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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
Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...
Persistent link: https://www.econbiz.de/10012271368
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
basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …
Persistent link: https://www.econbiz.de/10010224775
including, 1) the value premium and the momentum portfolios simultaneously, 2) the q-factors and their benchmark portfolio …
Persistent link: https://www.econbiz.de/10014235414
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...
Persistent link: https://www.econbiz.de/10009787499
momentum and profitability anomalies, but the five-factor model has an edge in explaining value-versus-growth anomalies …
Persistent link: https://www.econbiz.de/10011279578
A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock …
Persistent link: https://www.econbiz.de/10013063588
Recent empirical evidence has shown that the relationship between idiosyncratic volatility and a stock's expected return depends on the pricing of the stock: it is negative among overvalued stocks and positive among undervalued ones. We provide both theoretical and numerical evidence that this...
Persistent link: https://www.econbiz.de/10012947736
This paper tests the Fama-French five-factor asset-pricing model on average stock returns for emerging and selected developed equity markets. We deploy the GMM regression on 313 weekly data observations for the period January 2010 through December 2015. Unlike studies in developed countries, we...
Persistent link: https://www.econbiz.de/10012871733