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The time variation of liquidity risk in US stock markets

Ludwig, Michael - In: Credit and capital markets : Kredit und Kapital 51 (2018) 2, pp. 205-225

Persistent link: https://www.econbiz.de/10011946201

The neglect effect in security beta estimates - an observation of the US stock market from 1933 until 2016

Scheler, Fabian; Ecker, Frank; Werner, Jan - 2017

Persistent link: https://www.econbiz.de/10011921132

The Constrained Asset Share Estimation (CASE) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles - 1993

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …

Persistent link: https://www.econbiz.de/10012474666

Real Estate Risk in Equity Returns : Empirical Evidence from U.S. Stock Markets

Michel, Gaston (contributor) - 2009

Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an...

Persistent link: https://www.econbiz.de/10013521240

Functional Data Analysis : Estimating Beta in the Capital Asset Pricing Model for High-frequency U.S. Stock Data

Pedersen, Jens - 2022

This paper proposes estimating β in the capital asset pricing model (CAPM) using a functional data analysis approach …. After explicitly deriving parameter estimates and a prediction function for a functional CAPM, this paper compares the … predictive power of the functional CAPM against two distinct linear CAPMs. The analysis of the model’s predictive power is based …

Persistent link: https://www.econbiz.de/10014255244

Nonlinear factor returns in the US equity market

Clarke, Roger G.; DeSilva, Harindra; Thorley, Steven - In: Financial analysts journal : FAJ 80 (2024) 3, pp. 76-102

Persistent link: https://www.econbiz.de/10015050473

Real estate risk in equity returns : empirical evidence from U.S. stock markets

Michel, Gaston - 2009 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003829197

Comparing the market risk premia forecasts in JSE and NYSE equity markets

Oikonomikou, Leoni Eleni - 2016 - Corrected version: March 2016

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...

Persistent link: https://www.econbiz.de/10011454082

Option pricing under stochastic volatility and trading volume

Ono, Sadayuki (contributor) - 2007

Persistent link: https://www.econbiz.de/10003428523

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 … context we present how analysts' dividend forecasts can be used to determine an a-priori-estimation of the expected returns …

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