Download or read book An Econometric Evaluation of Parameter Estimation Within the Capital Asset Pricing Model Framework written by Spencer Cecil Thompson and published by . This book was released on 1988 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Robust Estimation and Forecasting of the Capital Asset Pricing Model written by Guorui Bian and published by . This book was released on 2010 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Multivariate GARCH in Mean Estimation of the Capital Asset Pricing Model written by S. G. Hall and published by . This book was released on 1988 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A New Model of Capital Asset Prices written by James W. Kolari and published by Springer Nature. This book was released on 2021-03-01 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
Download or read book The Econometric Problems Associated with Size sorted Portfolios in Empirical Tests of the Capital Asset Pricing Model written by Pierre Henri Hillion and published by . This book was released on 1988 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Capital Asset Pricing Model written by Ali Jahankhani and published by . This book was released on 1978 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our research indicated that there is a linear relationship between risk and return and higher risk is associated with higher average return. These results are consistent with the implications of both Sharpe-Lintner version and Black version of the CAPM. Furthermore, our results did not reject the hypotheses that E(Y0)=Rf and E(Y1)=Rm-Rf. therefore, the empirical results of this study supported all the implications of the Sharpe-Lintner CAPM.
Download or read book Econometric Evaluation of Asset Pricing Models written by Lars Peter Hansen and published by Andesite Press. This book was released on 2015-08-08 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Download or read book Econometric Evaluation of Asset Pricing Models written by Lars Peter Hansen and published by Franklin Classics. This book was released on 2018-10-15 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Download or read book Efficient Estimation of Linear Asset Pricing Models with Moving Average Errors written by Kenneth J. Singleton and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores in depth the nature of the conditional moment restrictions implied by log-linear intertemporal capital asset pricing models (ICAPMs) and shows that the generalized instrumental variables (GMM) estimators of these models (as typically implemented in practice) are inefficient. The moment conditions in the presence of temporally aggregated consumption are derived for two log-linear ICAPMs. The first is a continuous time model in which agents maximize expected utility. In the context of this model, we show that there are important asymmetries between the implied moment conditions for infinitely and finitely-lived securities. The second model assumes that agents maximize non-expected utility, and leads to a very similar econometric relation for the return on the wealth portfolio. Then we describe the efficiency bound (greatest lower bound for the asymptotic variances) of the CNN estimators of the preference parameters in these models. In addition, we calculate the efficient CNN estimators that attain this bound. Finally, we assess the gains in precision from using this optimal CNN estimator relative to the commonly used inefficient CMN estimators.
Download or read book A Multivariate GARCH in Mean Estimation of the Capital Asset Pricing Model written by M. P. Taylor and published by . This book was released on 1988 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Kalman Filter in Finance written by C. Wells and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book Efficient Estimation of Linear Asset Pricing Models with Moving Average Errors written by Lars Peter Hansen and published by . This book was released on 2010 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores in depth the nature of the conditional moment restrictions implied by log-linear intertemporal capital asset pricing models (ICAPMs) and shows that the generalized instrumental variables (GMM) estimators of these models (as typically implemented in practice) are inefficient. The moment conditions in the presence of temporally aggregated consumption are derived for two log-linear ICAPMs. The first is a continuous time model in which agents maximize expected utility. In the context of this model, we show that there are important asymmetries between the implied moment conditions for infinitely and finitely-lived securities. The second model assumes that agents maximize non-expected utility, and leads to a very similar econometric relation for the return on the wealth portfolio. Then we describe the efficiency bound (greatest lower bound for the asymptotic variances) of the CNN estimators of the preference parameters in these models. In addition, we calculate the efficient CNN estimators that attain this bound. Finally, we assess the gains in precision from using this optimal CNN estimator relative to the commonly used inefficient CMN estimators.
Download or read book Estimating the Consumption capital Asset Pricing Model Without Consumption Data written by Anne- Sofie Reng Rasmussen and published by . This book was released on 2003 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bayesian Estimation of Capital Asset Pricing Models with Many Assets written by Michael Smith and published by . This book was released on 1999 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Statistical Inference for Stock Return Predictions and Capital Asset Pricing Models written by Sungju Chun and published by . This book was released on 2012 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: In this dissertation, I focus on econometric issues arising in the fields of Financial Economics. In the first chapter, I study return predictability in international equity markets focusing on the effects of the bias and spurious regression problems for statistical inference. The slope coefficient estimator in predictive regressions for stock returns is biased in the presence of a lagged stochastic regressor. Spurious regression may also occur if the underlying expected return is highly persistent. I consider the effect of these biases in the presence of data mining for the predictive variables. I find that the two biases can reinforce or offset each other, depending on the parameters of the model. I present a new bias expression valid with an unobserved true expected returns and re-evaluate return predictability in international equity markets adjusting for data mining associated with both effects. The second chapter studies tests for structural changes in the trend function of a univariate time series that are robust to whether the noise component is stationary (I (0)) or contains an autoregressive unit root (I (1)). The tests of interest are the robust procedures recently proposed by Perron and Yabu (2009) and Harvey, Leybourne and Taylor (2009), both of which attain the same limit distribution under I (0) and I (1) errors. We compare their finite sample size and power under different data-generating processes for the noise components. We apply the tests to a large historical panel of real exchange rates with respect to the U.S. dollar for 19 countries and document simultaneous shifts in level and trend for many series. The third chapter studies the sampling interval effect in estimating capital asset pricing models. In past empirical studies, the beta coefficient estimates are documented to be sensitive to the sampling interval used for returns. We provide a theoretical framework to explain this sampling interval effect. We show that it can be attributable to the existence of transitory components in stock prices, and provide empirical evidence supporting its presence.
