Similar Search Results

Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange

Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220

of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency … ratios, which were computed using the CAPM, Fama–French and Carhart models. The empirical study described in the article … significantly affect the sensitivity of the rate of return on shares to the risk factors expressed in the CAPM, Fama––French and …

Persistent link: https://www.econbiz.de/10012303197

Principal portfolios

Kelly, Bryan T.; Malamud, Semyon; Pedersen, Lasse Heje - 2020 - This version: June 8, 2020

We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes...

Persistent link: https://www.econbiz.de/10012271188

Predictability and the cross-section of expected returns : a challenge for asset pricing models

Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020 - This version: August 28, 2020

Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...

Persistent link: https://www.econbiz.de/10012271368

Testing for alpha in linear factor pricing models with a large number of securities

Pesaran, M. Hashem; Yamagata, Takashi - 2017

the S&P 500 at the end of each month in real time, using rolling windows of size 60. Statistically significant evidence … against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

Persistent link: https://www.econbiz.de/10011630054

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

-series momentum, which strengthens in bad times, increases with disagreement, and crashes after sharp market rebounds. We provide …

Persistent link: https://www.econbiz.de/10011721618

Testing for alpha in linear factor pricing podels with a large number of securities

Pesaran, M. Hashem; Yamagata, Takashi - 2017

Persistent link: https://www.econbiz.de/10011646274

Tail risks, asset prices, and investment horizons

Baruník, Jozef; Nevrla, Matěj - 2019

-French Industry portfolios, and 25 Fama-French portfolios sorted on size and book-to-market support our intuition. Results suggest …

Persistent link: https://www.econbiz.de/10012009758

Rolling regression CAPM on Zagreb stock exchange : can investors profit from it?

Škrinjarić, Tihana - In: Economic review : journal of economics & business 16 (2018) 2, pp. 7-22

This paper explores possibilities of using rolling regression CAPM on the Zagreb Stock Exchange in portfolio and risk … and return. Furthermore, the rolling regression approach to CAPM estimation has not yet been observed on the Croatian and … rolling regression CAPM on the Croatian market. Results from the analysis are used in simulating portfolio strategies in order …

Persistent link: https://www.econbiz.de/10012012610

Currency futures' risk premia and risk factors

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020

The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We ﬁnd that the forward premium puzzle (FFP) depends signiﬁcantly on the maturity horizon of the futures contract and the choice of sampling...

Persistent link: https://www.econbiz.de/10012209529

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...

Persistent link: https://www.econbiz.de/10011780610