Download or read book International Tests of a Five factor Asset Pricing Model written by Eugene F. Fama and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Download or read book Price Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Download or read book Quantitative Momentum written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2016-10-03 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.
Download or read book A Five Factor Asset Pricing Model written by Eugene F. Fama and published by . This book was released on 2014 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF 1993). The five-factor model's main problem is its failure to capture the low average returns on small stocks whose returns behave like those of firms that invest a lot despite low profitability. The model's performance is not sensitive to the way its factors are defined. With the addition of profitability and investment factors, the value factor of the FF three-factor model becomes redundant for describing average returns in the sample we examine.
Download or read book The Five Factor Asset Pricing Model Tests and Profitability and Investment Premiums written by fahad Ali and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using an extensive sample of the Pakistani stock market over the 2003-2016 period, this paper is the first to evaluate and compare the performance of four most popular factor pricing models: the Fama and French three-factor model, Carhart's four-factor model, the five-factor model proposed by Fama and French, and the six-factor model that adds momentum to the five-factor model. We also test different nested models and find that the five-factor model best explains the returns of anomaly portfolios and outperforms the other models. We note that the profitability factor significantly improves the description of average returns, whereas factor spanning tests show that the value and momentum factors are redundant for the Pakistani stock market. Our results are robust to alternative factor definitions, formation of test assets, and across sub-periods.
Download or read book The Oxford Handbook of Panel Data written by Badi Hani Baltagi and published by . This book was released on 2015 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Download or read book Which Factors International Evidence written by Yujia Xue and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates five major asset-pricing models recently proposed in the literature. Those models are Fama and French's (2015) five-factor model and its six-factor extension adding a momentum factor (Carhart, 1994), the q-factor model of Hou, Xue, and Zhang (2015) and its five-factor extension (q5) pro-posed by Hou, Mo, Xue, and Zhang (2015), and the four-factor model of Stam-baugh and Yuan (2017). We apply these models to real-world stock market data from 88 developed and emerging markets and compare their performance. Our primary tool to evaluate their performance is the factor spanning test of Huberman and Kandel (1987) performed by Fama and French (2015) and Hou, Mo, Xue, and Zhang (2018), among others. The comparison aims to find a supe-rior model that should be applied when analyzing stock returns. We find that not all the factors inherent in these five asset-pricing models are significant in the international markets. Among the models, the most disap-pointing is that of Stambaugh and Yuan (2017) because none of its two new factors (MGMT and PERF) or even their aggregate (UMO) delivers a reliably positive average premium in the countries or groups of countries considered. For the other models, the factors based on value and performance did very well for almost all countries. For the value factor (HML), we cannot confirm Fama and French's (2015) assertion that it is redundant in their five-factor model. Further, the value effect remains unexplained by the q and q5 models. The performance of the size factor is affected by the way it is measured. Fama and French's size factor is significant for only two countries (China and South Korea). Stambaugh-Yuan's size factor does better than Fama and French's, as it is significant for Canada, India, Turkey, and across the emerging, non-US, and all markets. However, we reject their claim that eliminating stocks most likely to be mispriced allows delivering a higher size premium. The reason is that Hou, Xue, and Zhang's (2015) size factor is positive and significant in all countries (excepted France) and for all the groups of countries considered. Overall, the Stambaugh-Yuan four-factor model failed to yield its promise in international markets over the last three decades. None of the Fama-French five-factor and six-factor models or the Hou-Xue-Zhang q-factor model and the Hou-Mo-Xue-Zhang q5 model spans the other models. Hence, we conclude that these new models are about the same as none of them stand out as the best.
Download or read book Proceedings of the 2nd International Conference on Business and Policy Studies written by Canh Thien Dang and published by Springer Nature. This book was released on 2023-10-07 with total page 1874 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume contains papers accepted by the 2nd International Conference on Business and Policy Studies (CONF-BPS 2023), which are carefully selected and reviewed by professional reviewers from corresponding research fields and the editorial team of the conference. This volume presents the latest research achievements, inspirations, and applications in applied economy, finance, enterprise management, public administration, and policy studies. CONF-BPS 2023 was a hybrid conference that includes several workshops (offline and online) around the world in Cardiff (Jan, 2023), London(Feb, 2023) and Sydney (Feb, 2023). Prof. Canh Thien Dang from King's College London, Prof. Arman Eshraghi from Cardiff Business School, and Prof. Kristle Romero Cortés from UNSW Business School have chaired those offline workshop.
Download or read book Proceedings of the 2022 International Conference on Business and Policy Studies written by Xiaolong Li and published by Springer Nature. This book was released on 2022-09-26 with total page 978 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume contains papers accepted by the 2022 International Conference on Business and Policy Studies (CONF-BPS 2022), which are carefully selected and reviewed by professional reviewers from corresponding research fields and the editorial team of the conference. This volume presents latest research achievements, inspirations, and applications in applied economy, finance, enterprise management, public administration, and policy studies. CONF-BPS hopes this volume could be inspiring and of academic value.Business and policy studies both are heated research topics and are related to multiple fields. Held by Eliwise Academy, CONF-BPS aims at bringing together intellectuals from related fields including applied economy, finance, and public administration for academic exchange. Its goal is to serve as an international platform for researchers to present latest research progress, share ideas and inspirations, and exchange experience. Through more academic communication and exchange, this conference hops to promote international corporation and joint initiatives in relevant fields. This volume will be of interest to researchers, academics, professionals, and policy makers in the field of business, economics, management, and policy studies.
Download or read book Asset Pricing Factor Models in the German Stock Market written by Julian Fischer and published by GRIN Verlag. This book was released on 2021-06-14 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2021 in the subject Business economics - Investment and Finance, grade: 1,7, University of Hannover (Institut für Finanzwirtschaft und Rohstoffmärkte), language: English, abstract: In this paper, we examine how various modern multifactor models, such as the Carhart factor model, five-factor model and its complement six-factor model by Fama and French, the q-factor model by Hou, Wue and Zhang, and the mispricing factor model by Stambaugh and Yuan perform in the German stock market. It is discernible that, depending on the application model, like factor spanning tests, different sortings, return anomalies, sector- and equity fund investigation, they often provide quite similar explanatory power, while in individual cases sometimes one and sometimes the other model performs better. The underlying factors contribute differently to the explanatory power depending on the time period. Thus, in case of doubt, the six-factor model is preferable, as it is the most versatile model. Since the establishment of the capital asset pricing model as a cornerstone of modern capital market theory in the 1960s, new investigations and studies have been built on this model on an ongoing basis. This continuously leads to extensions and modifications of the asset pricing models since then. These models can be used in various ways, for example to explain the pricing of risky financial assets under restrictive assumptions or to gain important insights into the relationship between expected return and risk of securities. These can be used in various ways, for example to explain the pricing of risky financial assets under restrictive assumptions or to gain important insights into the relationship between expected return and risk of securities. In this paper, we aim to answer the overarching research question of how modern asset pricing models perform for the German stock market. For this purpose, we first discuss the characteristics of the German stock market, followed by the milestones of the development of factor models, their empirical evidence and their factors, as well as internationally known return anomalies. In the subsequent part, five modern asset pricing models are tested in different scenarios of the German stock market, including factor spanning tests, different sortings, anomalies, sectors and in equity funds. For this purpose, various analytical methods are used and performed with the software “Stata”. Finally, the comprehensive results are summarized and concluded.
Download or read book Proceedings of the 2022 2nd International Conference on Business Administration and Data Science BADS 2022 written by Víctor Fernández-Viagas and published by Springer Nature. This book was released on 2023-01-13 with total page 1511 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. The 2nd International Conference on Business Administration and Data Science (BADS 2022) is hosted by Kashi University and organized by the College of Economics and Management of Kashi University. The 2nd International Conference on Business Administration and Data Science (BADS 2022) is one of the series of activities for the 60th anniversary of the founding of Kashgar University In the current situation of rapid economic development, the competition in the market is increasingly fierce. The drawbacks of traditional enterprise management and the backward management concept have seriously hindered the normal development of enterprises. In order to improve their competitive advantages and market share, enterprises must optimize their management methods and build a modern business administration system. In this situation, enterprises can only promote their development process by improving their business management mode and formulating scientific business management policies.
Download or read book Proceedings of the 3rd International Conference on Internet Finance and Digital Economy ICIFDE 2023 written by Yusheng Jiao and published by Springer Nature. This book was released on 2023-11-26 with total page 535 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book.With the advent of economic globalization and the information technology revolution, especially the dawn of the era of network economy marked by the Internet, human society is embarking on a transition from an industrial society to an information society, and from industrial civilization to information civilization. In recent years, domestic Internet business has become more and more prosperous. In order to adapt to the development of the new media era, many traditional industries have extended their business to the Internet field. Among them, the most prominent is the financial business. Thanks to the operation of Internet business, the efficiency of financial services has been rapidly improved. However, the rapid development of the Internet has also brought certain practical problems that must be faced. This conference has therefore been convened in the hope of engaging in an in-depth exchange with scholars in the following aspects: Acquaint yourself with the development status of Internet finance and the digital economy in various countries and deepen the elaboration of the concept of financial Internet; Summarize the characteristics of Internet finance in the world and propose solutions to the problems faced by Internet finance; Understand academic development trends, broaden research ideas, strengthen academic research and discussion, and promote the industrialization cooperation of academic achievements; Promote the institutionalization and standardization of management science through modern research. The previous conference of ICIFDE took place in Guangzhou, China (Online). ICIFDE 2023 will come back this year on August 04–06 and it will provide a valuable and face-to-face opportunity for researchers, scholars and some scientists to exchange their ideas. Distinguished by its strong organizational team, dependable reputation and prestigious sponsors across the globe, ICIFDE 2023 is an annual conference on Internet Finance and the Digital Economy for all researchers, both domestic and international. ICIFDE started in 2021, and all papers accepted in the last session of ICIFDE have been successfully published. The 3rd International Conference on Internet Finance and Digital Economy (ICIFDE 2023) will be held in Chengdu, China on August 04–06, 2023. We warmly invite you to participate in ICIFDE 2023 and look forward to seeing you in Chengdu, China.
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 Proceedings of the 8th International Conference on Financial Innovation and Economic Development ICFIED 2023 written by Yushi Jiang and published by Springer Nature. This book was released on 2023-05-13 with total page 838 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book.Financial globalization plays a huge role in promoting the development of the world economy and the optimal allocation of world resources, stimulates the accelerated development of the international division of labor, and increases the international flow of production factors such as industrial transfer, capital transfer, and technology transfer. It enables developing countries to make up for the lack of their own capital and technology, and obtain industrial evolution, technological progress, and institutional innovation, thereby accelerating the speed of economic development; it also enables developed countries to open up cheap labor, raw material markets and broad consumer markets, prolonging product value. More profits, ease the economy, the contradiction of stagflation, and restore economic growth. The 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023) aims to accommodate this need, as well as to: 1. provide a platform for experts and scholars, engineers and technicians in the field of financial Innovation and economic development to share scientific research achievements and cutting-edge technologies 2. Understand academic development trends, broaden research ideas, strengthen academic research and discussion, and promote the industrialization cooperation of academic achievements 3. Promote the institutionalization and standardization of Financial Innovation and Economic Development through modern research 4. Increasing the number of scientific publications for financial Innovation and economic development
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
