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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

Risk Factors in Energy Utility Returns : An Augmented-Four-Factor Model

Tulloch, Daniel J. - 2016

In this paper we utilise the risk factors from both the finance and energy economics literatures to develop an improved asset pricing model (the Augmented-Four-Factor Model or AFFM) in the context of the European energy utility sector. In addition, we undertake inter-sectoral and inter-temporal...

Persistent link: https://www.econbiz.de/10012997935

Modelling Sector-Level Asset Prices

Tulloch, Daniel J. - 2017

We present a modelling approach for sector asset pricing studies that incorporates sector-level risk factors, sub-group portfolios, and structural break point tests that are better at isolating the time-varying nature and the firm-specific component of returns. The sub-group portfolios show...

Persistent link: https://www.econbiz.de/10012947613

Multivariate Return Decomposition : Theory and Implications

Anatolyev, Stanislav - 2017

In this paper, we propose a model based on multivariate decomposition of multiplicative—absolute values and signs—components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Persistent link: https://www.econbiz.de/10012948702

Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions

Czellar, Veronika - 2017

We propose an asset pricing model featuring both limited participation and heterogeneity, in which agents randomly participate in the bond and stock markets according to a probability that depends on their non-financial income. We develop an indirect inference method to estimate our model on...

Persistent link: https://www.econbiz.de/10012949317

Estimating Risk-Return Relations with Analysts Price Targets

Wu, Liuren - 2018

Asset pricing tests often replace ex ante return expectation with ex post realization. The large deviation between the two drastically weakens the power of these tests. This paper proposes to use analysts consensus price target for a stock as the market expectation of the stock's future price to...

Persistent link: https://www.econbiz.de/10012916537

Identifying Beliefs from Asset Prices

Ghosh, Anisha - 2020

We propose a novel procedure to identify the marginal stock market investor's beliefs from observed asset prices. Our approach recovers price-consistent beliefs, i.e. the distribution of macro and financial variables that satisfy the conditional Euler equations, given a cross-section of assets,...

Persistent link: https://www.econbiz.de/10012849004

Extending the Demand System Approach to Asset Pricing

Gehrig, Thomas; Sögner, Leopold; Westerkamp, Arne - 2022

We extend the d cifically we analyse constant absolute and constant relative risk aversion, provide conditionsfor the existence of equilibrium, and evaluate equilibrium prices at US-data. We find that constant absolute risk aversion works particularly well at moderate levels of risk aversion. In...

Persistent link: https://www.econbiz.de/10014235881

Nonlinearities and Tests of Asset Price Bubbles

Arora, Vipin; Shi, Shuping - 2018

We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results. We show this by comparing four tests using S&P 500 data. Our results indicate that the modi fication which incorporates nonlinear probabilities outperforms the other models in...

Persistent link: https://www.econbiz.de/10014145298

An Econometric Panel-Midas Model of Asset Returns in the Brazilian Stock Market

Moura Costa da Silva, Aline; de Medeiros, Otavio Ribeiro - 2018

The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design to explain and forecast individual returns of securities listed on the Brazilian stock market. The model's explanatory variables include macroeconomic, fundamental and...

Persistent link: https://www.econbiz.de/10014112120