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The stable long-run CAPM and the cross-section of expected returns
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/10010295722
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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
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The Stable Long-Run CAPM and the Cross-Section of Expected Returns
Kim, Jeong-Ryeol - 2016
The capital-asset-pricing model (CAPM) is one of the most popular methods ofDas Capital-Asset-Pricing-Modell (CAPM) ist …
Persistent link: https://www.econbiz.de/10012991283
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Dissecting Anomalies in Conditional Asset Pricing
Raponi, Valentina; Zaffaroni, Paolo - 2023
We develop a methodology for estimating and testing the effect of anomalies in conditional asset pricing models when premia are time-varying. Our method, which builds on the two-pass methodology, is developed for ordinary and weighted least-squares estimation, considering both cases of correct...
Persistent link: https://www.econbiz.de/10014348784
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Empirical risk factors in realized stock returns
Novák, Jiří; Petr, Dalibor - 2009
Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...
Persistent link: https://www.econbiz.de/10010322253
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On empirical challenges in forecasting market betas in crypto markets
Šíla, Jan; Mark, Michael; Krištoufek, Ladislav - 2022
This paper investigates the predictability of market betas for crypto assets. The market beta is the optimal weight of a short position in a simple two-asset portfolio hedging the market risk. Investors are therefore keen to forecast the market beta accurately. Estimating the market beta is a...
Persistent link: https://www.econbiz.de/10014301790
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Empirical risk factors in realized stock returns
Novak, Jiri; Petr, Dalibor - 2009
; asset pricing ; risk ; multifactor models ; CAPM ; size ; book-to-market ; momentum ; Sweden …
Persistent link: https://www.econbiz.de/10003929606
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Forecasting EREIT returns
Serrano, Camilo; Hoesli, Martin - 2007
This paper analyzes the role played by financial assets, direct real estate, and the Fama and French factors in explaining EREIT returns and examines the usefulness of these variables in forecasting returns. Four models are analyzed and their predictive potential is assessed by comparing three...
Persistent link: https://www.econbiz.de/10003961071
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CAPM Performance in the Caracas Stock Exchange from 1992 to 1998
Gonzalez, Maximiliano - 2011
The capital asset pricing model (CAPM) is tested using data of all available stocks in the Caracas Stock Exchange (CSE …) from 1992 to 1998. We use a multiple regression model to test several hypotheses that lead to the validation of the CAPM …. We find significant evidence to conclude that the CAPM should not be used to predict stock returns in the CSE. However …
Persistent link: https://www.econbiz.de/10013131050
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Are Downside Higher Order Co-Moments Priced? : Evidence from the French Market
Hafsa, Houda - 2012
This study examines the role of downside higher order co-moments in asset pricing models when stock returns are not normal. We test the effect of higher order downside co-moments using a data set of daily returns of Société des Bourses Françaises 250 Index stocks during the period 1987-2009....
Persistent link: https://www.econbiz.de/10013113742