Comparing Asset Pricing Models

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Comparing Asset Pricing Models

Author : Francisco Barillas
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Comparing Asset Pricing Models by : Francisco Barillas

Download or read book Comparing Asset Pricing Models written by Francisco Barillas and published by . This book was released on 2015 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Bayesian asset-pricing test is derived that is easily computed in closed-form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure that permits an analysis of model comparison, i.e., the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the recent models of Hou, Xue and Zhang (2015a,b) and Fama and French (2015a,b) are both dominated by five and six-factor models that include a momentum factor, along with value and profitability factors that are updated monthly.

Comparing Asset Pricing Models

Author : Lubos̆ Pástor
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (424 download)

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Book Synopsis Comparing Asset Pricing Models by : Lubos̆ Pástor

Download or read book Comparing Asset Pricing Models written by Lubos̆ Pástor and published by . This book was released on 1999 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal portfolios can differ across models to economically significant degrees. The differences are substantially reduced by modest uncertainty about the models' pricing abilities. When the ratio of position size to capital is subject to realistic constraints, the differences in portfolios across models become even less important, nonexistent in some cases

Essays on Asset Pricing

Author : Lingxiao Zhao
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.:/5 (119 download)

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Book Synopsis Essays on Asset Pricing by : Lingxiao Zhao

Download or read book Essays on Asset Pricing written by Lingxiao Zhao and published by . This book was released on 2020 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: In my dissertation, I focus on theoretical and empirical asset pricing from a Bayesian model comparison perspective. In the first Chapter, revisiting the framework of Barillas and Shanken (2018), BS henceforth, we show that the Bayesian marginal likelihood-based model comparison method in that paper is unsound: the priors on the nuisance parameters across models must satisfy a change of variable property for densities that is violated by the Jeffreys priors used in the BS method. Extensive simulation exercises confirm that the BS method performs unsatisfactorily. We derive a new class of improper priors on the nuisance parameters, starting from a single improper prior, which leads to valid marginal likelihoods and model comparisons. The performance of our marginal likelihoods is significantly better, allowing for reliable Bayesian work on which factors are risk factors in asset pricing models. In the second Chapter, starting from the twelve distinct risk factors in four well-established asset pricing models, a pool we refer to as the winners, we construct and compare 4,095 asset pricing models and find that the model with the risk factors, Mkt, SMB, MOM, ROE, MGMT, and PEAD, performs the best in terms of Bayesian posterior probability, out-of-sample predictability, and Sharpe ratio. A more extensive model comparison of 8,388,607 models, constructed from the twelve winners plus eleven principal components of anomalies unexplained by the winners, shows the benefit of incorporating information in genuine anomalies in explaining the cross-section of expected equity returns.

Liquidity and Asset Pricing

Author : Duong Nguyen
Publisher :
ISBN 13 :
Total Pages : 108 pages
Book Rating : 4.:/5 (838 download)

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Book Synopsis Liquidity and Asset Pricing by : Duong Nguyen

Download or read book Liquidity and Asset Pricing written by Duong Nguyen and published by . This book was released on 2006 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Comparative Empirical Investigation of Asset Pricing Models

Author : Suat Teker
Publisher :
ISBN 13 :
Total Pages : 486 pages
Book Rating : 4.:/5 (356 download)

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Book Synopsis A Comparative Empirical Investigation of Asset Pricing Models by : Suat Teker

Download or read book A Comparative Empirical Investigation of Asset Pricing Models written by Suat Teker and published by . This book was released on 1994 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt:

COMPARING ASSET PRICING MODELS USING QUANTILE REGRESSIONS FOR DISTANCE-BASED METRICS.

Author : Ziwen Wang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (124 download)

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Book Synopsis COMPARING ASSET PRICING MODELS USING QUANTILE REGRESSIONS FOR DISTANCE-BASED METRICS. by : Ziwen Wang

Download or read book COMPARING ASSET PRICING MODELS USING QUANTILE REGRESSIONS FOR DISTANCE-BASED METRICS. written by Ziwen Wang and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis compares the performance of ten well-known asset-pricing models for cross-sectional returns of various portfolios from January 1967 to December 2016. We rely on the distance-based metrics as the primary performance measure and use quantile regressions to compare models at a wide range of quantiles of the asset return distribution. The model performance is examined from both statistical and economic perspectives. We find that the Fama and French (2018) six-factor model reliably outperforms other competing models in pricing the selected portfolios. In particular, both the momentum factor and the value factor are necessary in asset-pricing models to explain the return variations in different quantiles. We also find that the performance of Barilla and Shanken (2018) six-factor model exhibits strong explanatory power in medium to high quantiles, despite some existing findings that their model performs poorly in OLS regressions. Overall, we show that the distance-based metrics coupled with quantile regressions provide a consistent and robust model-comparison methodology that largely enhances the existing OLS-based statistical measures.

Comparison of the CAPM, the Fama-French Three Factor Model and Modifications

Author : Christoph Lohrmann
Publisher : GRIN Verlag
ISBN 13 : 3668032238
Total Pages : 42 pages
Book Rating : 4.6/5 (68 download)

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Book Synopsis Comparison of the CAPM, the Fama-French Three Factor Model and Modifications by : Christoph Lohrmann

Download or read book Comparison of the CAPM, the Fama-French Three Factor Model and Modifications written by Christoph Lohrmann and published by GRIN Verlag. This book was released on 2015-08-18 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2014 in the subject Economics - Finance, grade: 6,0 (Schweizer Notensystem), University of Liechtenstein, früher Hochschule Liechtenstein, language: English, abstract: This paper is focused on comparing the Capital Asset Pricing Model, the Fama-French Three Factor model and two modified versions of the Fama-French Model in their ability to explain excess returns. The first modified model contains the same explanatory variables as the Fama-French Model but with an additional AR(1) process. The second modification contains instead of an additional AR(1) an AR(2) process. Evaluated by the adjusted R2 and the Akaike information criterion, the Fama-French model yields a higher model-fit than the CAPM. The modified Fama-French Model with an AR(2) process leads to significant results for the twice lagged return in the model in four out of six tested portfolios. Therefore, the in-sample regression reveals a higher model-fit of the modified Fama-French model with AR(2) in comparison to the other three models. Since the results differ from a regression in the subsequent period, the results are most likely spurious. Nevertheless, the authors show the high-er model-fit of the Fama-French Three Factor Model in relation to the CAPM.

A Likelihood-Based Comparison of Macro Asset Pricing Models

Author : Andrew Y. Chen Chen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (979 download)

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Book Synopsis A Likelihood-Based Comparison of Macro Asset Pricing Models by : Andrew Y. Chen Chen

Download or read book A Likelihood-Based Comparison of Macro Asset Pricing Models written by Andrew Y. Chen Chen and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Static Asset-pricing Models

Author : Andrew Wen-Chuan Lo
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 680 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Static Asset-pricing Models by : Andrew Wen-Chuan Lo

Download or read book Static Asset-pricing Models written by Andrew Wen-Chuan Lo and published by Edward Elgar Publishing. This book was released on 2007 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and more.

Empirical Asset Pricing

Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262351307
Total Pages : 497 pages
Book Rating : 4.2/5 (623 download)

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Book Synopsis Empirical Asset Pricing by : Wayne Ferson

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-26 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.

Comparing Consumption-Based Asset Pricing Models

Author : Yum K. Kwan
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Comparing Consumption-Based Asset Pricing Models by : Yum K. Kwan

Download or read book Comparing Consumption-Based Asset Pricing Models written by Yum K. Kwan and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eight consumption-based asset pricing models are developed, estimated and compared their capacities in accounting for the asset markets in Hong Kong. Results based on conventional metrics or recently developed econometric techniques deliver similar results: introducing housing into the consumption-based models does not always improve the models' performance; how it is introduced matters. Recursive utility model and its housing-augmented variant, which emphasize the importance of early resolution of uncertainty and long term risk, outperform alternative models in forecasting stock returns. Collateral constraint model outperforms in predicting housing return, suggesting the importance of imperfect capital market in the housing market.

Asset Pricing

Author : Bing Cheng
Publisher : World Scientific
ISBN 13 : 9812704558
Total Pages : 91 pages
Book Rating : 4.8/5 (127 download)

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Book Synopsis Asset Pricing by : Bing Cheng

Download or read book Asset Pricing written by Bing Cheng and published by World Scientific. This book was released on 2008 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.

Multiple Comparison Procedures for the Capital Asset Pricing Models

Author : 沈銘玉
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.:/5 (714 download)

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Book Synopsis Multiple Comparison Procedures for the Capital Asset Pricing Models by : 沈銘玉

Download or read book Multiple Comparison Procedures for the Capital Asset Pricing Models written by 沈銘玉 and published by . This book was released on 2008 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance

Author : Patrick Gagliardini
Publisher :
ISBN 13 :
Total Pages : 77 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance by : Patrick Gagliardini

Download or read book Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance written by Patrick Gagliardini and published by . This book was released on 2015 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare non-nested parametric specifications of the Stochastic Discount Factor (SDF) in terms of their conditional Hansen-Jagannathan (HJ-) distance. This distance is defined as the discrepancy between a parametric SDF family identifying an asset pricing model and the set of admissible SDF's satisfying the conditional no-arbitrage restrictions for a set of traded assets. The conditional HJ-distance accounts for the models' ability to match the dynamic pricing restrictions for any set of managed portfolios, and not just a set of static restrictions for a specific choice of instruments like the often employed (unconditional) HJ-distance. We estimate the conditional HJ-distance by a kernel-based Generalized Method of Moments estimator and establish its large sample properties for model selection purposes. We demonstrate empirically the usefulness of our approach by comparing several SDF models including preference-based specifications, beta-pricing models and recently proposed SDF models that are conditionally linear in the priced risk factors.

Empirical Asset Pricing Models

Author : Jau-Lian Jeng
Publisher : Springer
ISBN 13 : 3319741926
Total Pages : 277 pages
Book Rating : 4.3/5 (197 download)

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Book Synopsis Empirical Asset Pricing Models by : Jau-Lian Jeng

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.

The Risk-Adjusted Return Theory Ii

Author : Rocky Roland
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Risk-Adjusted Return Theory Ii by : Rocky Roland

Download or read book The Risk-Adjusted Return Theory Ii written by Rocky Roland and published by . This book was released on 2004 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we exploit new features of the Risk-adjusted Return Theory (RART) by contrasting it with the Capital Asset Pricing Model (CAPM). We define some concepts similar to ones in the CAPM. Also, we model an asset pricing by a multiple regression and call this model a regression asset-pricing model (RAPM). We study the relation between the RART and the RAPM, concluding that the RART implies the RAPM and the RAPM implies Ross's Asset Pricing Theory (APT) if the betas in the APT are estimated with a regression. We construct and explain Fama and French's three-factor model by the RART, giving the model sound economic logic. Finally, we identify the limitation most factor models have.

Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing

Author : Jamil Baz
Publisher : McGraw Hill Professional
ISBN 13 : 126427016X
Total Pages : 426 pages
Book Rating : 4.2/5 (642 download)

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Book Synopsis Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing by : Jamil Baz

Download or read book Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing written by Jamil Baz and published by McGraw Hill Professional. This book was released on 2022-09-06 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This uniquely comprehensive guide provides expert insights into everything from financial mathematics to the practical realities of asset allocation and pricing Investors like you typically have a choice to make when seeking guidance for portfolio selection―either a book of practical, hands-on approaches to your craft or an academic tome of theories and mathematical formulas. From three top experts, Portfolio Selection and Asset Pricing strikes the right balance with an extensive discussion of mathematical foundations of portfolio choice and asset pricing models, and the practice of asset allocation. This thorough guide is conveniently organized into four sections: Mathematical Foundations―normed vector spaces, optimization in discrete and continuous time, utility theory, and uncertainty Portfolio Models―single-period and continuous-time portfolio choice, analogies, asset allocation for a sovereign as an example, and liability-driven allocation Asset Pricing―capital asset pricing models, factor models, option pricing, and expected returns Robust Asset Allocation―robust estimation of optimization inputs, such as the Black-Litterman Model and shrinkage, and robust optimizers Whether you are a sophisticated investor or advanced graduate student, this high-level title combines rigorous mathematical theory with an emphasis on practical implementation techniques.