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Evaluating factor pricing models using high-frequency panels

Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933

This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...

Persistent link: https://www.econbiz.de/10011800879

Instability of Factor Strength in Asset Returns

Massacci, Daniele - 2022

We study the problem of detecting structural instability of factor strength in asset pricing models for financial returns. We allow for strong and weaker factors, in which the sum of squared betas grows at a rate equal to and slower than the number of test assets, respectively: this growth rate...

Persistent link: https://www.econbiz.de/10013311483

Testing linear factor pricing models with large cross-sections : a distribution-free approach

Gungor, Sermin; Luger, Richard - 2010

-section is too large. Finally, we revisit the CAPM and the Fama-French three factor model. Our results strongly support the mean …

Persistent link: https://www.econbiz.de/10008771577

Market risk : exponential weighting in the value-at-risk calculation

Broll, Udo; Förster, Andreas - 2020

When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation...

Persistent link: https://www.econbiz.de/10012285469

Current volatility as a measure of market risk

Kussy, Mikhail - In: International journal of risk assessment and management … 20 (2017) 4, pp. 333-349

Persistent link: https://www.econbiz.de/10011859119

The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis

Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320

Persistent link: https://www.econbiz.de/10009301116

Investor sentiment, momentum, and stock returns : an examination for direct and indirect effects

Rashid, Abdul; Fayyaz, Madiha; Karim, Maria - In: Economic research 32 (2019) 1,3, pp. 2638-2656

Persistent link: https://www.econbiz.de/10012585541

Countercyclical and time-varying reward to risk and the equity premium

Antell, Jan; Vaihekoski, Mika - In: Research in international business and finance 66 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014460255

Enhancing sustainable finance through green hydrogen equity investments : a multifaceted risk-return analysis

Kampe, Cristina - In: Risks : open access journal 11 (2023) 12, pp. 1-22

Amidst the global push for decarbonization, green hydrogen has gained recognition as a versatile and clean energy carrier, prompting the financial sector to introduce specialized investment instruments like Green Hydrogen Exchange-Traded Funds (ETFs). Despite the nascent nature of research on...

Persistent link: https://www.econbiz.de/10014446604

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 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 … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …

Persistent link: https://www.econbiz.de/10009535779