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Risk, Uncertainty, and Expected Returns
Bali, Turan G.; Zhou, Hao - 2013
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, and industry portfolios as well as individual stocks...
Persistent link: https://www.econbiz.de/10010500237
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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013
This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...
Persistent link: https://www.econbiz.de/10010500239
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Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange
Urbański, Stanisław; Leśkow, Jacek - In: Statistics in Transition New Series 21 (2020) 1, pp. 73-94
The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of...
Persistent link: https://www.econbiz.de/10012600219
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The cost of equity capital in stock portfolios listed on the warsaw stock exchange using the classic CAPM
Urba´nski, Stanislaw - In: E-Finanse : finansowy kwartalnik internetowy 15 (2019) 2, pp. 48-62
This work is an attempt to estimate the cost of equity capital characteristic among portfolios of companies listed on the Warsaw Stock Exchange in the years 1995-2017. To this end, the classic CAPM is used to estimate the cost of risk. Model tests are based on 252 monthly returns. In order to...
Persistent link: https://www.econbiz.de/10012104396
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Measures of Equity Home Bias Puzzle
Mishra, Anil - Volkswirtschaftliche Fakultät, … - 2013
: International Capital Asset Pricing Model (ICAPM), Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and Multi-Prior. ICAPM … mis-trust in the ICAPM model. Multi-Prior restricts the expected return for each asset to lie within specified confidence …
Persistent link: https://www.econbiz.de/10011258830
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The national bioenergy investment model: Technical documentation
Kemp-Benedict, Eric - Volkswirtschaftliche Fakultät, … - 2012
The National Bioenergy Investment Model is a scenario model that simulates the decisions of domestic and international investors on whether to invest in biofuel enterprises in a developing country. In the model, investors compare the profitability of different biofuel feedstock and fuel...
Persistent link: https://www.econbiz.de/10011261019
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Market proxies as factors in linear asset pricing models: Still living with the roll critique
Prono, Todd - In: Journal of Empirical Finance 31 (2015) C, pp. 36-53
Jagannathan and Wang (1996) is found to best the performance of both the simple CAPM and the ICAPM of Petkova (2006). Moreover, it …
Persistent link: https://www.econbiz.de/10011263473
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Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia
Docherty, Paul; Chan, Howard; Easton, Steve - In: Pacific-Basin Finance Journal 22 (2013) C, pp. 107-124
investigate whether these regularities may be explained as risk factors within Merton's (1973) ICAPM. We examine the commodity …
Persistent link: https://www.econbiz.de/10010608152
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Risk, Uncertainty, and Expected Returns
Bali, Turan G.; Zhou, Hao - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2013
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, and industry portfolios as well as individual stocks...
Persistent link: https://www.econbiz.de/10010610573
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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2013
This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...
Persistent link: https://www.econbiz.de/10010610574