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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
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Consumption based capital asset pricing and the Austrian Stock Exchange
Böheim, René; Boss, Michael - 1996
Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock...
Persistent link: https://www.econbiz.de/10009697460
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Cyclical asset returns in the consumption and investment goods sector
Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...
Persistent link: https://www.econbiz.de/10009786095
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Cyclical asset returns in the consumption and investment goods sector : conference paper
Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - 2014
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we onsider a standard two-sector real-business cycle model with...
Persistent link: https://www.econbiz.de/10010482490
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An analysis of the relation between return and beta for portfolios of Turkish equities
Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8
the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …
Persistent link: https://www.econbiz.de/10011450716
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Validity of Capital Assets Pricing Model : Evidence from KSE-Pakistan
Bhatti, Uzair - 2014
Capital Assets Pricing Model (CAPM) is the widely tested, accepted and rejected model of asset pricing. From its … is to form an opinion about authenticity and validity of CAPM. Our methodology includes the beta calculation through … calculation of results. Findings suggest that CAPM gives accurate results for a limited period and for few companies only. Out of …
Persistent link: https://www.econbiz.de/10013070329
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The Conditional Capital Asset Pricing Model Revisited : Evidence from High-Frequency Betas
Hollstein, Fabian - 2019
When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …
Persistent link: https://www.econbiz.de/10012892813
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New Evidence on Conditional Factor Models
Cooper, Ilan - 2018
We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies …
Persistent link: https://www.econbiz.de/10012937406
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Beta Bubbles
Jylha, Petri - 2017
temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on …-driven components of beta estimates that we find contribute to the empirical failure of the CAPM and the large returns to long …
Persistent link: https://www.econbiz.de/10012971144
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Option-Implied Volatility-Managed Asset Pricing Risk Factors and Resurrection of the Value Factor
Grobys, Klaus - 2019
Option-implied volatility-managed risk factor models produce higher maximum squared Sharpe ratios than the recently proposed six-factor model, which is used as a benchmark model in this study. A model that incorporates option-implied volatility-managed risk factors based on dynamic scaling...
Persistent link: https://www.econbiz.de/10012862033