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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
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 …
Persistent link: https://www.econbiz.de/10001731828
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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
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
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Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates : A New Test of the Present Value Model
Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J. - 2012
This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...
Persistent link: https://www.econbiz.de/10014043638
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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
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Decomposing the Effect of Consumer Sentiment News - Evidence from US Stock and Stock Index Futures Markets
Akhtar, Shumi M. - 2011
We examine the announcement effects of consumer sentiment on US stock and stock futures markets. First, we find that the consumer sentiment announcement has valuable information content. Second, an asymmetric response is observed for “good” versus “bad” sentiment news. Specifically, when...
Persistent link: https://www.econbiz.de/10013130425
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The Relationship Between CNN Money’s US Stock Market Fear and Greed Index and US Stock Indices
Johnson, Jackie - 2023
CNN Money developed the original US Stock Market Fear and Greed Index in 2012, using seven data points to measure stock market performance. The ability of the Fear and Greed Index to impact on future values of the various stock indices appears to be dependent on the observation period and the...
Persistent link: https://www.econbiz.de/10014350387
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The Impact of Macroeconomic News on US Interest Rates and Stock Indices Conditional on Their Volatility
Lubochinsky, Catherine - 2012
This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher...
Persistent link: https://www.econbiz.de/10013108222
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Falling Interest Rates and the Secular Rise in U.S. Common Stocks
Scott, William - 2020
This paper is a data-based analysis of how and why U.S. common stocks secularly rose in concert with falling interest rates. It finds that falling rates explained 76% of the increase in stocks between 1982 and 2019. Growth in financial wealth significantly outpaced growth in the real economy and...
Persistent link: https://www.econbiz.de/10012824647
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Evolution and market behavior with endogenous investment rules
Bottazzi, Giulio; Dindo, Pietro - 2010
In a complete market for short-lived assets, we investigate long run wealth-driven selection on a general class of investment rules that depend on endogenously determined current and past prices. We find that market instability, leading to asset mis-pricing and informational efficiencies, is a...
Persistent link: https://www.econbiz.de/10008729026
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Feasible momentum strategies in the US stock market
Ammann, Manuel; Moellenbeck, Marcel; Schmid, Markus M. - 2010
returns. These results are robust to various risk-adjustments including the CAPM, the Fama French (1993) three-factor model …
Persistent link: https://www.econbiz.de/10009306612