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Location-Scale Portfolio Selection with Factor-Recentered Skew Normal Asset Returns

Gan, Quan - 2014

formula which nests the CAPM is obtained …

Persistent link: https://www.econbiz.de/10013054884

An Analytic Derivation and Comments on Betting Against Beta

Chen, Deng-Ta - 2014

heterogeneous investors results in the zero-beta CAPM. I prove that the optimal amount to invest in risky assets for an investor is …

Persistent link: https://www.econbiz.de/10013055309

What to Do About a Latent Factor : Performance Evaluation of Linear Asset Pricing Models Dependent Upon the Market Return

Prono, Todd - 2015

conditional CAPM nor the ICAPM is shown to offer any improvement over the simple CAPM, all three models are shown to perform …

Persistent link: https://www.econbiz.de/10013017437

Dealing with Non-Normality When Estimating Abnormal Returns and Systematic Risk of Private Equity : A Closed-Form Solution

Buchner, Axel - 2015

investments documented is lower than found in previous studies that estimate a standard CAPM, which is consistent with the theory … systematic risk and abnormal returns. In addition, unlike previous studies that derive estimates based on the standard CAPM, the … method employs a generalized CAPM that is based on the equilibrium model of Rubinstein (1976).This generalized CAPM …

Persistent link: https://www.econbiz.de/10013020161

The Performance of Relative-Value Equity Strategies

Anderson, Nicholas - 2016

This paper examines investment strategies that combine time-series and cross-sectional stock sorts based on scaled price-to-earnings ratios, which I describe as relative-value strategies. Relative-value strategies buy (short) stocks that are below (above) their long-run historical absolute or...

Persistent link: https://www.econbiz.de/10012991722

Profitability and Investment Factors for UK Asset Pricing Models

Nichol, Eoghan - 2014

Empirical investigations of the Fama-French three-factor asset pricing model have produced decidedly mixed results, particularly outside of the US market. Two recently proposed alternative multifactor models share a common core of the addition of profitability and investment as factors, but...

Persistent link: https://www.econbiz.de/10013045513

Full-Rank Maximum Correlation Portfolio Approach in Asset Pricing Tests

Kim, Jinyong - 2014

The usual cross-sectional tests of asset pricing models suffer from lack of power because they do not impose the null hypothesis of zero pricing errors on a full set of test assets. This paper proposes a simple remedy using full-rank maximum correlation portfolios obtained by adding extra return...

Persistent link: https://www.econbiz.de/10013045679

Return Ambiguity, Portfolio Choice, and Asset Pricing

Liu, Yu - 2018

We formulate a tractable continuous-time rational expectations model in which the agent is ambiguity averse and would like to robustify asset return specification. Ambiguity affects the portfolio rule and asset pricing both individually and collectively with risk. Independently existing...

Persistent link: https://www.econbiz.de/10012931950

Is there a value premium in cryptoasset markets?

Liebi, Luca J. - 2022 - [Version] January 19, 2022

This paper identifies active addresses-to-network value as an additional common risk factor in the returns on cryptoassets. Investigating 652 cryptoassets, I find anomalous returns that increase with active addresses-to-network value ratio, a proxy for the value anomaly. Cryptoassets with a high...

Persistent link: https://www.econbiz.de/10012609730

Ambiguity, long-run risks, and asset prices

Wei, Bin - 2021

I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...

Persistent link: https://www.econbiz.de/10012617667