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Oil price risk and the cross-section of stock returns in Turkey
Azimli, Asil - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4105-4122
Persistent link: https://www.econbiz.de/10013461311
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US risk premia under emerging markets constraints
Cavalcante-Filho, Elias; Chague, Fernando; De-Losso, Rodrigo - 2019
Persistent link: https://www.econbiz.de/10012036154
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Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry
Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015
We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...
Persistent link: https://www.econbiz.de/10011345060
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Investment Valuation and Asset Pricing : Models and Methods
Kolari, James W.; Pynnönen, Seppo - 2023
Model (CAPM) -- Chapter 4: The Market Model -- Chapter 5: The Zero-Beta CAPM -- Chapter 6: Alternative CAPM Specifications … -- Chapter 7: Arbitrage Pricing Theory -- Chapter 8: Multifactor Models -- Chapter 9: A Special Case of Zero-Beta CAPM -- Chapter …
Persistent link: https://www.econbiz.de/10013504695
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Asset pricing in a multifactor setting
Cayirl, Omer; Kayalidere, Koray; Aktas, Huseyin - In: Borsa Istanbul Review 22 (2022) 6, pp. 1062-1068
We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will … always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as …
Persistent link: https://www.econbiz.de/10014305738
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Essays on asset pricing and portfolio optimization
Koeppel, Christian - 2021
estimation errors: An efficient averaging rule for portfolio optimization" proposes a combination of established minimum … and diversifies estimation errors of the strategies included in our rule. Extensive simulations show that the contributions … of estimation errors to the out-of-sample variances are uncorrelated between the considered strategies. We therefore …
Persistent link: https://www.econbiz.de/10012651028
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Measuring market expectations
Baumeister, Christiane - 2021
Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...
Persistent link: https://www.econbiz.de/10012622575
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A factor model for Cryptocurrency returns
Bianchi, Daniele; Babiak, Mykola - 2021
Persistent link: https://www.econbiz.de/10012792799
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Beauty contests and the term structure
Ellison, Martin; Tischbirek, Andreas - 2018 - This version: February 2018
Persistent link: https://www.econbiz.de/10011908103
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Endogenous growth, countercyclical dividends, and asset prices
Filep-Mosberger, Palma; Kaszab, Lorant; Ren, Zhou - 2023
We study the nexus between endogenous growth and asset prices. We show that endogenous growth models with either horizontal and vertical innovation match financial data well due to countercyclical dividends which are either procyclical or acyclical in US data. Countercyclical dividends...
Persistent link: https://www.econbiz.de/10014251243