An Intertemporal Capital Asset Pricing Model

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Multifactor Models Regarding Intertemporal Capital Asset Pricing Model (ICAPM) Assumptions on European and US Market Data. Advancing the Capital Asset Pricing Model (CAPM)

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Author : Arno Popanda
Publisher :
ISBN 13 : 9783346035219
Total Pages : 32 pages
Book Rating : 4.0/5 (352 download)

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Book Synopsis Multifactor Models Regarding Intertemporal Capital Asset Pricing Model (ICAPM) Assumptions on European and US Market Data. Advancing the Capital Asset Pricing Model (CAPM) by : Arno Popanda

Download or read book Multifactor Models Regarding Intertemporal Capital Asset Pricing Model (ICAPM) Assumptions on European and US Market Data. Advancing the Capital Asset Pricing Model (CAPM) written by Arno Popanda and published by . This book was released on 2019-09-10 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2018 in the subject Economics - Finance, grade: 1.7, University of Duisburg-Essen (Faculty of Business and Economics), language: English, abstract: The Capital Asset Pricing Model (CAPM), which is developed by Harry Markowitz, lacks on empirical validation and is not economically fully plausible. By only considering a single period within the CAPM, Merton tried to improve the model by implementing different intertemporal assumptions. This paper focuses on the analysis, if the lack of the CAPM can be improved by using the assumptions of the ICAPM and if the eight investigated models are in the sense of Merton's assumptions. The first chapter reviews a short explanation of the classical CAPM and his critics, followed by Merton's intertemporal CAPM and his assumptions in the next chapter. Additionally, there were models developed, trying to be economically plausible by considering the ICAPM main assumptions, which are presented in the second chapter. A different way to develop an empirical better fitting CAPM is by using empirical motivated state variables. Fama & French started to take this approach by developing the three-factor-model (FF3). A lot of researchers were influenced by the FF3 and made their own version of a multifactor model by implementing variables. Even Fama & French enhanced their three-factor-model by adding further variables. In the third section there is the forecasting power of the four ICAPM models and the four empirical motivated multifactor models on the US market data and on the European market data compared. Then follows an examination if these models can be determined in the sense of the ICAPM restrictions. The last chapter concludes the results.

Risk and Valuation Under an Intertemporal Capital Asset Pricing Model

Author : Michael J. Brennan
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (566 download)

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Book Synopsis Risk and Valuation Under an Intertemporal Capital Asset Pricing Model by : Michael J. Brennan

Download or read book Risk and Valuation Under an Intertemporal Capital Asset Pricing Model written by Michael J. Brennan and published by . This book was released on 2003 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

An Intertemporal Capital Asset Pricing Model

Author : Robert C. Merton
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (145 download)

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Book Synopsis An Intertemporal Capital Asset Pricing Model by : Robert C. Merton

Download or read book An Intertemporal Capital Asset Pricing Model written by Robert C. Merton and published by . This book was released on 1972 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Trading volume : implications of an intertemporal capital asset pricing model

Author : Andrew Wen-Chuan Lo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (671 download)

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Book Synopsis Trading volume : implications of an intertemporal capital asset pricing model by : Andrew Wen-Chuan Lo

Download or read book Trading volume : implications of an intertemporal capital asset pricing model written by Andrew Wen-Chuan Lo and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

An Intertemporal Capital Asset Pricing Model With Owner Occupied Housing

Author : Yongqiang Chu
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis An Intertemporal Capital Asset Pricing Model With Owner Occupied Housing by : Yongqiang Chu

Download or read book An Intertemporal Capital Asset Pricing Model With Owner Occupied Housing written by Yongqiang Chu and published by . This book was released on 2008 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the portfolio choice and asset pricing in the presence of owner-occupied housing in a continuous time framework. Owner-occupied housing serves as an important consumption good as well as a dominant asset for most households. The theory part of this paper shows that the market portfolio is not mean-variance efficient; and traditional CAPM fails in a model with owner-occupied housing; however, a conditional linear factor pricing model can still be derived, in which the market portfolio return and housing return are two pricing factors. Moreover, the nondurable consumption to housing ratio, ch, is shown to affect expected returns in the same way as cay (the consumption-to-wealth ratio in Lettau and Ludvigson 2001a, 2001b) The empirical evidence shows that ch can predict asset returns at various horizon ranging from one quarter to two years. ch is also shown to enter linearly the stochastic discount factor of the economy. The cross-sectional Fama-MacBeth regressions show that the conditional models conditioning on ch perform much better than their unconditional counterparts, and the conditional two factor model derived in this paper performs almost as good as Fama-French three-factor model.

Jump Risks and the Intertemporal Capital Asset Pricing Model

Author : Robert A. Jarrow
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (922 download)

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Book Synopsis Jump Risks and the Intertemporal Capital Asset Pricing Model by : Robert A. Jarrow

Download or read book Jump Risks and the Intertemporal Capital Asset Pricing Model written by Robert A. Jarrow and published by . This book was released on 1983 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Intertemporal Capital Asset Pricing Model with Returns that Follow Poisson Jump-diffusion Processes

Author : Eric Bentzen
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (185 download)

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Book Synopsis The Intertemporal Capital Asset Pricing Model with Returns that Follow Poisson Jump-diffusion Processes by : Eric Bentzen

Download or read book The Intertemporal Capital Asset Pricing Model with Returns that Follow Poisson Jump-diffusion Processes written by Eric Bentzen and published by . This book was released on 2000 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Performance of an Intertemporal Capital Asset Pricing Model on a Thin Security Market

Author : Staffan Hansén
Publisher :
ISBN 13 : 9789516499720
Total Pages : 26 pages
Book Rating : 4.4/5 (997 download)

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Book Synopsis The Performance of an Intertemporal Capital Asset Pricing Model on a Thin Security Market by : Staffan Hansén

Download or read book The Performance of an Intertemporal Capital Asset Pricing Model on a Thin Security Market written by Staffan Hansén and published by . This book was released on 1991 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency

Author : Turan G. Bali
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency by : Turan G. Bali

Download or read book Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency written by Turan G. Bali and published by . This book was released on 2012 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Econophysics and Capital Asset Pricing

Author : James Ming Chen
Publisher : Springer
ISBN 13 : 3319634658
Total Pages : 293 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Econophysics and Capital Asset Pricing by : James Ming Chen

Download or read book Econophysics and Capital Asset Pricing written by James Ming Chen and published by Springer. This book was released on 2017-10-04 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics.

A New Model of Capital Asset Prices

Author : James W. Kolari
Publisher : Springer Nature
ISBN 13 : 3030651975
Total Pages : 326 pages
Book Rating : 4.0/5 (36 download)

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Book Synopsis A New Model of Capital Asset Prices by : James W. Kolari

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.

Working Paper

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 download)

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Book Synopsis Working Paper by :

Download or read book Working Paper written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Trading Volume

Author : Andrew W. Lo
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Trading Volume by : Andrew W. Lo

Download or read book Trading Volume written by Andrew W. Lo and published by . This book was released on 2009 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that investors trade only in two portfolios: the market portfolio, and a hedging portfolio, which allows them to hedge the dynamic risk. This implies that trading volume of individual assets exhibit a two-factor structure, and their factor loadings depend on their weights in the hedging portfolio. This allows us to empirically identify the hedging portfolio using volume data. We then test the two properties of the hedging portfolio: its return provides the best predictor of future market returns and its return together with the return of the market portfolio are the two risk factors determining the cross-section of asset returns.

Theory of Valuation

Author : Sudipto Bhattacharya
Publisher : World Scientific
ISBN 13 : 9812701028
Total Pages : 387 pages
Book Rating : 4.8/5 (127 download)

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Book Synopsis Theory of Valuation by : Sudipto Bhattacharya

Download or read book Theory of Valuation written by Sudipto Bhattacharya and published by World Scientific. This book was released on 2005 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first edition of Theory of Valuation is a collection of important papers in the field of theoretical financial economics published from 1973 to 1986, and original accompanying essays contributed by eminent researchers including Robert C Merton, Edward C Prescott, Stephen A Ross, and Joseph E Stiglitz. Since then, with the perspective of major theoretical strides in the field, the book has more than fulfilled its original expectations. The realization that it remains today a compendium of classic articles and a must-read for any serious student in theoretical financial economics, has prompted the publication of a new edition. This second edition presents a summary statement of significant research in theoretical financial economics for both the specialist and non-specialist financial economist. It also provides material for PhD-level courses covering valuation theory, and elective reading for advanced MasterOCOs and undergraduate courses. In addition to reproducing the original contributions, this edition includes the seminal paper by Edward C Prescott and Rajnish Mehra, OC Recursive Competitive Equilibrium: The Case of Homogeneous Households, OCO originally published in Econometrica in 1980."

An Empirical Investigation of the Intertemporal Capital Asset Pricing Model Under Expected Inflation

Author : Ching-Hsing Fan Loo
Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.:/5 (122 download)

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Book Synopsis An Empirical Investigation of the Intertemporal Capital Asset Pricing Model Under Expected Inflation by : Ching-Hsing Fan Loo

Download or read book An Empirical Investigation of the Intertemporal Capital Asset Pricing Model Under Expected Inflation written by Ching-Hsing Fan Loo and published by . This book was released on 1984 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Capital Asset Pricing Model in the 21st Century

Author : Haim Levy
Publisher : Cambridge University Press
ISBN 13 : 1139503022
Total Pages : 457 pages
Book Rating : 4.1/5 (395 download)

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Book Synopsis The Capital Asset Pricing Model in the 21st Century by : Haim Levy

Download or read book The Capital Asset Pricing Model in the 21st Century written by Haim Levy and published by Cambridge University Press. This book was released on 2011-10-30 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.