Showing 1 - 10 of 3,956
This paper analyzes the implications of autoregressive betas in single factor models for the statistical properties of stock returns. It is demonstrated that this assumption alone is sufficient to account for the most important stylized facts of stock returns, namely conditional...
Persistent link: https://www.econbiz.de/10013149583
underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …
Persistent link: https://www.econbiz.de/10013130931
Persistent link: https://www.econbiz.de/10012616913
Persistent link: https://www.econbiz.de/10012023499
Persistent link: https://www.econbiz.de/10013370591
Persistent link: https://www.econbiz.de/10014444704
Reliably estimating the beta of an individual stock has proved elusive. Individual stock price movements are a function of market/systematic movements and company specific/idiosyncratic movements. Since traditional beta estimation calculations make no attempt to minimize the impact of the...
Persistent link: https://www.econbiz.de/10013014870
test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a …
Persistent link: https://www.econbiz.de/10013139690
Given the process {X(t), t in T}, the definition of self-affinity is reformulated in terms of diameter of the space of the rescaled pdf's of X(t). Two necessary conditions are deduced which contribute to discriminate uniscaling processes. Furthermore, by properly choosing the distance, the...
Persistent link: https://www.econbiz.de/10013122376
-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard CAPM, the Fama …
Persistent link: https://www.econbiz.de/10013108066