Download or read book Conditional Skewness in Multifactor Asset Pricing Models written by Mercedes Morris and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Conditional Skewness in Multifactor Asset Pricing Models an Application to the Spanish Stock Market written by Mercedes Morris Muñoz and published by . This book was released on 2002 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing and Equity Rights Issues written by Gonzalo Arturo Rubio and published by . This book was released on 1985 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Conditional Skewness in Asset Pricing Tests written by Campbell R. Harvey and published by . This book was released on 2017 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model which incorporates conditional skewness. Our results show that conditional skewness helps explain the cross-sectional variation of expected returns across assets and is significant even when factors based on size and book-to-market are included. Systematic skewness is economically important and commands a risk premium, on average, of 3.60 percent a year. Our results also suggest that the momentum effect is related to systematic skewness. The low expected return momentum portfolios have higher skewness than high expected return portfolios.
Download or read book Tests of Conditional Asset Pricing Models on Finnish Stock Return Data Using Latent Variables written by Mats Hansson and published by . This book was released on 1996 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Comparison of Multi factor Asset Pricing Models Using US Stock Market Data written by Pia Grammig and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time Varying Conditional Skewness and the Market Risk Premium written by Akhtar R. Siddique and published by . This book was released on 2005 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Single factor asset pricing models face two major hurdles: the problematic time-series properties of the ex ante market risk premium and the inability of the risk measure to account for a substantial degree of the cross-sectional variation of expected excess returns. We provide an explanation for the first failure using the following intuition: if investors know that the asset returns have conditional skewness given the information known today, the expected excess returns should include rewards for accepting skewness. We formalize this intuition with an asset pricing model which incorporates conditional skewness. We decompose the expected excess returns into components due to conditional variance and skewness. Our results show that conditional skewness is important and, when combined with the economy-wide reward for skewness, helps explain the time-variation of the ex ante market risk premiums. Conditional skewness has greater success in explaining the ex ante risk premium for the world portfolio than for the U.S. portfolio.
Download or read book Evaluating Conditional Asset Pricing Models for the German Stock Market written by Andreas Schrimpf and published by . This book was released on 2006 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multifactor Asset Pricing Model written by Kok Foo Theang and published by . This book was released on 2019 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous studies have shown that stock returns can be predicted over time with the multifactor asset pricing model based on the Arbitrage Pricing Theory (APT). However, the application of the multifactor asset pricing model in emerging markets remains debatable, owing to differences in the economic, cultural, and political structure. Using both the time-series regression approach and machine learning approach, this study finds that Fama-French profitability risk factor is important for describing aggregate stock market returns in Malaysia. Additionally, these market returns are positively correlated with the crude palm oil price and the Singapore stock market index. This study shall thus shed new light on the application of the multifactor asset pricing model in Malaysia.
Download or read book Test of Conditional Asset Pricing Models in the Brazilian Stock Market written by and published by . This book was released on 1997 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Asset Pricing Models written by Antonis Demos and published by . This book was released on 2016 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article applies a conditionally heteroskedastic asset pricing model to describe the time variation in the first and second moments of asset returns in an interdependent way in the emerging capital market of Greece. Depending on the observability of the factors and under the chosen parameterization it is possible to derive tests to address economically important questions that the models impose on the risk-return relationship. We apply the derived tests on the nine sectorial portfolios and the value weighted index of the Athens Stock Exchange, over the period 1985-1997. The evidence from the unconditional and conditional CAPM, with the Value Weighted Index as a benchmark portfolio, suggests the inefficiency of the Index. On the other hand, the dynamic latent factor model, considered here, describes sectorial returns in a much better way. However, there is still a shadow of doubt on the hypothesis that the price of risk is common across assets.
Download or read book Conditional Asset Pricing Models in the Conventional and Downside Frameworks written by and published by . This book was released on 2009 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous studies have often found inconclusive evidence when explaining the beta risk-return relationship in the unconditional framework. This thesis analyses the unconditional and the conditional risk-return relationship on the Indonesian Stock Exchange (formerly Jakarta Stock Exchange) over the period 1996-2006. Both the conventional pricing framework and the downside pricing framework are employed to see which of the two may describe the behaviour of the Indonesian stock market better. As predicted, we found that the unconditional model fails to explain the risk-return cross-sectional relationship. In the conditional model based on market condition (up/down), this thesis finds a consistent and highly significant relationship between the CAPM beta and cross-sectional portfolios returns. In periods where excess market returns are negative, an inverse relationship between beta and portfolios returns exists. In periods where excess market returns are positive we find support for a positive risk-return relationship. Further, this thesis investigates whether the risk-return relation varies depending on the level of market volatility. Two market regimes based on the level of conditional volatility of market returns are specified - "low" and "high". The low and high volatility regimes are delineated with 3rd quartile, 90th percentile and median as the threshold parameters. In the low volatility regime the beta risk premium and downside beta risk premium are significantly different from zero. However, their signs are opposite to what is expected. In the models under the conventional framework skewness appears to be priced only in the up market and in the high volatility regime. However, when the market movement (up/down) and market volatility are incorporated as conditioning variables we found that the beta risk premium produces a significantly strong relationship with returns which is significantly positive in the up market and negative in the down market.
Download or read book Multifactor Models Do Not Explain Deviations from the CAPM written by Archie Craig MacKinlay and published by . This book was released on 1994 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of studies have presented evidence rejecting the validity of the Capital Asset Pricing Model (CAPM). This evidence has spawned research into possible explanations. These explanations can be divided into two main categories - the risk based alternatives and the nonrisk based alternatives. The risk based category includes multifactor asset pricing models developed under the assumptions of investor rationality and perfect capital markets. The nonrisk based category includes biases introduced in the empirical methodology, the existence of market frictions, or explanations arising from the presence of irrational investors. The distinction between the two categories is important for asset pricing applications such as estimation of the cost of capital. This paper proposes to distinguish between the two categories using ex ante analysis. A framework is developed showing that ex ante one should expect that CAPM deviations due to missing risk factors will be very difficult to statistically detect. In contrast, deviations resulting from nonrisk based sources will be easy to detect. Examination of empirical results leads to the conclusion that the risk based alternatives is not the whole story for the CAPM deviations. The implication of this conclusion is that the adoption of empirically developed multifactor asset pricing models may be premature.
Download or read book Asset Pricing and Risk Aversion in the Spanish Stock Market written by Aurora Alonso and published by . This book was released on 1987 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Conditional Asset Pricing in International Equity Markets written by Thanh Huynh and published by . This book was released on 2017 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests conditional asset pricing models in international markets on value, momentum, and the COMBO anomaly of Asness, Moskowitz, and Pedersen (2013) (AMP). We find that incorporating instruments to capture the time variation in risk exposure can significantly reduce the bias in unconditional alpha documented in recent international studies. Particularly, employing the instrumental variables regression approach of Boguth, Carlson, Fisher, and Simutin (2011) to estimate the conditional Fama-French model can successfully explain returns on COMBO portfolios in North America, Europe, Japan, and the global market. Furthermore, instrumenting the global Fama-French model with lagged component betas can reduce the unconditional AMP's 50-50 COMBO alpha by 11%-72%, pointing to the efficacy of this instrumental variable in international markets. Our findings have important implications for international asset pricing theory.
Download or read book Multifactor Consumption Based Asset Pricing Models Using the US Stock Market as a Reference written by John Hunter and published by . This book was released on 2014 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we extend the time series analysis to the panel frame-work to test the C-CAPM driven by wealth references for developed countries. Speciጿically, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel model with two-way error components. The empirical fiijndings of this two-factor model with various speciጿications all indicate that there is signiጿicant unobserved heterogeneity captured by cross-country ጿixed effects when consumption growth is treated as a common factor, of which the average risk aversion coefficient is 4.285. However, the cross-sectional impact of home consumption growth varies dramatically over the countries, where unobserved heterogeneity of risk aversion can also be addressed by random effects.
Download or read book Multifactor Consumption Based Asset Pricing Models Using the US Stock Market as a Reference written by John Hunter and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
