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Author : Markku Malkamäki
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)
Download or read book Conditional Betas and the Price of Risk in a Thin Asset Market written by Markku Malkamäki and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Markku Malkamäki
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.3/5 ( download)
Download or read book Estimating Conditional Betas and the Price of Risk for a Thin Stock Market written by Markku Malkamäki and published by . This book was released on 1992 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin Lettau
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (828 download)
Download or read book Conditional Risk Premia in Currency Markets and Other Asset Classes written by Martin Lettau and published by . This book was released on 2013 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns. Correctly accounting for this variation is crucial for the empirical performance of the model. The DR-CAPM can jointly explain the cross section of equity, commodity, sovereign bond and currency returns, thus offering a unified risk view of these asset classes. In contrast, popular models that have been developed for a specific asset class fail to jointly price other asset classes.
Author : Markku Malkamäki
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.3/5 ( download)
Download or read book Conditional Risk and Predictability of Finnish Stock Returns written by Markku Malkamäki and published by . This book was released on 1992 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Costis Skiadas
Publisher : Princeton University Press
ISBN 13 : 1400830141
Total Pages : 363 pages
Book Rating : 4.4/5 (8 download)
Download or read book Asset Pricing Theory written by Costis Skiadas and published by Princeton University Press. This book was released on 2009-02-09 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Author : Thomas Andreas Maurer
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (13 download)
Download or read book Pricing Shocks to Conditional Market Beta written by Thomas Andreas Maurer and published by . This book was released on 2016 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate monthly conditional market beta of 10 momentum and 25 size and book-to-market portfolios between 1946 and 2016 using a multivariate GARCH model. In the ICAPM conditional market beta are important determinants of expected returns and covariances of assets. Thus, shocks to conditional market beta imply shocks to the investment opportunity set. We define shocks to conditional market beta as state variables, and document that they carry economically large and statistically significant risk premia. Moreover, we show that shocks to conditional market beta are related to but clearly distinct from the Fama-French-Carhart size, book-to-market and momentum factors.
Author : Markku Malkamäki
Publisher :
ISBN 13 : 9789516863538
Total Pages : 180 pages
Book Rating : 4.8/5 (635 download)
Download or read book Essays on Conditional Pricing of Finnish Stocks written by Markku Malkamäki and published by . This book was released on 1993 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tano Santos
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (249 download)
Download or read book Conditional Betas written by Tano Santos and published by . This book was released on 2004 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical evidence shows that conditional market betas vary substantially over time. Yet, little is known about the source of this variation, either theoretically or empirically. Within a general equilibrium model with multiple assets and a time varying aggregate equity premium, we show that conditional betas depend on (a) the level of the aggregate premium itself; (b) the level of the firm's expected dividend growth; and (c) the firm's fundamental risk, that is, the one pertaining to the covariation of the firm's cash-flows with the aggregate economy. Especially when fundamental risk (c) is strong, the model predicts that market betas should display a large time variation, that their cross-sectional dispersion should be negatively related to the aggregate premium, and that investments in physical capital should be positively related to changes in betas. These predictions find considerable support in the data
Author : Tano Santos
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (129 download)
Download or read book Conditional Betas written by Tano Santos and published by . This book was released on 2011 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical evidence shows that conditional market betas vary substantially over time. Yet, little is known about the source of this variation, either theoretically or empirically. Within a general equilibrium model with multiple assets and a time varying aggregate equity premium, we show that conditional betas depend on (a) the level of the aggregate premium itself; (b) the level of the firm's expected dividend growth; and (c) the firm's fundamental risk, that is, the one pertaining to the covariation of the firm's cash-flows with the aggregate economy. Especially when fundamental risk (c) is strong, the model predicts that market betas should display a large time variation, that their cross-sectional dispersion should be pro-cyclical, and that investments in physical capital should be positively related to changes in betas. These predictions find considerable support in the data.
Author : Sebastian Schneider
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)
Download or read book Conditional Asset Pricing - Predicting Time Varying Beta-Factors with Group Method of Data Handling Methods written by Sebastian Schneider and published by . This book was released on 2005 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Allowing for time-varying risk premia yields sophisticated asset pricing models, but the search for adequate model specifications is more challenging. We introduce, to our knowledge, previously in conditional asset pricing not used Group Method of Data Handling (GMDH) that rests on sorting out requiring statsitical models for complex problems of unknown structure but does not require a model to predict conditional variation in betas. We find that lagged instruments used to proxy for expected returns in conditional asset pricing provide a challenge not only for the unconditional CAPM but also the Fama-French-model. Thereby non-linear GMDH-algorithms challenge traditional models of conditional asset pricing as we find a highly non-linear influence of lagged instruments on both conditional alphas and betas. Therefore, predetermining a structure for functional relationships between conditional alphas as well as betas and lagged instruments may lead to a significant misspecification of asset pricing models.
Author : Olli-Pekka Lehmussaari
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 ( download)
Download or read book The Currency Band and Credibility written by Olli-Pekka Lehmussaari and published by . This book was released on 1992 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr. Lorenzo Giorgianni
Publisher : International Monetary Fund
ISBN 13 : 1451890494
Total Pages : 22 pages
Book Rating : 4.4/5 (518 download)
Download or read book Long written by Mr. Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1997-01-01 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. By considering the implied vector error-correction model, we show that little is to be gained from estimating such regressions for horizons greater than one time period. We also show that in small to medium samples the long-horizon procedure gives rise to spurious evidence of predictive power. A simulation study demonstrates that even when using this technique on two independent series, estimates, diagnostic statistics and graphical evidence incorrectly suggest a high degree of predictability of the dependent variable.
Author : Daniele Bianchi
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Dynamic Test of Conditional Asset Pricing Models written by Daniele Bianchi and published by . This book was released on 2019 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: I use Bayesian tools to develop a dynamic testing methodology for conditional factor pricing models, in which time-varying betas, idiosyncratic risks, and factors risk premia are jointly estimated in a single step. Based on this framework, I test over fifty years of post-war monthly data some of the most common factor pricing models on size, book-to-market, and momentum deciles portfolios, both in the time series and in the cross section. The empirical results show that, a conditional specification of the recent five-factor model of Fama and French (2015) outperforms a set of theory-based competing linear pricing models along several dimensions.
Author : Fabian Hollstein
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Conditional Capital Asset Pricing Model Revisited written by Fabian Hollstein and published by . This book was released on 2019 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based on daily data, the model works reasonably well for a recent sample period. However, it fails to explain the size anomaly as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able to explain the size, value, and momentum anomalies. We further show that high-frequency betas provide more accurate predictions of future betas than those based on daily data. This result holds for both the time-series and the cross-sectional dimensions.
Author : Rob Bauer
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (129 download)
Download or read book Conditional Asset Pricing and Stock Market Anomalies in Europe written by Rob Bauer and published by . This book was released on 2008 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study provides European evidence on the ability of static and dynamic specifications of the Fama-French (1993) three-factor model to price 25 size-B/M portfolios. In contrast to US evidence, we detect a small-growth premium and find that the size effect is still present in Europe. Furthermore, we document strong time variation in factor risk loadings. Incorporating these risk fluctuations in conditional specifications of the three-factor model clearly improves its ability to explain time variation in expected returns. However, the model still fails to completely capture cross-sectional variation in returns as it is unable to explain the momentum effect.
Author : Thanh Huynh
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (13 download)
Download or read book Conditional Asset Pricing in International Equity Markets written by Thanh Huynh and published by . This book was released on 2017 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests conditional asset pricing models in international markets on value, momentum, and the COMBO anomaly of Asness, Moskowitz, and Pedersen (2013) (AMP). We find that incorporating instruments to capture the time variation in risk exposure can significantly reduce the bias in unconditional alpha documented in recent international studies. Particularly, employing the instrumental variables regression approach of Boguth, Carlson, Fisher, and Simutin (2011) to estimate the conditional Fama-French model can successfully explain returns on COMBO portfolios in North America, Europe, Japan, and the global market. Furthermore, instrumenting the global Fama-French model with lagged component betas can reduce the unconditional AMP's 50-50 COMBO alpha by 11%-72%, pointing to the efficacy of this instrumental variable in international markets. Our findings have important implications for international asset pricing theory.
Author : Antti Suvanto
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.3/5 ( download)
Download or read book Pricing Decisions and the Position Constraint in Foreign Exchange Dealing written by Antti Suvanto and published by . This book was released on 1992 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
