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The stable long-run CAPM and the cross-section of expected returns
Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10010295722
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The stable long-run CAPM and the cross-section of expected returns
Kurz-Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10011431316
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The Stable Long-Run CAPM and the Cross-Section of Expected Returns
Kim, Jeong-Ryeol - 2016
The capital-asset-pricing model (CAPM) is one of the most popular methods ofDas Capital-Asset-Pricing-Modell (CAPM) ist …
Persistent link: https://www.econbiz.de/10012991283
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The stable long-run CAPM and the cross-section of expected returns
Kim, Jeong-Ryeol; Kurz-Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10001650360
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Dissecting Anomalies in Conditional Asset Pricing
Raponi, Valentina; Zaffaroni, Paolo - 2023
We develop a methodology for estimating and testing the effect of anomalies in conditional asset pricing models when premia are time-varying. Our method, which builds on the two-pass methodology, is developed for ordinary and weighted least-squares estimation, considering both cases of correct...
Persistent link: https://www.econbiz.de/10014348784
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Forecasting EREIT returns
Serrano, Camilo; Hoesli, Martin - 2007
This paper analyzes the role played by financial assets, direct real estate, and the Fama and French factors in explaining EREIT returns and examines the usefulness of these variables in forecasting returns. Four models are analyzed and their predictive potential is assessed by comparing three...
Persistent link: https://www.econbiz.de/10003961071
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Equilibrium Relationship between Expected Return and Skewness
Bhattacharyya, Nalinaksha - 2015
Traditional finance theories assume that investors are risk averse whereas in reality investors exhibit both risk averse and risk seeking behaviors. For example the same individual could be purchasing insurance (risk averse) and lottery ticket (risk seeking) simultaneously. We propose that the...
Persistent link: https://www.econbiz.de/10013015046
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Asset Pricing Models and Anomalies : An Empirical Analysis
Demaj, Arber - 2018
-distance test nor the LM test, except for the CAPM specification. Lastly, low volatility is priced, whereas momentum and dividend …
Persistent link: https://www.econbiz.de/10012926798
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Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis
Allen, David E. - 2010
In traditional tests of asset pricing theory Ordinary Least Squares (OLS) regression methods are used in empirical tests of factor models, which implies a focus on the means of the distributions of covariates. The work of Koenker and Basset (1982) and Koenker (2005) provides an alternative via...
Persistent link: https://www.econbiz.de/10013151096
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Quantile Spectral Beta : A Tale of Tail Risks, Investment Horizons, and Asset Prices
Baruník, Jozef - 2019
We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the decomposition of covariance between indicator functions capturing fluctuations of different parts of return distributions over various frequencies, we define a \textit{quantile...
Persistent link: https://www.econbiz.de/10012899016