Download or read book Testing Identification in Asset Pricing Models written by Tlek Zeinullayev and published by . This book was released on 2013 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Less is More written by Marie-Claude Beaulieu and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We revisit financial market integration and study the impact of multiple risk factors and model specification on inference. Our tests exploit a method correct in finite sample that jointly assesses coefficient significance and detects identification problems. Results on four countries show that multiple sources of risk in international asset pricing models lead to lack of identification and spurious inference. We find that domestic factor models are well identified which is not the case for global and international models. Nonetheless, domestic models do not provide a base for testing financial market integration. Given that constraint, the best-identified international model includes few factors and reveals that financial integration varies over time and across countries.
Download or read book Empirical Asset Pricing Models written by Jau-Lian Jeng and published by Springer. This book was released on 2018-03-19 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors. Particular emphasis is placed on the verification of essential factors and features for asset returns through model search approaches, in which non-diversifiability and statistical inferences are considered. The discussion reemphasizes the necessity of maintaining a dichotomy between the nondiversifiable pricing kernels and the individual components of stock returns when empirical asset pricing models are of interest. In particular, the model search approach (with this dichotomy emphasized) for empirical model selection of asset pricing is applied to discover the pricing kernels of asset returns.
Download or read book Assessing Asset Pricing Models Using Revealed Preference written by Jonathan B. Berk and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new method of testing asset pricing models that does not rely on prices and returns but on quantities (flows) instead. Under the assumption that capital markets are competitive and investors rational, an asset pricing model can only be correct if investors are using it in their capital allocation decisions. Therefore, any investment opportunity that the model identifies as having a non-zero alpha must be accompanied by capital flows of the same sign as the alpha. We use the data on active mutual funds to identify such flows, and find that the recent alternatives to the Capital Asset Pricing Model do not improve upon the original model.
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 Testing International Asset Pricing Models with Mutual Fund Data written by Rudi Wilhelm Schadt and published by . This book was released on 1996 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Tests of Asset Pricing Models Based on Analysts Forecasts written by Ruoling Shen and published by . This book was released on 2014 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Testing of Asset Pricing Models written by Bruce Neal Lehmann and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This essay reviews the extensive literature on empirical testing of asset pricing models. It briefly describes the kinds of asset pricing models typically tested in the literature and explicates their econometric implications, both in terms of the estimation of relevant parameters and tests of their implied restrictions. Pertinent aspects of the available data on security prices and macroeconomic variables are discussed as well. The essay concludes with the examination of selected aspects of the current empirical state of asset pricing theory
Download or read book Solving Estimating and Testing Nonlinear Asset Pricing Models written by Alexander Craig Burnside and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 1991 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Asymmetric information Asset Pricing Models written by Bryan Kelly and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing Models written by George Foster and published by . This book was released on 1977 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical and Theoretical Analysis of Capital Asset Pricing Model written by Mohammad Sharifzadeh and published by Universal-Publishers. This book was released on 2010-11-18 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem addressed in this dissertation research was the inability of the single-factor capital asset pricing model (CAPM) to identify relevant risk factors that investors consider in forming their return expectations for investing in individual stocks. Identifying the appropriate risk factors is important for investment decision making and is pertinent to the formation of stocks' prices in the stock market. Therefore, the purpose of this study was to examine theoretical and empirical validity of the CAPM and to develop and test a multifactor model to address and resolve the empirical shortcomings of the single-factor CAPM. To verify the empirical validity of the standard CAPM and of the multifactor model, five hypotheses were developed and tested against historical monthly data for U.S. public companies. Testing the CAPM hypothesis revealed that the explanatory power of the overall stock market rate of return in explaining individual stock's expected rates of return is very weak, suggesting the existence of other risk factors. Testing of the other hypotheses verified that the implied volatility of the overall market as a systematic risk factor and the companies' size and financial leverage as nonsystematic risk factors are important in determining stock's expected returns and investors should consider these factors in their investment decisions. The findings of this research have important implications for social change. The outcome of this study can change the way individual and institutional investors as well as corporations make investment decisions and thus change the equilibrium prices in the stock market. These changes in turn could lead to significant changes in the resource allocation in the economy, in the economy's production capacity and production composition, and in the employment structure of the society.
Download or read book Testing Approximate Linear Asset Pricing Models written by Steven L. Heston and published by . This book was released on 1992 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Sample Properties of Tests of Utility based Asset Pricing Models written by David Carl Smith and published by . This book was released on 1993 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Asset Pricing Models with Hedge Fund Data and Hedge Fund Performance written by Panagiotis Ballis-Papanastasiou and published by . This book was released on 2016 with total page 589 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are now established investment instruments in the asset management world. The author identifies three main questions: i) What kind of asset pricing models are adequate to measure the performance of hedge funds, what kind of properties do they possess ii) if we are able to identify suitable asset pricing models to measure the performance of hedge funds, what kind of performance we are actually detecting? Do hedge funds exhibit higher abnormal returns as it is usually stated iii) if we are able to detect a superior risk adjusted performance, is this performance persistent? Or stated differently, is the past risk adjusted over performance helpful for future performance?In an extensive theoretical and empirical analysis the authors shows that the consistent measure of the performance of hedge funds fails already in the first step, since no asset pricing model is statistically significant and hence, according to the strict conditions of capital market theory, they are unsuitable for measuring performance.Although these performance models, strictly according to the capital market theory, are not suitable for measuring performance, one can still ask the question as to whether hedge funds exhibit a superior performance against some common benchmark or performance attribution models. This excess returns is then, strictly speaking, not an alpha in terms of capital market theory, rather a relative outperformance compared to this benchmark or performance attribution model. The author shows that a small excess return, measured against such factor models is prevalent. However, the persistence of the excess returns is weak and most probably not economically exploitable. The results are robust against alternative factor models, both linear and regime-switching model and against parametric and non-parametric methods.
Download or read book Testing Asset Pricing Models with Unconditional and Conditional Alphas and Betas written by Niels Veldhuis and published by . This book was released on 2000 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
