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Factor Glut in Asset Pricing through a Modern Optimization Lens

Bakshi, Gurdip; Christensen, Timothy; Crosby, John; … - 2023

This paper addresses questions regarding the dimensionality of the stochastic discount factor and the selection of the best factors that enter it. We analyze these questions theoretically and empirically with a novel methodology which performs both (i) estimation of factor loadings and (ii) best...

Persistent link: https://www.econbiz.de/10014350213

Cybercrime and the Cross-Section of Equity Returns

Liu, Jiatao; Marsh, Ian W.; Xiao, Yajun - 2022

We use public news coverage about cybercrime to form a cybercrime news attention measure. This measure is consistent with the criteria for a state variable in ICAPM that is expected to forecasts economic conditions, thereby possessing the ability to predict cross-sectional equity returns. We...

Persistent link: https://www.econbiz.de/10014258685

Forecasts of inflation and interest rates in no-arbitrage affine models

Gospodinov, Nikolaj; Wei, Bin - 2016

In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological...

Persistent link: https://www.econbiz.de/10011421729

One-factor-Garch models for German stocks : estimation and forecasting

Kaiser, Thomas - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10010407100

Single Beta Models and Currency Futures Prices

McCurdy, Thomas H. - 2012

The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified portfolio of equities. Positive time-varing risk premia are found in all five currencies tested when the difference...

Persistent link: https://www.econbiz.de/10013113912

Conditional Beta Pricing Models : A Nonparametric Approach

Ferreira, Eva - 2011

We propose a two-stage procedure to estimate conditional beta pricing models that allows for flexibility in the dynamics of asset betas and market prices of risk (MPR). First, conditional betas are estimated nonparametrically for each asset and period using the time-series of previous data....

Persistent link: https://www.econbiz.de/10013125303

Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?

Abhakorn, Pongrapeeporn - 2016

the consumption-based capital asset pricing model (C-CAPM). Although the conditional covariances of returns with … consumption exhibit negative variation across size, they do not vary across the book-to-market ratio. Thus, the C-CAPM can capture … improves the fit of the C-CAPM, however. The value effect appears to be associated with book-to-market ratio as well as size …

Persistent link: https://www.econbiz.de/10013000288

Sorting Out Downside Beta

Post, Thierry - 2012

downside beta definition that follows from the theory. Using monthly stock-level data, the downside beta premium, if properly …

Persistent link: https://www.econbiz.de/10013112836

Testing the CAPM Revisited

Ray, Surajit D. - 2009

This paper re-examines the tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM …-year, ten-year and longer sub-periods during 1965-2004. The paper shows that the evidence for rejecting the CAPM on statistical …

Persistent link: https://www.econbiz.de/10013153351

The Market Price of Risk for Affine Interest Rate Term Structures

Cox, Samuel H. - 2009

This paper examines the market price of risk for discount bond prices under an affine term structure of interest rates. The usual relation plays two roles. First, it is the definition of market price of risk and, second, it provides a no arbitrage condition for the discount bond market. Here the...

Persistent link: https://www.econbiz.de/10013156298