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The CAPM strikes back? : an investment model with disasters

Bai, Hang; Hou, Kewei; Kung, Howard; Zhang, Lu - 2015

in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. Our single-factor model … reproduces the failure of the CAPM in explaining the value premium in finite samples without disasters, and its relative success … in samples with disasters. The standard consumption CAPM fails in simulations, even though a nonlinear model with the …

Persistent link: https://www.econbiz.de/10010531874

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

Beta Estimation with Stock Return Outliers : The Case of U.S. Pharmaceutical Companies

Theodossiou, Alexandra K. - 2009

relies on the CAPM model to define the return risk premium, and the OLS method to estimate the beta risk coefficient required …

Persistent link: https://www.econbiz.de/10013159450

Systematic and idiosyncratic risks of the U.S. Airline industry

Bhuyan, Rafiqul; Mollick, André Varella; Amin, Md. Ruhul - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-13

Understanding the risky nature of the airline industry has received attention in the tourism literature from separate angles. Although the systematic risk of the airline industry has been examined before, idiosyncratic risk has largely been ignored. This study fills this gap in the tourism...

Persistent link: https://www.econbiz.de/10013380405

The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

Persistent link: https://www.econbiz.de/10003857823

Is ESG a Systematic Risk Factor for US Equity Mutual Funds?

Jin, Ick - 2021

Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...

Persistent link: https://www.econbiz.de/10013252157

Investor Information Choice with Macro and Micro Information

Glasserman, Paul - 2019

We study information and portfolio choices when securities' dividends depend on an aggregate (macro) risk factor and idiosyncratic (micro) shocks, and when investors can acquire costly dividend information. We establish a general result under which investors endogeneously specialize in either...

Persistent link: https://www.econbiz.de/10012903189

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

Cash flow and discount rate risk in up and down markets : what is actually priced?

Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...

Persistent link: https://www.econbiz.de/10008748123

Long-run Cash Flow and Discount-Rate Risks in the Cross-section of US Returns

Koubouros, Michael; Malliaropulos, Dimitris; … - 2022

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock-specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton's intertemporal capital asset pricing model to test...

Persistent link: https://www.econbiz.de/10014236926

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