantial magnitude, with several works having recently been sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and seem to be held only by...
Persistent link: https://www.econbiz.de/10010994344
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Time-varying beta: a boundedly rational equilibrium approach
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - In: Journal of Evolutionary Economics 23 (2013) 3, pp. 609-639
The conditional CAPM with time-varying betas has been widely used to explain the cross-section of asset returns … an explicit dynamic behaviour CAPM relation between the expected equilibrium returns and time-varying betas. By …
Persistent link: https://www.econbiz.de/10010849038
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Portfolio Selection – A Technical Note
Martins, Ana Paula - Economics and Econometrics Research Institute (EERI) - 2012
This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...
Persistent link: https://www.econbiz.de/10010860050
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First and Second Order Impacts of Speculation on Commodity Price Volatility
Doroudian, Ali; Vercammen, James - Structure and Performance of Agriculture and … - 2012
CAPM model is used to derive the demand for commodity futures contracts by institutional investors, and this derived demand …
Persistent link: https://www.econbiz.de/10010879375
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Phase Transition in the S&P Stock Market
Raddant, Matthias; Wagner, Friedrich - Institut für Weltwirtschaft (IfW) - 2013
We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order...
Persistent link: https://www.econbiz.de/10010886861
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Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
Jin, Sainan; Su, Liangjun; Zhang, Yonghui - School of Economics, Singapore Management University - 2014
In this paper we propose a class of nonparametric tests for anomaly effects in empirical asset pricing models in the framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the adoption of nonparametric functional form to...
Persistent link: https://www.econbiz.de/10010887079
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A Class of Models satisfying a Dynamical Version of the CAPM
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2003
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
Persistent link: https://www.econbiz.de/10010905244