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A Heterogenous Agent Foundation for Tests of Asset Price Bubbles

Arora, Vipin - 2013

We provide heterogenous agent foundations for regime-switching tests of asset price bubbles, and illustrate by applying the models to historical U.S. stock market data. While the tests remain unchanged, we show the specification of regimes can be based on the beliefs of investors that come from...

Persistent link: https://www.econbiz.de/10013079949

Cash-Flow or Discount-Rate Risk? Evidence from the Cross Section of Present Values

Chen, Bingxu - 2014

Realized returns comprise (ex-ante) expected returns plus (ex-post) innovations, and consequently both expected returns and returns innovations can be broken down into components reflecting fluctuations in cash flow (CF) and discount rate (DR). I use a present-value model to identify the CF and...

Persistent link: https://www.econbiz.de/10013061865

Recovering Heterogeneous Beliefs and Preferences from Asset Prices

Ghosh, Anisha - 2020

We propose a novel information-theoretic approach to separately identify the risk preferences and beliefs of different types of financial market investors. Investors who allocate most of their wealth in large market capitalization stocks are risk averse and believe that the aggregate stock...

Persistent link: https://www.econbiz.de/10012828438

A Coronavirus Asset Pricing Model : The Role of Skewness

Delis, Manthos D. - 2020

We study an equilibrium risk and return model to explore the effects of the coronavirus crisis and associated skewness. We derive the moment and equilibrium equations, specifying skewness price of risk as an additive component of the effect of variance on mean expected return. We estimate our...

Persistent link: https://www.econbiz.de/10012832204

The Efficiency vs. Pricing Accuracy Trade-Off in GMM Estimation of Multifactor Linear Asset Pricing Models

Guidolin, Massimo; Lozano, Martin; Arismendi-Zambrano, Juan - 2022

Even though a multi-factor linear asset pricing model can be equivalently represented in a Beta or in a stochastic discount factor (SDF) form, its inferential efficiency and pricing accuracy features may differ when estimated by the generalized method of moments (GMM), both in small and in large...

Persistent link: https://www.econbiz.de/10013322027

Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

Persistent link: https://www.econbiz.de/10012101166

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10012598456

The term structure of equity and variance risk premia

Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano - 2018

We study the term structure of variance swaps, equity and variance risk premia. A model-free analysis reveals a significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure against volatility risk increases after a market drop. This...

Persistent link: https://www.econbiz.de/10011899885

Tests of Equity Market Anomalies for Select Emerging Markets

Sehgal, Sanjay; Subramaniam, Srividya; Deisting, Florent - In: The International Journal of Business and Finance Research 8 (2014) 3, pp. 27-46

compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for …

Persistent link: https://www.econbiz.de/10010960338

Conservatism in Corporate Valuation

Bach, Christian - School of Economics and Management, University of Aarhus - 2011

of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the … consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation … based on the results of the respective models. The CCAPM model performs substantially better than the CAPM based model when …

Persistent link: https://www.econbiz.de/10009293656