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Profitability And Investment Factors For Uk Asset Pricing Models
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Book Synopsis Profitability and Investment Factors for UK Asset Pricing Models by : Eoghan Nichol
Download or read book Profitability and Investment Factors for UK Asset Pricing Models written by Eoghan Nichol and published by . This book was released on 2014 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical investigations of the Fama-French three-factor asset pricing model have produced decidedly mixed results, particularly outside of the US market. Two recently proposed alternative multifactor models share a common core of the addition of profitability and investment as factors, but differ in terms of implementation (Fama and French, 2014; Chen, Novy-Marx, and Zhang, 2011). Testing of these models is currently confined to the US market. In this letter we adapt and test these models for the UK and argue that the Fama-French five-factor profitability factor offers the most potential.
Book Synopsis Asset Pricing Factor Models in the German Stock Market by : Julian Fischer
Download or read book Asset Pricing Factor Models in the German Stock Market written by Julian Fischer and published by GRIN Verlag. This book was released on 2021-06-14 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2021 in the subject Business economics - Investment and Finance, grade: 1,7, University of Hannover (Institut für Finanzwirtschaft und Rohstoffmärkte), language: English, abstract: In this paper, we examine how various modern multifactor models, such as the Carhart factor model, five-factor model and its complement six-factor model by Fama and French, the q-factor model by Hou, Wue and Zhang, and the mispricing factor model by Stambaugh and Yuan perform in the German stock market. It is discernible that, depending on the application model, like factor spanning tests, different sortings, return anomalies, sector- and equity fund investigation, they often provide quite similar explanatory power, while in individual cases sometimes one and sometimes the other model performs better. The underlying factors contribute differently to the explanatory power depending on the time period. Thus, in case of doubt, the six-factor model is preferable, as it is the most versatile model. Since the establishment of the capital asset pricing model as a cornerstone of modern capital market theory in the 1960s, new investigations and studies have been built on this model on an ongoing basis. This continuously leads to extensions and modifications of the asset pricing models since then. These models can be used in various ways, for example to explain the pricing of risky financial assets under restrictive assumptions or to gain important insights into the relationship between expected return and risk of securities. These can be used in various ways, for example to explain the pricing of risky financial assets under restrictive assumptions or to gain important insights into the relationship between expected return and risk of securities. In this paper, we aim to answer the overarching research question of how modern asset pricing models perform for the German stock market. For this purpose, we first discuss the characteristics of the German stock market, followed by the milestones of the development of factor models, their empirical evidence and their factors, as well as internationally known return anomalies. In the subsequent part, five modern asset pricing models are tested in different scenarios of the German stock market, including factor spanning tests, different sortings, anomalies, sectors and in equity funds. For this purpose, various analytical methods are used and performed with the software “Stata”. Finally, the comprehensive results are summarized and concluded.
Book Synopsis An Overview of Asset Pricing Models by : Mohamed Ismail Mohamed Riyath
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
Book Synopsis Capital Asset Pricing Model by : 50minutes,
Download or read book Capital Asset Pricing Model written by 50minutes, and published by 50 Minutes. This book was released on 2015-09-02 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Make smart investment decisions to build a strong portfolio This book is a practical and accessible guide to understanding and implementing the capital asset pricing model, providing you with the essential information and saving time. In 50 minutes you will be able to: • Understand the uses of the capital asset pricing model and how you can apply it to your own portfolio • Analyze the components of your current portfolio and its level of efficiency to assess which assets you should retain and which you should remove • Calculate the level of risk involved in new investments so that you make the right decisions and build the most efficient portfolio possible ABOUT 50MINUTES.COM | Management & Marketing 50MINUTES.COM provides the tools to quickly understand the main theories and concepts that shape the economic world of today. Our publications are easy to use and they will save you time. They provide elements of theory and case studies, making them excellent guides to understand key concepts in just a few minutes. In fact, they are the starting point to take action and push your business to the next level.
Book Synopsis Financial Econometrics by : Svetlozar T. Rachev
Download or read book Financial Econometrics written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2007-03-22 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.
Book Synopsis Asset Pricing and Portfolio Performance by : Robert A. Korajczyk
Download or read book Asset Pricing and Portfolio Performance written by Robert A. Korajczyk and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
Book Synopsis Testing Alternative Versions of the Fama-French Five-Factor Model in the UK. by : James Foye
Download or read book Testing Alternative Versions of the Fama-French Five-Factor Model in the UK. written by James Foye and published by . This book was released on 2017 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates whether the new Fama-French five-factor model is able to offer a better description of UK equity returns than the three-factor model. The paper extends previous studies by testing alternative specifications of the profitability factor. The initial tests indicate that a respecified five-factor model using gross profit, rather than operating profit, provides a better description of UK equity returns. However, the models tested perform inconsistently when evaluated against different test portfolios and neither the value nor investment factors are consistently priced. As well as highlighting the importance of testing factor models using an array of different test portfolios, the results show that both the three- and five-factor models are unable to offer a convincing asset pricing model for the UK.
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 2019-03-12 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.
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.
Book Synopsis Essays in Financial Economics by : Rita Biswas
Download or read book Essays in Financial Economics written by Rita Biswas and published by Emerald Group Publishing. This book was released on 2019-10-24 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Book Synopsis The Capital Asset Pricing Model by :
Download or read book The Capital Asset Pricing Model written by and published by Bookboon. This book was released on with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Factor Investing and Asset Allocation: A Business Cycle Perspective by : Vasant Naik
Download or read book Factor Investing and Asset Allocation: A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Interactions Between Size, Book-to-Market and Momentum in the UK. by : Chris Godfrey
Download or read book The Interactions Between Size, Book-to-Market and Momentum in the UK. written by Chris Godfrey and published by . This book was released on 2018 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing models which make use of priced factors almost universally assume that the model is linear in the factors, that is, that there are no interactions between the factors, though the assumption is seldom tested. In the UK context, I find significant interactions between size and momentum, and also, between book-to-market and momentum. Further, these interactions have a distinctive term structure, being most significant with respect to short term momentum, and weaker with longer-term momentum. The size and value premia vary strongly between Winners and Losers, implying additional profit for investment strategies which make use of these features.Previous UK asset pricing studies have found that the Fama-French (1993) model struggles to successfully price assets when tested on an equity universe which includes large and small stocks. I find that including size-momentum and value-momentum interactions enables the Fama-French (1993) to successfully price UK stocks, leading to insignificant pricing errors and economically meaningful and significant coefficients for size and book to market.
Book Synopsis Principles of the Capital Asset Pricing Model and the Importance in Firm Valuation by : Nadine Pahl
Download or read book Principles of the Capital Asset Pricing Model and the Importance in Firm Valuation written by Nadine Pahl and published by GRIN Verlag. This book was released on 2009-04 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2007 in the subject Business economics - Investment and Finance, grade: 1,0, University of Applied Sciences Berlin, course: Financial Management, language: English, abstract: In everything you do, or don't do, there is a chance that something will happen that you didn't count on. Risk is the potential for unexpected things to happen. Risk aversion is a common thing among almost all investors. Investors generally dislike uncertainty or risk and agree that a safe dollar is worth more than a risky one. Therefore, investors will have to be persuaded to take higher risk by the offer of higher returns. In this investment context, the additional compensation for taking on higher risk is a higher rate of return.Every investment has a risk element: The investor will always not be certainwhether the investment will be able to generate the required income. The degree of risk defers from industry to industry but also from company to company. It is not possible to eliminate the investment risk altogether but to reduce is. Nevertheless, often there remains a risky part. According to the degree of risk, the investor demands a corresponding rate of return that is, of course, higher than the rate of return of risk-free investments. Taking on a risk should be paid off. The Capital Asset Pricing Model (CAPM) is an economic model for valuing stocks, securities, derivatives and/or assets by relating risk and expected rate of return. CAPM is based on the idea that investors demand additional expected return if they are asked to accept additional risk.
Book Synopsis Strategic Asset Allocation and International CAPM by : Philipp Kowollik
Download or read book Strategic Asset Allocation and International CAPM written by Philipp Kowollik and published by GRIN Verlag. This book was released on 2005-02-25 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2004 in the subject Business economics - Investment and Finance, grade: 1,3, European Business School - International University Schloß Reichartshausen Oestrich-Winkel, language: English, abstract: The decision as to which Assets should be included in a portfolio is first addressed in a Strategic Asset Allocation policy. The determination of the Strategic Asset Allocation is one of the most important factors that influences a portfolio’s performance. The process of defining a policy within the Strategic Asset Allocation should be done by both the portfolio manager and the potential investor. Together with the International Capital Asset Pricing Model the Strategic Asset Allocation tries to find an optimal portfolio which maximizes return and, at the same time, tries to minimize the possible risk. Due to currency and inflation risk, hedging should be considered as crucial point during the Strategic Asset Allocation. 1 2 Strategic Asset Allocation under consideration of the International Capital Asset Pricing Model decides to which asset classes a portfolio should be divided. Factors which determine the decision are expected returns, variances and covariances as well as the degree of risk aversion. The analysis of mean-variance which was mostly developed by Harry Markowitz gave portfolio advice until the early eighties concerning the optimal asset allocation. The aims of this approach were to minimize risk while receiving the highest possible return. Over the years the method was critized several times because of a lack of decisive factors. Markowitz only assumed a one period model and permanent income, currency and inflation risk were also ignored.3 Strategic Asset Allocation is much more than investing short- term. Investors care about inflation and currency risk. Hedging is particularly needed.
Book Synopsis The Synergy Solution by : Mark Sirower
Download or read book The Synergy Solution written by Mark Sirower and published by Harvard Business Press. This book was released on 2022-03-15 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: The new M&A bible. Few actions can change the value of a company—and its competitive future—as quickly and dramatically as an acquisition. Yet most companies fail to create shareholder value from these deals, and in many cases they destroy it. It doesn't have to be this way. In The Synergy Solution, Deloitte's Mark Sirower and Jeff Weirens show acquirers how to develop and execute an M&A strategy—end to end—that not only avoids the pitfalls that so many companies fall into but also creates real, long-term shareholder value. This strategy includes how to: Become a prepared "always on" acquirer Test the investment thesis and DCF valuation of a deal Plan for a successful Announcement Day, and properly communicate synergy promises to investors and other stakeholders Realize those promised synergies through integration planning and post-close execution Manage change and build a new, combined organization Sirower and Weirens provide invaluable background to those considering M&A, laying out the issues they have to consider, how to analyze them, and how to plan and execute the deal effectively. They also show those who have already started the process of M&A how to maximize their chances of success. There's an art and a science to getting mergers and acquisitions right, and this powerful book provides the insights and strategies acquirers need to find success at every stage of an often complex and perilous process.
