Download or read book Validity of the Asset Pricing Models in Applications to the U S and Korean Markets written by Woong Bae Kim and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Being a simple and intuitive model, the capital asset pricing model (CAPM) has been widely applied to countless cases that require asset pricing for decades. However, there have been doubts about the model recently regarding its loss of explanatory power. Therefore, I will be checking on the validity of CAPM in two different markets, the U.S. and Korean markets, and different periods using the Fama-Macbeth method. Fama-French (1993, 2015) Factor models are also ground-breaking models that incorporate empirical evidence for size and value premium into asset pricing model. I will also be exploring not only the validity of both the Three Factor and the Five Factor models but also the types of flaws they have in different markets.
Download or read book Three Essays on Testing Asset Pricing Models in the Korean Stock Market written by Hee-Kyung K. Bark and published by . This book was released on 1991 with total page 156 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 Evaluating Asset Pricing Models in the Korean Stock Market written by Soon-Ho Kim and published by . This book was released on 2014 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates and compares asset pricing models in the Korean stock market. The asset pricing models considered are the CAPM, APT-motivated models, the Consumption-based CAPM, Intertemporal CAPM-motivated models, and the Jagannathan and Wang conditional CAPM model. By using various test portfolios as well as individual stocks, we conduct time-series tests and cross-sectional regression tests based on individual t-tests, the joint F-tests, the Hansen and Jagannathan (1997) distance, and R-squares. Overall, the Fama and French (1993) five-factor model performs most satisfactorily among the asset pricing models considered in explaining the intertemporal and cross-sectional behavior of stock returns in Korea. The Fama and French (1993) three-factor model, the Chen, Novy-Marx, and Zhang (2010) three-factor model, and the Campbell (1996) model are the next. The results indicate that the two bond portfolios, term spread and default spread, play an important role in explaining stock returns in Korea.
Download or read book General Equilibrium Asset Pricing Model written by Cheol Soo Park and published by . This book was released on 1993 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Why an Asset Pricing Model Fails to Explain the Cross Section of Stock Returns in the Korean Market written by Joon Chae and published by . This book was released on 2017 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the reason that none of asset pricing models show substantial performance in the Korean market. Based upon previous literature, the main reasons for the failure are categorized into three: transaction costs, investors' irrationality, and missing risk factors. We analyze the difference between the expected return from an asset pricing model and the realized return with respect to three possible reasons for the failure of asset pricing models. By regressing the difference between the expected return and the realized return on proxies of transaction costs, investors' irrationality, and missing risk factors, we find that transaction costs and investors' irrationality are tenaciously disrupting the performance of asset pricing models. We also show that the inferior performance of an asset pricing model from transaction costs and investors' irrationality cannot be improved by just adding more factors in an asset pricing model.
Download or read book Empirical Validity of Asset Pricing Models written by Jae H. Kim and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the empirical validity of popular asset-pricing models in explicit consideration of statistical power, by employing the adaptive significance level and equal-probability test. Past studies often use samples from a large cross-section of portfolios over a long time period, conducting the test under an extreme power. This results in frequent rejection of the empirical validity of an asset-pricing model, even when the null hypothesis of portfolio efficiency is violated by an economically negligible margin. In contrast with the past studies, we find strong evidence that the popular asset-pricing models have been adequately capturing the systematic variation of portfolio returns.
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 General Equilibrium Asset Pricing Model written by Cheol Soo Park and published by . This book was released on 1991 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Capital Asset Pricing Model written by Daniel Lazar and published by . This book was released on 2011-11 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Overview of Asset Pricing Models written by Mohamed Ismail Mohamed Riyath and published by . This book was released on 2015-12-09 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, course: Higher National Diploma in Accountancy (HNDA), language: English, comment: The author of this text is a non-native speaker of English. Please excuse any linguistic mistakes., abstract: The term financial market describes any marketplace where lenders, i.e. those who have excess fund, and borrowers, i.e. those who need funds, meet together for an exchange of instruments such as equities, bonds, currencies and derivatives. The lenders in the financial market are called investors who buy financial instruments. The investors invest their fund to maximize their wealth. In reality investors are unable to achieve their objectives at all due to poor performance of respective stock and the market conditions when they are investing in equities. The reason could be the assets may underpriced or overpriced when making investment decisions. If the investors are priced correctly for the asset by considering all relevant factors which are affecting the value, they can enjoy normal profit by appropriately pricing the asset in an efficient market. It has always been the challenge of explaining the decision process of the investors in the stock market. In this context, the behavior of investor has a close relationship with the investment decisions and the way of enriching. The rate of return and its determinations are the major issues in Finance. The rate of return is one of fundamental criteria for allocation of resources and analysis of risk and return. Their importance can be observed in the field of corporate and personal finance when define the viability of an investment and making investment decisions. Stock returns is always be considered as the principal point when investors going to put their money in financial market. More profit have been involved in higher risk, and vice versa. Investors should take into account their decision to invest t
Download or read book Transparency Governance and Markets written by Michele Bagella and published by Emerald Group Publishing. This book was released on 2006-06-30 with total page 433 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers such topics as: relationship between development of financial markets and economic growth; credit risk; measure of risk in equity and bond markets; and investigating behavior and efficiency of banking intermediaries. This work serves as a useful reference for those interested in financial market dynamics.
Download or read book On the Validity of Linear Asset Pricing Models in Different Stages of the Economy written by Christopher Kowall and published by . This book was released on 2010 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Application of the Capital Asset Pricing Model to the Japanese Stock Market written by Yoshinari Nikaido and published by . This book was released on 1985 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Back to the Future Betas written by Jordan French and published by . This book was released on 2017 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery of Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) models, of differing lag and parameter terms, to forecast the variance of the market used in the denominator of the beta formula. The covariance of the portfolio and market returns are assumed to remain constant in the time-varying beta calculations. The data spans from 3 January 2005 to 29 December 2014. One ten-year, two five-year, and three three-year sample periods were used, for robustness, with ten different portfolios. Out of sample forecasts, mean absolute error (MAE) and mean squared forecast error (MSE) were used to compare the forecasting ability of the ex-ante GARCH models, Artificial Neural Network, and the standard market ex-post model. Find that the time-varying MGARCH and SGARCH beta performed better with out-of-sample testing than the other ex-ante models. Although the simplest approach, constant ex-post beta, performed as well or better within this empirical study.
Download or read book A Two State Capital Asset Pricing Model written by University of Minnesota. Institute for Mathematics and Its Applications and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Linear Asset Pricing Models written by Imane Munzer Dabbous and published by . This book was released on 2007 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: All asset pricing models are necessarily error-ridden. While most of them have f ound supporting evidence, all have inevitably been proven inadequate at some emp irical front. It is from this perspective that all asset pricing models must be considered. The present project attempts an exhaustive comparison of a number of linear asse t pricing models. These will be compared based on their ability to price the ass ets available in the US financial market. In particular, the Hansen-Jagannathan (1997) distance measure test will be the criterion by which models will be compa red and contrasted. It will be used repeatedly to draw conclusions as far as the performance of these models across variations involving the frequency of the da ta, and the conditional information. These sensitivity tests will allow for a ra ther comprehensive evaluation of some of the most popular models, also known as the variants of CAPM. The project is organized as follows. Chapter 1 introduces the topic. The next ch apter provides a discussion of the theoretical aspects of the paper including th e stochastic discount factor concept and the derivation of HJ-distance. Chapter 3 describes the asset pricing models to be evaluated and the parameterization of the different models. Chapter 4 discusses the data and documents the empirical results. The last chapter provides the interpretation of the results as well as concluding remarks.
