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Download or read book Pseudo-Predictability in Conditional Asset Pricing Tests Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Devraj Basu
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book Asset Pricing Anomalies and Time-Varying Betas written by Devraj Basu and published by . This book was released on 2019 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we develop a new measure of specification error, and thus derive new statistical tests, for conditional factor models, i.e. models in which the factor loadings (and hence risk premia) are allowed to be time-varying. Our test exploits the close links between the stochastic discount factor framework and mean-variance efficiency. We show that a given set of factors is a true conditional asset pricing model if and only if the efficient frontiers spanned by the traded assets and the factor-mimicking portfolios, respectively, intersect. In fact, we show that our test is proportional to the difference in squared Sharpe ratios of these two frontiers.We draw three main conclusions from our empirical findings. First, optimal scaling clearly improves the performance of asset pricing models, to the point where several of the scaled models are capable of explaining asset pricing anomalies. However, even the optimally scaled models fall short of being true conditional asset pricing models in that they fail to price actively managed portfolios correctly. Second, there is significant time-variation in factor loadings and hence risk premia, which plays a significant role in asset pricing. Moreover, the optimal factor loadings display a high degree of non-linearity in the conditioning variables, suggesting that the linear scaling prevalent in the literature is sub-optimal and does not capture the inter-temporal pattern of risk premia. Third, skewness and kurtosis do matter in the conditional setting, while adding little to unconditional performance.
Author : Jonathan Lewellen
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.:/5 (559 download)
Download or read book Conditional Capital Assets Pricing Model Does Not Explain Asset-pricing Anomalies written by Jonathan Lewellen and published by . This book was released on 2003 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM. We argue, however, that significant departures from the unconditional CAPM would require implausibly large time-variation in betas and expected returns. Thus, the conditional CAPM is unlikely to explain asset-pricing anomalies like book-to-market and momentum. We test this conjecture empirically by directly estimating conditional alphas and betas from short-window regressions (avoiding the need to specify conditioning information). The tests show, consistent with our analytical results, that the conditional CAPM performs nearly as poorly as the unconditional CAPM. Keywords: Time-varying betas, conditional CAPM, asset-pricing anomalies, book-to-market, momentum. JEL Classifications: G12.
Author : Charles Lee
Publisher : Now Publishers
ISBN 13 : 9781601988928
Total Pages : 212 pages
Book Rating : 4.9/5 (889 download)
Download or read book Alphanomics written by Charles Lee and published by Now Publishers. This book was released on 2015-12-16 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alphanomics: The Informational Underpinnings of Market Efficiency is intended to be a compact introduction to academic research on market efficiency, behavioral finance, and fundamental analysis and is dedicated to the kind of decision-driven and prospectively-focused research that is much needed in a market constantly seeking to become more efficient. The authors refer to this type of research as Alphanomics, the informational economics behind market efficiency. Alpha refers to the abnormal returns, which provide the incentive for some subpopulation of investors to engage in information acquisition and costly arbitrage activities. Nomics refers to the economics of alpha extraction, which encompasses the costs and incentives of informational arbitrage as a sustainable business proposition. Some of the questions that are addressed include: why do we believe markets are efficient?; what problems have this belief engendered?; what factors can impede and/or facilitate market efficiency?; what roles do investor sentiment and costly arbitrage play in determining an equilibrium level of informational efficiency?; what is the essence of value investing?; how is it related to fundamental analysis (the study of historical financial data)?; and how might we distinguish between risk and mispricing based explanations for predictability patterns in returns? The first two sections review the evolution of academic thinking on market efficiency and introduce the noise trader model as a rational alternative. Section 3 surveys the literature on investor sentiment and its role as a source of both risks and returns. Section 4 discusses the role of fundamental analysis in value investing. Section 5 reviews the literature on limits to arbitrage, and section 6 discusses research methodology issues associated with the need to distinguish mispricing from risk.
Author : Elisa Luciano
Publisher : MDPI
ISBN 13 : 3039216244
Total Pages : 224 pages
Book Rating : 4.0/5 (392 download)
Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.
Author : Paul D. Leedy
Publisher :
ISBN 13 : 9781292021171
Total Pages : 384 pages
Book Rating : 4.0/5 (211 download)
Download or read book Practical Research written by Paul D. Leedy and published by . This book was released on 2013-07-30 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: For undergraduate or graduate courses that include planning, conducting, and evaluating research. A do-it-yourself, understand-it-yourself manual designed to help students understand the fundamental structure of research and the methodical process that leads to valid, reliable results. Written in uncommonly engaging and elegant prose, this text guides the reader, step-by-step, from the selection of a problem, through the process of conducting authentic research, to the preparation of a completed report, with practical suggestions based on a solid theoretical framework and sound pedagogy. Suitable as the core text in any introductory research course or even for self-instruction, this text will show students two things: 1) that quality research demands planning and design; and, 2) how their own research projects can be executed effectively and professionally.
Author : Joe Tranquillo
Publisher : Springer
ISBN 13 : 3030025896
Total Pages : 405 pages
Book Rating : 4.0/5 (3 download)
Download or read book An Introduction to Complex Systems written by Joe Tranquillo and published by Springer. This book was released on 2019-02-13 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the interdisciplinary field of complex systems theory. By the end of the book, readers will be able to understand terminology that is used in complex systems and how they are related to one another; see the patterns of complex systems in practical examples; map current topics, in a variety of fields, to complexity theory; and be able to read more advanced literature in the field. The book begins with basic systems concepts and moves on to how these simple rules can lead to complex behavior. The author then introduces non-linear systems, followed by pattern formation, and networks and information flow in systems. Later chapters cover the thermodynamics of complex systems, dynamical patterns that arise in networks, and how game theory can serve as a framework for decision making. The text is interspersed with both philosophical and quantitative arguments, and each chapter ends with questions and prompts that help readers make more connections. “The text provides a useful overview of complex systems, with enough detail to allow a reader unfamiliar with the topic to understand the basics. The book stands out for its comprehensiveness and approachability. It will be particularly useful as a text for introductory physics courses. Tranquillo’s strength is in delivering a vast amount of information in a succinct manner.... A reader can find information quickly and efficiently—that is, in my opinion, the book’s greatest value.” (Stefani Crabtree, Physics Today)
Author : Claudio Cioffi-Revilla
Publisher : Springer
ISBN 13 : 3319501313
Total Pages : 636 pages
Book Rating : 4.3/5 (195 download)
Download or read book Introduction to Computational Social Science written by Claudio Cioffi-Revilla and published by Springer. This book was released on 2017-06-29 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a comprehensive and reader-friendly introduction to the field of computational social science (CSS). Presenting a unified treatment, the text examines in detail the four key methodological approaches of automated social information extraction, social network analysis, social complexity theory, and social simulation modeling. This updated new edition has been enhanced with numerous review questions and exercises to test what has been learned, deepen understanding through problem-solving, and to practice writing code to implement ideas. Topics and features: contains more than a thousand questions and exercises, together with a list of acronyms and a glossary; examines the similarities and differences between computers and social systems; presents a focus on automated information extraction; discusses the measurement, scientific laws, and generative theories of social complexity in CSS; reviews the methodology of social simulations, covering both variable- and object-oriented models.
Author : Benoit B. Mandelbrot
Publisher : Profile Books
ISBN 13 : 1847651550
Total Pages : 352 pages
Book Rating : 4.8/5 (476 download)
Download or read book The (Mis)Behaviour of Markets written by Benoit B. Mandelbrot and published by Profile Books. This book was released on 2010-10-01 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.
Author : Christopher C. Horner
Publisher : Simon and Schuster
ISBN 13 : 1596980745
Total Pages : 418 pages
Book Rating : 4.5/5 (969 download)
Download or read book Red Hot Lies written by Christopher C. Horner and published by Simon and Schuster. This book was released on 2008-11-11 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liars--Al Gore, the United Nations, the New York Times. The global warming lobby, relentless in its push for bigger government, more spending, and more regulation, will use any means necessary to scare you out of your wits--as well as your tax dollars and your liberties--with threats of rising oceans, deadly droughts, and unspeakable future consequences of "climate change." In pursuing their anti-energy, anti-capitalist, and pro-government agenda, the global warming alarmists--and unscrupulous scientists who see this scare as their gravy train to federal grants and foundation money--resort to dirty tricks, smear campaigns, and outright lies, abandoning scientific standards, journalistic integrity, and the old-fashioned notions of free speech and open debate. In Red Hot Lies, bestselling author Christopher Horner--himself the target of Greenpeace dirty tricks and alarmist smears--exposes the dark underbelly of the environmental movement. Power-hungry politicians blacklist scientists who reject global warming alarmism. U.S. senators threaten companies that fund climate change dissenters. Mainstream media outlets openly reject the notion of "balance." The occasional unguarded scientist candidly admits the need to twist the facts to paint an uglier picture in order to keep the faucet of government money flowing. In the name of "saving the planet," anything goes. But why the nasty tactics? Why the cover ups, lies, and intimidation? Because Al Gore and his ilk want to use big government at the local, state, federal, and global level to run your life, and they can brook no opposition. But the actual facts, as Red Hot Lies makes clear, aren't nearly as scary as their fiction.
Author : Schick, Jr. (Theodore)
Publisher : McGraw-Hill Humanities/Social Sciences/Languages
ISBN 13 : 9780071289566
Total Pages : 0 pages
Book Rating : 4.2/5 (895 download)
Download or read book How to Think about Weird Things written by Schick, Jr. (Theodore) and published by McGraw-Hill Humanities/Social Sciences/Languages. This book was released on 2010-05 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief, inexpensive text helps the reader to think critically, using examples from the weird claims and beliefs that abound in our culture to demonstrate the sound evaluation of any claim. The authors focus on types of logical arguments and proofs, making How to Think about Weird Things a versatile supplement for logic, critical thinking, philosophy of science, or any other science appreciation courses.
Author : M. Sengupta
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Best Practices Handbook for the Collection and Use of Solar Resource Data for Solar Energy Applications written by M. Sengupta and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 0471704334
Total Pages : 434 pages
Book Rating : 4.4/5 (717 download)
Download or read book Short Selling written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2004-11-17 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest theoretical and empirical evidence on short selling in the United States and throughout the world To get the most success out of what the finance community regards as a risky business, short sellers need high-level information. The Theory and Practice of Short Selling offers managers and investors the information they need to maximize and enhance their short selling capabilities for bigger profits. Frank Fabozzi collects a group of market experts who share their knowledge on everything from the basics to the complex in the world of short sales, including mechanics of short selling, the empirical evidence on short-selling, the implications or restrictions on short selling for investment strategies, short-selling strategies pursued by institutional investors, and identifying short-selling candidates. Frank J. Fabozzi, PhD, CFA (New Hope, PA), is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and Editor of the Journal of Portfolio Management. He is the author or editor of over 100 books on finance and investing.
Author : Elana Freeland
Publisher : Feral House
ISBN 13 : 162731072X
Total Pages : 377 pages
Book Rating : 4.6/5 (273 download)
Download or read book Under an Ionized Sky written by Elana Freeland and published by Feral House. This book was released on 2018-02-13 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is difficult to believe that our planet has been weaponized before our very eyes, but that is exactly what has happened. First, we were seduced by the convenience of a wireless world; then, atmospheric weather experimentation in the guise of carbons “climate change” converted the air we breathe into an antenna. Now, the geo-engineering we’ve been subjected to for two decades is being normalized as the “Star Wars” Space Fence rises around and within us. Is this the Space Age we were promised?
Author : William R. Bell
Publisher : CRC Press
ISBN 13 : 1439846588
Total Pages : 544 pages
Book Rating : 4.4/5 (398 download)
Download or read book Economic Time Series written by William R. Bell and published by CRC Press. This book was released on 2018-11-14 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 chapters showcases the cross-fertilization between the fields of time s
Author :
Publisher : John Wiley & Sons
ISBN 13 : 3527631348
Total Pages : 628 pages
Book Rating : 4.5/5 (276 download)
Download or read book Dynamic Process Modeling written by and published by John Wiley & Sons. This book was released on 2013-10-02 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inspired by the leading authority in the field, the Centre for Process Systems Engineering at Imperial College London, this book includes theoretical developments, algorithms, methodologies and tools in process systems engineering and applications from the chemical, energy, molecular, biomedical and other areas. It spans a whole range of length scales seen in manufacturing industries, from molecular and nanoscale phenomena to enterprise-wide optimization and control. As such, this will appeal to a broad readership, since the topic applies not only to all technical processes but also due to the interdisciplinary expertise required to solve the challenge. The ultimate reference work for years to come.
Author : Stephen Penman
Publisher : Columbia University Press
ISBN 13 : 0231521855
Total Pages : 265 pages
Book Rating : 4.2/5 (315 download)
Download or read book Accounting for Value written by Stephen Penman and published by Columbia University Press. This book was released on 2010-12-30 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accounting for Value teaches investors and analysts how to handle accounting in evaluating equity investments. The book's novel approach shows that valuation and accounting are much the same: valuation is actually a matter of accounting for value. Laying aside many of the tools of modern finance the cost-of-capital, the CAPM, and discounted cash flow analysis Stephen Penman returns to the common-sense principles that have long guided fundamental investing: price is what you pay but value is what you get; the risk in investing is the risk of paying too much; anchor on what you know rather than speculation; and beware of paying too much for speculative growth. Penman puts these ideas in touch with the quantification supplied by accounting, producing practical tools for the intelligent investor. Accounting for value provides protection from paying too much for a stock and clues the investor in to the likely return from buying growth. Strikingly, the analysis finesses the need to calculate a "cost-of-capital," which often frustrates the application of modern valuation techniques. Accounting for value recasts "value" versus "growth" investing and explains such curiosities as why earnings-to-price and book-to-price ratios predict stock returns. By the end of the book, Penman has the intelligent investor thinking like an intelligent accountant, better equipped to handle the bubbles and crashes of our time. For accounting regulators, Penman also prescribes a formula for intelligent accounting reform, engaging with such controversial issues as fair value accounting.
