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RELACIONES RENTABILIDAD-RIESGO EN FUTUROS SOBRE DEUDA A LARGO PLAZO

Ayela, Rosa María - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1995

The aim of this paper is to analyze the existence of risk premia whithin the theorical framework of the CAPM, for long … teórico del CAPM, para los contratos sobre títulos de deuda a largo plazo del Mercado Español de Futuros Financieros de Renta …

Persistent link: https://www.econbiz.de/10005515825

On the performance of efficient portfolios

Wenzelburger, Jan; Boehm, Volker - Society for Computational Economics - SCE - 2004

-variance efficient in the sense of classical CAPM. We show that, depending on the noise traders' behavior, the performance of efficient …

Persistent link: https://www.econbiz.de/10005537627

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Département de Sciences Économiques, Université de … - 2003

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...

Persistent link: https://www.econbiz.de/10005545654

Tests of the CAPM under structural changes

Huang, Ho-Chuan; Cheng, Wan-hsiu - In: International Economic Journal 19 (2005) 4, pp. 523-541

In accordance with the empirical regularity of time-varying betas we estimate and test for the Sharpe-Lintner CAPM by … break using multivariate time series. Finally, we find the CAPM can be consistent with the data in some regimes but may …

Persistent link: https://www.econbiz.de/10005475803

The Evolution of Portfolio Rules and the Capital Asset Pricing Model

Sciubba, E. - Faculty of Economics, University of Cambridge - 1999

The aim of this paper is to test the performance of the standard version of CAPM in an evolutionary framework. We … ask what is the fate of those who happen to behave as prescribed by CAPM. In a complete securities market with aggregate … uncertainty, it is shown that traders who either believe' in CAPM and use it as a rule of thumb, or are endowed with genuine mean …

Persistent link: https://www.econbiz.de/10005489334

A Non-Parametric Test of the Conditional CAPM for the Mexican Economy

Castillo-Spíndola, Jorge H. del - In: Estudios Económicos 21 (2006) 2, pp. 275-297

widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM). However many anomalies and evidence against this … version have been presented. To assume that the CAPM holds in a conditional sense is to assume that the betas and the market … risk premium vary along time. We present a test of the conditional version of the CAPM for the Mexican economy, that uses a …

Persistent link: https://www.econbiz.de/10005434714

What a delta hedge really does - a theoretical and pedagogical note

Howell, S. D. - In: The European Journal of Finance 14 (2008) 1, pp. 33-47

The Black-Scholes description of delta hedging makes the instantaneous value of the short sale negative, but the value should be zero by the principle of no arbitrage. This violation of no-arbitrage makes it impossible to illustrate the Black-Scholes delta hedging of an endowment of one call by...

Persistent link: https://www.econbiz.de/10005438035

Estimating the equity premium

Freeman, M. C.; Davidson, I. R. - In: The European Journal of Finance 5 (1999) 3, pp. 236-246

Accurate estimation of the equity premium (the expected difference between the returns to a well-diversified stock market portfolio and a riskfree asset) is of central importance in many applications of finance theory including project appraisal and portfolio selection. The standard approach is...

Persistent link: https://www.econbiz.de/10005438081

Forward-Looking Betas

Christoffersen, Peter; Jacobs, Kris; Vainberg, Gregory - School of Economics and Management, University of Aarhus - 2007

Few issues are more important for finance practice than the computation of market betas. Existing approaches compute market betas using historical data. While these approaches differ in terms of statistical sophistication and the modeling of the time-variation in the betas, they are all...

Persistent link: https://www.econbiz.de/10005440055

Testing for Breaks Using Alternating Observations

Bunzel, Helle; Iglesias, Emma M. - Department of Economics, Iowa State University - 2006

This paper proposes several new tests for structural change in the multivariate linear regression model. One of the most popular alternatives are Sup-Wald type tests along the lines of Bai, Lumsdaine and Stock (1998), which Bernard,Idoudi, Khalaf and Yélou (2007) show to have very large size...

Persistent link: https://www.econbiz.de/10005441674