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Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …
Persistent link: https://www.econbiz.de/10013107698
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Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … series. Two new tests of CAPM are proposed that exploit recent advances on the analysis of large panel data models, and are …. Statistically significant evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a …
Persistent link: https://www.econbiz.de/10013109294
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An Econometric Panel-Midas Model of Asset Returns in the Brazilian Stock Market
Moura Costa da Silva, Aline; de Medeiros, Otavio Ribeiro - 2018
The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design to explain and forecast individual returns of securities listed on the Brazilian stock market. The model's explanatory variables include macroeconomic, fundamental and...
Persistent link: https://www.econbiz.de/10014112120
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Forward-Looking Market Risk Premium
Duan, Jin-Chuan - 2013
A method for computing forward-looking market risk premium is developed in this paper. We first derive a theoretical expression that links forward-looking risk premium to investors' risk aversion and cumulative return's forward-looking volatility, skewness and kurtosis. In addition, investor's...
Persistent link: https://www.econbiz.de/10013094883
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Marktrisiken : Portfoliotheorie und Risikomaße
Kremer, Jürgen - 2018
Portfoliotheorie -- Arbitragefreie Ein-Perioden-Modelle und CAPM -- Value at Risk -- Kohärente Risikomaße und der …
Persistent link: https://www.econbiz.de/10014018592
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Marktrisiken : Portfoliotheorie und Risikomaße
Kremer, Jürgen - 2018
Persistent link: https://www.econbiz.de/10011772607
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Implications of keeping-up-with-the-Joneses behavior for the equilibrium cross section of stock returns : international evidence
Gómez, Juan-Pedro; Priestley, Richard; Zapatero, Fernando - In: The journal of finance : the journal of the American … 64 (2009) 6, pp. 2703-2737
Persistent link: https://www.econbiz.de/10003926423
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World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets
Bali, Turan G. - 2012
This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk associated with each factor is common across countries....
Persistent link: https://www.econbiz.de/10013116715
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Constructing asset pricing models with specific factor loadings
Davidson, Ian; Guo, Qian; Song, Xiaojing; Tippett, Mark - In: Abacus : a journal of accounting, finance and business … 48 (2012) 2, pp. 199-213
Persistent link: https://www.econbiz.de/10009570430
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Gibt es Alternativen zur DAX-basierten Schätzung von Marktrisikoprämie, Betafaktor und Risikozuschlag?
Watrin, Christoph; Stöver, Rüdiger - In: Corporate finance / Biz 3 (2012) 3, pp. 119-129
Persistent link: https://www.econbiz.de/10009529076