Showing 1 - 10 of 790,597
We confront prominent asset pricing models with the classical out-of-sample cross-sectional test of Fama and MacBeth (1973). For all models, we uncover three main findings: (i) the intercept coefficients are economically large and highly statistically significant; (ii) the cross-sectional factor...
Persistent link: https://www.econbiz.de/10013212205
Persistent link: https://www.econbiz.de/10012650703
Persistent link: https://www.econbiz.de/10012483168
(High dimensional) time series which reveal nonstationary and possibly periodic behavior occur frequently in many fields of science. In this article, we separate the modeling of high dimensional time series to time propagation of low dimensional time series and high dimensional time invariant...
Persistent link: https://www.econbiz.de/10012966284
We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...
Persistent link: https://www.econbiz.de/10012042424
Standard factor models focus on returns and leave prices undetermined. Thisapproach ignores information contained in the time-series of asset prices, relevantfor long-term investors and for detecting potential mispricing. To address this issue,we propose a novel (co-)integrated methodology to...
Persistent link: https://www.econbiz.de/10012848641
Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...
Persistent link: https://www.econbiz.de/10011860248
We represent risk factors as sums of orthogonal components capturing fluctuations with cycles of different length. The representation leads to novel spectral factor models in which systematic risk is allowed (without being forced) to vary across frequencies. Frequency-specific systematic risk is...
Persistent link: https://www.econbiz.de/10012851025
study the dynamics of the whole high-dimensional system with a low-dimensional representation. We illustrate the theory with …
Persistent link: https://www.econbiz.de/10012966242
We argue that tests of reduced-form factor models and horse races between "characteristics" and "covariances'" cannot discriminate between alternative models of investor beliefs. Since asset returns have substantial commonality, absence of near-arbitrage opportunities implies that the SDF can be...
Persistent link: https://www.econbiz.de/10012959517