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Higher-Moment Asset Pricing and Allocation in a Heterogeneous Market Equilibrium

Zhang, Qunzi - 2013

Investors have different preferences for portfolio skewness and kurtosis, i.e. return asymmetry and tail fatness. We build up a new equilibrium model with three types of investors whose preferences can be characterized by "MV", "MVS" and "MVSK". (M: Mean V: Variance S: Skewness K: Kurtosis) and...

Persistent link: https://www.econbiz.de/10013090424

Comparison of the Local and Global CAPM Estimates for Mexican Companies

Villarreal, Cuauhtemoc - 2014

rates, we ask if the required returns determined by the Local CAPM model and those determined by the Global CAPM model are … the Local CAPM is 13.83% while that of the Global CAPM is 20.38%. Our discovery that the estimated cost of capital for the …

Persistent link: https://www.econbiz.de/10013065192

A Comparison of Cost of Equity Estimates of Local and Global CAPM : Experience from a Developing Country, Mexico

Villarreal, Cuauhtemoc - 2014

Persistent link: https://www.econbiz.de/10013065193

A New Look at the Fama-French Model : Evidence Based on Expected Returns

Hanauer, Matthias X. - 2014

We test the Fama-French three-factor model for a large international data set using an alternative proxy for expected returns - the implied cost of capital (ICC). The implied risk premiums of the three factors are all highly significant. Also, the cross-country variation of each of the three...

Persistent link: https://www.econbiz.de/10013065979

Empirical Testing of the CAPM on the Johannesburg Stock Exchange

Ward, Mike - 2014

Fama's (1970) efficient market hypothesis (EMH) and the capital asset pricing model (CAPM) jointly ascribed to … authors have examined and noted significant inadequacies relating to the single factor CAPM, particularly with regard to the … relationship to what the CAPM prescribes, for most of the time-series. The use of the single beta CAPM is therefore inappropriate …

Persistent link: https://www.econbiz.de/10013066479

Risk-Return Trade-Off in the Pacific Basin Equity Markets

Cheng, Ai-ru Meg - 2014

We conduct an empirical study of risk-return trade-off in fourteen Pacific basin equity markets using several volatility estimators, including five variants of GARCH class, equally weighted rolling window volatility, and mixed data sampling (MIDAS), as well as binormal GARCH (BiN-GARCH) model...

Persistent link: https://www.econbiz.de/10013066939

The Risk-Return Trade-Off in Europe : A Temporal and Cross-Sectional Analysis

Salvador, Enrique - 2014

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to...

Persistent link: https://www.econbiz.de/10013068365

Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

Bekaert, Geert - 2014

We introduce a "bad environment-good environment" technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while...

Persistent link: https://www.econbiz.de/10013068408

Explanations for the Volatility Effect : An Overview Based on the CAPM Assumptions

Blitz, David - 2013

The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return, but empirical studies find … CAPM assumption it relates to. Interestingly, various explanations relate to investor behavior that is rational given … argue that although the CAPM may be bad at explaining reality, addressing the reasons for its failure could actually be a …

Persistent link: https://www.econbiz.de/10013072693

Currency Premia in Open Economies

Schornick, Astrid V. - 2015

We develop a two-country asset pricing model to explain countries' heterogeneous exposure to global risks and how these affect currency risk premia. In the model we consider separately the valuation of countries' consumption baskets from their sharing of risk. A currency's risk depends not only...

Persistent link: https://www.econbiz.de/10013014540