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Effects of a capital gains tax on asset pricing

Krause, Marko Volker - In: Business research 11 (2018) 1, pp. 115-148

I extend and generalize the work of Kruschwitz and Löffler (BuR—Business Research 2(2):171–178, 2009). I find that, with a zero risk-free rate, the implicit price of capital gains tax payments is zero. I provide conditions in stochastic discount factor language when a capital gains tax has...

Persistent link: https://www.econbiz.de/10011814856

Buying high return low volatility technology stocks

Agarwal, Nipun - In: Economics, management and financial markets 9 (2014) 3, pp. 73-85

Persistent link: https://www.econbiz.de/10011544190

Rebuttal: the market portfolio is bigger than you think

Siegel, Laurence B. - In: The journal of investing : JOI 30 (2021) 5, pp. 21-26

Persistent link: https://www.econbiz.de/10012613138

Frontier stock markets : local versus global factors

Blackburn, Douglas W.; Cakici, Nusret - In: The journal of investing : JOI 29 (2020) 3, pp. 108-127

Persistent link: https://www.econbiz.de/10013177807

Estimation risk and shrinkage in vast-dimensional fundamental factor models

Vlodrop, Andries C. van; Lucas, André - 2018

factor models and the factor models with observed factors used in the statistical and finance literature. Little is known …

Persistent link: https://www.econbiz.de/10011949129

Time-series efficient factors

Ehsani, Sina; Linnainmaa, Juhani - 2020

Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an … autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios … than the original factors and contain all the information found in the original factors. Momentum strategies profit from …

Persistent link: https://www.econbiz.de/10012244867

Mean-variance efficiency and intertemporal price for risk

Leitner, Johannes - 2000

Persistent link: https://www.econbiz.de/10001544834

An Arbitrary Benchmark CAPM : One Additional Frontier Portfolio is Sufficient

Ekern, Steinar - 2008

The benchmark CAPM linearly relates the expected returns on an arbitrary asset, an arbitrary benchmark portfolio, and an arbitrary MV frontier portfolio. The benchmark is not required to be on the frontier and may be non-perfectly correlated with the frontier portfolio. The benchmark CAPM...

Persistent link: https://www.econbiz.de/10014047121

International Illiquidity

Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea; … - 2017

We build a parsimonious international asset pricing model in which deviations of government bond yields from a fitted yield curve of a country measure the tightness of investors' capital constraints. We compute these measures at daily frequency for six major markets and use them to test the...

Persistent link: https://www.econbiz.de/10014122253

Origins of Mutual Fund Skill : Market versus Accounting Based Asset Pricing Anomalies

Christiansen, Charlotte; Xing, Ran; Xu, Yue - 2021

We investigate the information source of active U.S. equity mutual funds’ value added using 234 public asset pricing anomalies. On average, mutual funds add value through their positive exposures to anomalies based on market information (e.g., momentum and liquidity risk) and lose value...

Persistent link: https://www.econbiz.de/10013250271