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The risk parity portfolio and the low-risk asset anomaly
Omori, Kozo - In: Public policy review 9 (2013) 3, pp. 491-513
Persistent link: https://www.econbiz.de/10010190451
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Yes, the CAPM is testable
Guermat, Cherif - In: Journal of Banking & Finance 46 (2014) C, pp. 31-42
It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are … has led many to express serious doubt on the testability of the CAPM. In this paper I show that the CAPM is indeed … the CAPM. The first step uses a simple combination of the coefficients of determination from both Ordinary Least Squares …
Persistent link: https://www.econbiz.de/10010907096
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Mean-variance efficiency and intertemporal price for risk
Leitner, Johannes - 2000
In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance optimal martingale measure divided by the zero bond price. We show the Hedging Numeraire to equal the Market Portfolio...
Persistent link: https://www.econbiz.de/10011544318
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Validita modelu CAPM na akciovém trhu USA
Širůček, Martin; Šoba, Oldřich; Němeček, Jaroslav - Volkswirtschaftliche Fakultät, … - 2014
The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock … Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical … by using the model of Security Market Line (SML) verify the validity of CAPM model by assets pricing. According to Alfa …
Persistent link: https://www.econbiz.de/10011201277
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Multifactor explanations of returns on the Warsaw Stock Exchange in light of the ICAPM
Urbański, Stanisław - In: Economic Systems 36 (2012) 4, pp. 552-570
This paper presents possibilities for the pricing of stocks listed on the Warsaw Stock Exchange in light of the ICAPM. The pricing test period (1996–2010) is divided into two sub-periods: 1996–2005 (the years preceding Poland's accession to the EU) and 2005–2010 (the years of Poland's...
Persistent link: https://www.econbiz.de/10011040300
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...
Persistent link: https://www.econbiz.de/10010307494
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Analysts' dividend forecasts, portfolio selection, and market risk premia
Breuer, Wolfgang; Feilke, Franziska; Gürtler, Marc - 2007
The most relevant practical impediment to an application of the Markowitz portfolio selection approach is the problem of estimating return moments, in particular return expectations. We analyze the consequences of using return estimates implied by analysts' dividend forecasts under the explicit...
Persistent link: https://www.econbiz.de/10010307943
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Multiplicative models of financial returns and what we fail to get when they are disregarded
Apreda, Rodolfo - 2011
This paper puts forward an alternative approach to multiplicative models and their assessment of returns out of financial assets. Firstly, it lays down an operative definition but also sets forth a commutative framework of mappings to provide foundations to such a definition. Next, the total...
Persistent link: https://www.econbiz.de/10010323109
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Heterogeneity of Investors and Asset Pricing in a Risk-Value World
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10010324093
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Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010325965