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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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Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITSs
Cakici, Nusret - 2014
This paper adopts the methodology in Bali and Cakici (2008) in tracking the evolution of the relation between equity REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample period, we study this relation for (i) all sample REITs,...
Persistent link: https://www.econbiz.de/10013056735
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The Benefits of Pre-Trade Transparency : A Cross-Market Comparison Between the U.S. and Swiss Corporate Bond Markets
Mattmann, Brian - 2023
dealer networks. A cross-market comparison reveals that the Swiss market is substantially smaller and its trading activities …
Persistent link: https://www.econbiz.de/10014350629
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Hidden liquidity : determinants and impact
Cebiroglu, Gökhan; Horst, Ulrich - 2012
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10009506557
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On bounding credit event risk premia
Bai, Jennie; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2012
Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a "contagious" response of the market portfolio during the credit event. When...
Persistent link: https://www.econbiz.de/10009657657
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The dynamics of monthly changes in US swap yields : a Keynesian perspective
Akram, Tanweer; Mamun, Khawaja - 2022
John Maynard Keynes (1930) asserted that the central bank sways the long-term interest rate through the influence of its policy rate on the short-term interest rate. Recent empirical research shows that Keynes's conjecture holds for long-term Treasury yields in the United States. This paper...
Persistent link: https://www.econbiz.de/10013383200
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The Distribution of US Stock Returns, 1963-2020
Hochachka, Gene - 2022
Using Compustat data, we reproduce the annual return distribution each year from 1963 to 2020 of the largest 500 and the next-largest 1000 US stocks, which on average represent about 96% of investable US stock capitalization. In the average calendar year about 65% (62%) of the largest (smaller)...
Persistent link: https://www.econbiz.de/10013404955
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US Sector Rotation with Five-Factor Fama-French Alphas
Sarwar, G - 2017
In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five-factor model fits better the returns of US sector portfolios than the three factor model, but that...
Persistent link: https://www.econbiz.de/10012954123
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Macro determinants of US stock market risk premia in bull and bear markets
Bätje, Fabian; Menkhoff, Lukas - 2013
This research uses macro factors to explain four standard U.S. stock market risk premia, i.e. the market excess return (RM-RF), size (SMB), value (HML), and momentum (WML). We find in-sample predictive power of macro factors, in particular at a one-year horizon. Differentiating between bull and...
Persistent link: https://www.econbiz.de/10010239724