Similar Search Results

A Long Run Risks Model of Asset Pricing with Fat Tails

Wang, Zhiguang - 2011

We explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. We estimate the structural parameters of the proposed model by maximum likelihood. We...

Persistent link: https://www.econbiz.de/10013122690

Investment Horizon Dependent CAPM : Adjusting Beta for Long-Term Dependence

León, Carlos - 2012

. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction … the CAPM's bias resulting from this abiding – but flawed – assumption. The proposed procedure is based on Greene and … Fielitz (1980) seminal work on the application of fractional Brownian motion to CAPM, and on a revised technique for …

Persistent link: https://www.econbiz.de/10013097627

Mean-Variance Investing

Ang, Andrew - 2012

Mean-variance investing is all about diversification. Diversification considers assets holistically and exploits the interaction of assets with each other, rather than viewing assets in isolation. Holding a diversified portfolio allows investors to increase expected returns while reducing risks....

Persistent link: https://www.econbiz.de/10013101783

Growth Opportunities, Assets in Place, Stocks Migration and CAPM : A Rational Foundation for the Fama-French and Momentum Factors

Faugère, Christophe - 2012

Can the Fama-French (1993) factors and Carhart's (1997) momentum factor be derived from CAPM? Surprisingly, the answer …

Persistent link: https://www.econbiz.de/10013105496

Testing Habits in an Asset Pricing Model

d'Addona, Stefano - 2012

We develop an asset pricing model with external habit formation. The model predicts that the effect of consumption shocks on the equity premium depends on the business cycle. We test this empirical implication using a VAR model of the U.S. postwar economy whose parameters are estimated...

Persistent link: https://www.econbiz.de/10013109086

Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints

Chabakauri, Georgy - 2013

We study dynamic general equilibrium in a Lucas economy with two trees, one consumption good, two CRRA investors with heterogeneous risk aversions, and portfolio constraints. We focus on margin and leverage constraints, which restrict access to credit markets. We find positive relationship...

Persistent link: https://www.econbiz.de/10013086494

A Mean-Variance Benchmark for Intertemporal Portfolio Theory

Cochrane, John H. - 2013

Mean-variance portfolio theory can apply to the streams of payoffs such as dividends following an initial investment …

Persistent link: https://www.econbiz.de/10013088054

Illiquid Asset Investing

Ang, Andrew - 2013

After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio...

Persistent link: https://www.econbiz.de/10013088632

Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks

Umlauft, Roland - 2013

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is concentrated on the subset of liquid assets. In the presence...

Persistent link: https://www.econbiz.de/10013090386

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