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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

Persistent link: https://www.econbiz.de/10001731828

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10011431982

U.S. Stock Returns, the Berry-Esseen Theorem, and Statistical Testing

Crack, Timothy Falcon - 2020

Neither existing theory nor prior empirical work can tell us the impact of non-normality on required sample sizes for Student-t tests of the mean in U.S. stock returns. Prior empirical work and bounds from a modified Berry-Esseen theorem do suggest, however, that the answer should vary with...

Persistent link: https://www.econbiz.de/10012829441

US equity announcement risk premia

Petraseka, Lukas; Kukacka, Jiri - 2024

We analyze the announcement risk premia on the US market between September 1987 and March 2023 and find that the market index exhibits average excess returns of 8.3 bps for macroeconomic announcement days. This strongly contrasts with 1.4 bps returns for non-announcement days. We further measure...

Persistent link: https://www.econbiz.de/10015076295

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …

Persistent link: https://www.econbiz.de/10009535779

Quantitative forecast model for the application of the Black-Litterman approach

Becker, Franziska; Gürtler, Marc - 2008 - This Version: 2010-11-10

The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz portfolio optimization. Against this background, in 1992 Black and Litterman developed an approach based on (theoretically established) expected equili-brium returns which...

Persistent link: https://www.econbiz.de/10009487257

Long-horizon asset and portfolio returns revisited : evidence from US markets

Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16

This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...

Persistent link: https://www.econbiz.de/10014503297

The day-of-the-week effect revisited : an alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002

Persistent link: https://www.econbiz.de/10001736260

The day-of-the-week effect revisited : an alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

Persistent link: https://www.econbiz.de/10009725480

A Closer Look at Return Predictability of the US Stock Market : Evidence from a Panel Variance Ratio Test

Kim, Jae H. - 2013

This paper examines return predictability of the U.S. stock market using portfolios sorted by size, book-to-market ratio, and industry. A novel panel variance ratio test is proposed and employed to evaluate time-varying return predictability from 1964 to 2011. It is found that the stock returns...

Persistent link: https://www.econbiz.de/10013086798