Similar Search Results

The Spirit of Capitalism and Asset Pricing: An Empirical Investigation

Zhang, Qiang - In: Topics in Macroeconomics 6 (2006) 3, pp. 1418-1418

We extend and test two models of asset pricing that feature status-seeking through accumulation of not only financial and real assets but also human capital. We use weak-identification robust tests to confront these models with U.S. aggregate data. Contrary to previous results, we find that the...

Persistent link: https://www.econbiz.de/10005751342

The return performance of cubic market model : an application to emerging markets

Mora-Valencia, Andrés; Perote, Javier; Arias, José … - In: Emerging markets finance & trade : a journal of the … 53 (2017) 10/11/12, pp. 2233-2241

Persistent link: https://www.econbiz.de/10011825306

Conditional coskewness and asset pricing

Smith, Daniel R. - 2007

We explore the empirical usefulness of conditional coskewness to explain the cross-section of equity returns. We find that coskewness is an important determinant of the returns to equity, and that the pricing relationship varies through time. In particular we find that when the conditional...

Persistent link: https://www.econbiz.de/10009483388

A Test of a Two-Factor 'Market and Oil' Pricing Model

Faff, Robert W; Brailsford, Tim - 1999

In this paper we employ a GMM-based approach to test the restrictions imposed by a two-factor 'market and oil' pricing …

Persistent link: https://www.econbiz.de/10009451584

GMM weighting matrices incross-sectional asset pricing tests

Laurinaityte, Nora; Meinerding, Christoph; Schlag, Christian - 2020

Cross-sectional asset pricing tests with GMM can generate spuriouslyhigh explanatory power for factor models when the …

Persistent link: https://www.econbiz.de/10012373291

Explaining exchange rate dynamics: the uncovered equity return parity condition

Cappiello, Lorenzo; De Santis, Roberto A. - 2005

By employing Lucas’ (1982) model, this study proposes an arbitrage relationship – the Uncovered Equity Return Parity (URP) condition – to explain the dynamics of exchange rates. When expected equity returns in a country/region are lower than expected equity returns in another...

Persistent link: https://www.econbiz.de/10011604575

Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models

Chiang, Min-Hsien; Kao, Chihwa - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005537650

Essays on Expectations and the Econometrics of Asset Pricing

Lof, Matthijs - Volkswirtschaftliche Fakultät, … - 2013

consistency of the generalized method of moments (GMM) estimator, as long as agents form rational expectations. …

Persistent link: https://www.econbiz.de/10011109608

Estimating and Testing Two Consumption-Based Asset Pricing Models for Brazil: An Information-Theoretic Approach

Araujo, Eurilton - In: Brazilian Business Review 3 (2006) 1, pp. 1-14

Since Brazilian data sets for consumption and asset returns are short and the standard GMM-based overidentifying … restrictions test has low power in small samples, a GMM approach imposes difficulties to the evaluation of asset pricing kernels …-Leibler Information Criterion (KLIC). The goal is to compare the traditional GMM method with the alternative information …

Persistent link: https://www.econbiz.de/10010895881

Financial asset returns and the macroeconomy: An elaboration of the consumption CAPM

VALCKX, Nico; PLASMANS, Joseph E.J. - Faculteit Toegepaste Economische Wetenschappen, … - 1998

Persistent link: https://www.econbiz.de/10010839828