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Author : Ruoling Shen
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (14 download)
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:
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
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.
Author : Mohammad Sharifzadeh
Publisher : Universal-Publishers
ISBN 13 : 1599423758
Total Pages : 180 pages
Book Rating : 4.5/5 (994 download)
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.
Author : Narasimhan Jegadeesh
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (13 download)
Download or read book Empirical Tests of Asset Pricing Models with Individual Stocks written by Narasimhan Jegadeesh and published by . This book was released on 2015 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an instrumental variables methodology to obtain consistent estimates of risk premiums using individual stocks as test assets. Simulation evidence indicates that this methodology yields unbiased estimates of risk premiums and that the associated tests are well specified in small samples. We test a number of recently proposed asset pricing models using this approach. We find that the CAPM market risk, SMB and HML factors risks, investment and ROE factors risks under the production-based asset pricing model and the LCAPM illiquidity-adjusted market risk are not priced.
Author : Philip R. Davies
Publisher :
ISBN 13 : 9780549076537
Total Pages : 119 pages
Book Rating : 4.0/5 (765 download)
Download or read book Empirical Tests of Asset Pricing Models written by Philip R. Davies and published by . This book was released on 2007 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first essay I develop a Bayesian approach to test the cross-sectional predictions of the CAPM at the firm level. Using a broad cross-section of NYSE, AMEX, and NASDAQ listed stocks over the period July 1927--June 2005, I find evidence of a robust positive relation between beta and average returns. Fama and French (1993) propose two additional risk factors related to firm size and book-to-market equity. I find no evidence that these additional risk factors help to explain the cross-sectional variation in average returns. These results are consistent with the empirical predictions of the CAPM.
Author : Narasimhan Jegadeesh
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.:/5 (13 download)
Download or read book Empirical Tests of Asset Pricing Models with Individual Assets written by Narasimhan Jegadeesh and published by . This book was released on 2018 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: To attenuate an inherent errors-in-variables bias, portfolios are widely employed to test asset pricing models; but portfolios might mask relevant risk- or return-related features of individual assets. We propose an instrumental variables approach that allows the use of individual stocks as test assets, yet delivers consistent estimates of ex-post risk premiums. This estimator also yields well-specified tests in small samples. The market risk premium under the CAPM and the liquidity-adjusted CAPM, premiums on risk factors under the Fama-French three- and five-factors models and the Hou, Xue, and Zhang (2015) four-factor model are all insignificant after controlling for asset characteristics.
Author : Stefan Nagel
Publisher : Princeton University Press
ISBN 13 : 0691218706
Total Pages : 156 pages
Book Rating : 4.6/5 (912 download)
Download or read book Machine Learning in Asset Pricing written by Stefan Nagel and published by Princeton University Press. This book was released on 2021-05-11 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.
Author : Youfei Xiao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (951 download)
Download or read book Empirical Models of Analyst Forecasts written by Youfei Xiao and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of two studies on analyst forecasts. The first study provides empirical evidence about the objective function underlying analysts' choice of forecasts. Assumptions about sell-side analysts' objective function are critical to empirical researchers' understanding of their incentives and resulting behavior. In contrast to approaches used in previous papers which rely exclusively on statistical properties of forecasts, I compare theoretical models with alternate objective functions based on their ability to explain observed forecasts. A linear loss objective function which incorporates the effect future analysts' actions on analysts' deviation from peer forecasts is best rationalized by the data. I find that assumptions about the objective function have a substantial impact on the conclusions from empirical tests about analysts' incentives and behavior. The second study provides empirical estimates of uncertainty and disagreement about future earnings that underly analyst forecast dispersion. A parsimonious model which assumes that analysts' payoffs are jointly determined by forecast error and deviation from consensus reproduces many of the descriptive facts observed about forecast dispersion in the data. The strategic behavior that arises from the model distorts both the levels of forecast dispersion and the sensitivity of the measure with respect to cross-sectional variation in uncertainty. The estimated parameters perform better at predicting forecast dispersion out-of-sample than approaches based solely on regressions that use firm characteristics. Counterfactual simulations indicate that analysts' strategic incentives, together with the sequential forecast setting, plays a first-order role in determining forecast dispersion relative to the firm's information environment. The model-implied estimates of earnings uncertainty exhibit a substantially less negative association with future returns relative to the association generated by forecast dispersion. This finding partially reconciles the findings from previous studies with theories about the asset pricing implications of uncertainty and disagreement.
Author : Tim Perschbacher
Publisher : GRIN Verlag
ISBN 13 : 3346903400
Total Pages : 146 pages
Book Rating : 4.3/5 (469 download)
Download or read book Empirical Analysis of Multifactor Asset Pricing Models. A Comparison of US and Japanese REITs written by Tim Perschbacher and published by GRIN Verlag. This book was released on 2023-07-10 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2021 in the subject Business economics - Investment and Finance, grade: 1,0, , language: English, abstract: This study is concerned with an empirical analysis of asset pricing. More specifically, this paper examines whether multifactor asset pricing models are able to explain variation in REIT returns in the US and Japan. In addition to traditional multifactor models, an Alternative Four-Factor Model (AFF) was developed considering net profit margin as an additional risk factor. Thence, this paper seeks to provide valuable information for investors and fund managers regarding their indirect real estate investment selection. Using a sample period between July 1994 (US) / July 2011 (Japan) to December 2020, rigorous multiple-time-series regression is applied to calculate factor loadings for each risk factor and the corresponding alpha values of each model to evaluate their effectiveness in explaining variation and cross-section of REIT returns. Most studies on asset pricing models focus on size and value sorted portfolios as dependent variables. This paper broadens the approach with four other double sorted test portfolios to check the robustness of each single factor to explain return anomalies. Results show that market premium and size premium represent risk factors for US-REITs, whereas market premium and value premium are suitable risk factors for Japanese-REITs. The momentum factor does not capture risk and is insignificant in both markets. The study shows low correlations between traditional and REIT specific as well as between US and Japanese risk factors. This suggests that firstly risk factors are country specific and secondly that they are asset specific. Moreover, the Fama-French Three-Factor Model (FF3) clearly outperforms the CAPM, while the Carhart Four-Factor Model (CH4) marginally improves the explanatory power over the FF3. This is observed in both markets. Outcomes demonstrate that the Alternative Four-Factor Model (AAF) does not improve prediction power for returns of Japanese-REITs compared to the FF3 and CH4. On the contrary, results are ambiguous concerning US-REITs. While the additional risk factor, net profit margin, generates a negative return, the model is superior to the FF3 and CH4 in terms of explaining variation and cross-section of returns.
Author : Michael C. Jensen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Capital Asset Pricing Model written by Michael C. Jensen and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ali Jahankhani
Publisher :
ISBN 13 :
Total Pages : 320 pages
Book Rating : 4.:/5 (418 download)
Download or read book Empirical Tests of the Capital Asset Pricing Model written by Ali Jahankhani and published by . This book was released on 1977 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew Wen-Chuan Lo
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 680 pages
Book Rating : 4.3/5 ( download)
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.
Author : Peter Allan Muoio
Publisher :
ISBN 13 :
Total Pages : 258 pages
Book Rating : 4.:/5 (19 download)
Download or read book Empirical Tests of the Utility-based Asset Pricing Model Using Temporally Aggregated Twentieth Century Data written by Peter Allan Muoio and published by . This book was released on 1988 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fischer Black
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)
Download or read book The Capital Asset Pricing Model written by Fischer Black and published by . This book was released on 1972 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jau-Lian Jeng
Publisher : Springer
ISBN 13 : 3319741926
Total Pages : 277 pages
Book Rating : 4.3/5 (197 download)
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.
Author : Irina Pimenova
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (129 download)
Download or read book Essays in Empirical Asset Pricing written by Irina Pimenova and published by . This book was released on 2018 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I revisit two problems in empirical asset pricing. In Chapter 1, I propose a methodology to evaluate the validity of linear asset pricing factor models under short sale restrictions using a regression-based test. The test is based on the revised null hypothesis that intercepts obtained from regressing excess returns of test assets on factor returns, usually referred to as alphas, are non-positive. I show that under short sale restrictions a much larger set of models is supported by the data than without restrictions. In particular, the Fama-French five-factor model augmented with the momentum factor is rejected less often than other models. In Chapter 2, I investigate patterns of equity premium predictability in international capital markets and explore the robustness of common predictive variables. In particular, I focus on predictive regressions with multiple predictors: dividend-price ratio, four interest rate variables, and inflation. To obtain precise estimates, two estimation methods are employed. First, I consider all capital markets jointly as a system of regressions. Second, I take into account uncertainty about which potential predictors forecast excess returns by employing spike-and-slab prior. My results suggest evidence in favor of predictability is weak both in- and out-of-sample and limited to a few countries. The strong predictability observed on the U.S. market is rather exceptional. In addition, my analysis shows that considering model uncertainty is essential as it leads to a statistically significant increase of investors' welfare both in- and out-of-sample. On the other hand, the welfare increase associated with considering capital markets jointly is relatively modest. However, it leads to reconsider the relative importance of predictive variables because the variables that are statistically significant predictors in the country-specific regressions are insignificant when the capital markets are studied jointly. In particular, my results suggest that the in-sample evidence in favor of the interest rate variables, that are believed to be among the most robust predictors by the literature, is spurious and is mostly driven by ignoring the cross-country information. Conversely, the dividend-price ratio emerges as the only robust predictor of future stock returns.
Author : Shashi Kumar
Publisher :
ISBN 13 :
Total Pages : 116 pages
Book Rating : 4.:/5 (32 download)
Download or read book The capital asset pricing model written by Shashi Kumar and published by . This book was released on 1992 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
