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Didisheim, Antoine; Ke, Barry; Kelly, Bryan T.; … - 2024

We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance---in terms of SDF Sharpe ratio and test asset pricing errors---is improving in model parameterization (or "complexity''). Our empirical findings verify the...

Persistent link: https://www.econbiz.de/10014472608

A global factor in variance risk premia and local bond pricing

Kaminska, Iryna; Roberts-Sklar, Matt - 2015

Persistent link: https://www.econbiz.de/10011443308

Capital asset pricing model and stochastic volatility : a case study of India

Demir, Ender; Fung, Ka Wai Terence; Zhou, Lu - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 52-65

Persistent link: https://www.econbiz.de/10011562386

Segregating Continuous Volatility from Jumps in Long-Run Risk-Return Trade-Offs

Jacquier, Eric - 2015

components, namely continuous volatility and jump, and future market excess return. Building on quadratic variation theory, we …

Persistent link: https://www.econbiz.de/10013037118

Pricing climate change risks : CAPM with rare disasters and stochastic probabilities

Karydas, Christos; Xepapadeas, Anastasios - 2019

these events. Using theory and simulations we study the implications of the imminent threat of climate change on different …

Persistent link: https://www.econbiz.de/10011962146

Time to build and bond risk premia

Guo, Bin; Huang, Fuzhe; Li, Kai - In: Journal of economic dynamics & control 121 (2020), pp. 1-22

Persistent link: https://www.econbiz.de/10012504154

Time to build and bond risk premia

Guo, Bin; Huang, Fuzhe; Li, Kai - In: Journal of economic dynamics & control 136 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013394035

The cross section of expected holding period returns and their dynamics : a present value approach

Lyle, Matthew R.; Wang, Charles C. Y. - In: Journal of financial economics 116 (2015) 3, pp. 505-525

Persistent link: https://www.econbiz.de/10011348465

Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns

Burnside, A. Craig - 2010

When excess returns are used to estimate linear stochastic discount factor (SDF) models, researchers often adopt a normalization of the SDF that sets its mean to 1, or one that sets its intercept to 1. These normalizations are often treated as equivalent, but they are subtly different both in...

Persistent link: https://www.econbiz.de/10013134862

CAPM and DCF : Does SML Relationship Gives Cost of Equity? – Ex-Ante Stock Returns are Not Same as Implied Discount Rates

Murugesan, Narayanaswamy - 2013

When Capital Asset pricing Model (CAPM) is considered as valid asset pricing theory, Security Market Line (SML) is … returns need not be same as implied discount rates even when CAPM is applicable and markets are efficient. This is because the … over the forecast period. The single period return of CAPM changes every year as the market changes with economic …

Persistent link: https://www.econbiz.de/10013081162