Narrow search
Showing 1 - 10 of 229,649
Cover Image
Peso problems in the estimation of the C-CAPM
Parra-Alvarez, Juan Carlos; Posch, Olaf; Schrimpf, Andreas - In: Quantitative economics : QE ; journal of the … 13 (2022) 1, pp. 259-313
This paper shows that the consumption‐based capital asset pricing model (C-CAPM) with low‐probability disaster risk …
Persistent link: https://www.econbiz.de/10012807749
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10011431982
Cover Image
Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
Cover Image
Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
Cover Image
Estimating Turkish stock market returns with APT model : cointegration and vector error correction
Alp, Ozge Sezgin; Gökgöz, Fazıl; Küçükkocaoğlu, … - In: Economic review : journal of economics & business 14 (2016) 1, pp. 7-19
Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM …
Persistent link: https://www.econbiz.de/10012012458
Cover Image
On the empirical saddlepoint approximation with application to asset pricing
Holcblat, Benjamin - 2015
Moment-based estimation often yields instable estimates, such as the RRA (relative risk aversion) estimate in …
Persistent link: https://www.econbiz.de/10012064363
Cover Image
How to estimate beta?
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017
estimation. Using the entire U.S. stock universe and a sample period of more than 50 years, we find that a historical estimator …
Persistent link: https://www.econbiz.de/10011751164
Cover Image
Aggregation, capital heterogeneity, and the investment CAPM
Gonçalves, Andrei S.; Xue, Chen; Zhang, Lu - 2019
CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio …
Persistent link: https://www.econbiz.de/10011968853
Cover Image
Consumption based capital asset pricing and the Austrian Stock Exchange
Böheim, René; Boss, Michael - 1996
Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock...
Persistent link: https://www.econbiz.de/10009697460
Cover Image
Bayesian estimation of a DSGE model with asset prices
Kliem, Martin; Uhlig, Harald - 2013
constrained estimation produces a quantitative model with both reasonable asset-pricing as well as business-cycle implications. …
Persistent link: https://www.econbiz.de/10010192763