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A Factor Portfolio Asset Pricing Model Based on the Optimal Distribution of Risk and Return

Zhang, Dixin - 2017

-Lintner (1964, 1965) CAPM, the Fama-French (1993) three-factor model, the Carhart (1997) four-factor model, the Hou-Xue-Zhang (2015 …

Persistent link: https://www.econbiz.de/10012953038

Quantum Financial Economics - Risk and Returns

Gonçalves, Carlos Pedro dos Santos - 2011

Financial volatility risk is addressed through a multiple round evolutionary quantum game equilibrium leading to Multifractal Self-Organized Criticality (MSOC) in the financial returns and in the risk dynamics. The model is simulated and the results are compared with financial volatility data

Persistent link: https://www.econbiz.de/10013122513

Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry

Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015

We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...

Persistent link: https://www.econbiz.de/10011345060

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 … (2015, HXZ) and Fama and French (2015, 2016, FF) models. The largest increase in performance holds for momentum, investment … dominates FF in explaining momentum and profitability anomalies, while the converse holds for value-growth anomalies. Thus, the …

Persistent link: https://www.econbiz.de/10012937406

Sentiment and uncertainty

Birru, Justin; Young, Trevor - 2020

Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four...

Persistent link: https://www.econbiz.de/10012216707

Disentangling anomalies : risk versus mispricing

Birru, Justin; Mohrschladt, Hannes; Young, Trevor - 2020

Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower average returns. Because speculative stocks overlap with stocks deemed risky by rational models, failing to control for exposure to systematic mispricing can bias tests of...

Persistent link: https://www.econbiz.de/10012388392

An External Habit Model Subject to Long Run Risk in Continuous Time : A Multi-Dimensional Asset Pricing Model

Chen, Yu - 2011

This work develops an external habit model of the equity premium subject to long run risk in continuous time. The solution to this model is an analytic price-dividend function of the surplus consumption ratio and the long run risk variable. As a result, the equity premium can be accurately...

Persistent link: https://www.econbiz.de/10013128027

Misspecification-robust inference in linear asset pricing models with irrelevant risk factors

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2013

We show that in misspecified models with useless factors (for example, factors that are independent of the returns on the test assets), the standard inference procedures tend to erroneously conclude, with high probability, that these irrelevant factors are priced and the restrictions of the...

Persistent link: https://www.econbiz.de/10010195037

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

Persistent link: https://www.econbiz.de/10010359861

Automated machine learning and asset pricing

Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

Persistent link: https://www.econbiz.de/10015066381