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Author :
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (937 download)
Download or read book Test of Conditional Asset Pricing Models in the Brazilian Stock Market written by and published by . This book was released on 1997 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marco Bonomo
Publisher : Montréal : CIRANO
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (379 download)
Download or read book Tests of Conditional Asset Pricing Models in the Brazilian Stock Market written by Marco Bonomo and published by Montréal : CIRANO. This book was released on 1997 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marco Antonio Bonomo
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (96 download)
Download or read book Tests of conditional assest pricing models in the Brazilian Stock Market written by Marco Antonio Bonomo and published by . This book was released on 1997 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Test of capm zero-beta in the brazilian capital market written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: O CAPM (Capital Asset Pricing Model) padrão, proposto por Sharpe, Lintner e Mossin, é um dos principais paradigmas da teoria de finanças. Especifica que o retorno médio esperado de um ativo é função linear apenas do seu risco não diversificável ou risco sistemático. O prêmio de risco esperado do mercado é a inclinação desta função, e o retorno esperado do ativo livre de risco é o intercepto. Possui como uma de suas premissas básicas a de que os investidores podem emprestar e tomar emprestado à taxalivre de risco. O modelo CAPM ZERO-BETA, proposto por Black, Jensen e Scholes (1972), considera que o investidor não pode emprestar nem tomar emprestado à taxa livre derisco. Nesse modelo o retorno esperado do ativo livre de risco é substituído pelo retorno esperado de uma carteira (carteira zero-beta) que possui mínima variância ecovariância zero com o retorno esperado da carteira de mercado. É também conhecido como CAPM de dois parâmetros, pois tanto o beta do ativo como o retorno da carteirazero-beta necessitam ser estimados, já que não podem ser diretamente observados. Este trabalho testa o CAPM zero-beta no mercado de capitais brasileiro. Utiliza a metodologia de regressão multivariada (MVRM), proposta por Gibbons (1982). Esta metodologia executa uma SUR (Seemingly Unrelated Regression) e estima conjuntamente o beta dos ativos e o retorno da carteira zero-beta. Além de dispensar a escolha do ativo livre de risco, a MVRM evita o erro de variáveis que ocorre na metodologia de regressão cross-section. Utilizando os ativos negociados na Bolsa deValores do Estado de São Paulo (BOVESPA) no período de 1986 a 2001, o teste não rejeita o CAPM zero-beta para os períodos de 1991 a 1996 e 1996 a 2001. Os resultados indicam um aumento recente na eficiência do mercado de capitais brasileiro.
Author : Stuart Hyde
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Tests of the Conditional Asset Pricing Model written by Stuart Hyde and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relationship between consumption and the term structure using U.K. interest rate data. We demonstrate that the term structure contains information about future economic activity as implied by the benchmark time separable power utility consumption based capital asset pricing model (C-CAPM) since the yield spread has forecasting power for future consumption growth. Further, we analyze the ability of this benchmark and two alternative models which adopt utility functions characterized by non-separability, namely, the extension to the habit formation model of Campbell and Cochrane (1999) proposed by Wachter (2006) and the housing C-CAPM proposed by Piazzesi et al. (2007). Our findings are supportive of the habit formation specification of Wachter (2006), other models fail to yield economically plausible parameter values.
Author : Andreas Schrimpf
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (18 download)
Download or read book Evaluating Conditional Asset Pricing Models for the German Stock Market written by Andreas Schrimpf and published by . This book was released on 2006 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : 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 : Marcio Andre Veras Machado
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)
Download or read book Liquidity and Asset Pricing written by Marcio Andre Veras Machado and published by . This book was released on 2014 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: The article examines whether the two-factor model developed by Liu (2006) explains the variations in stock returns in the Brazilian market. We also compare the performance of this model with the CAPM and the three-factor model of Fama & French (1993) and investigate whether the two-factor model is robust to strategies based on size, book-to-market, momentum, earnings/price, cash flow/price, liquidity and leverage, called value anomalies. We used multiple regressions with time series to analyze the performance of the models in explaining the variations in stock returns of various portfolios. The population analyzed consisted of all the firms with shares listed on the BM&FBovespa in the period from 1995 to 2008. The two-factor model performed better than the CAPM and very near the three-factor model in terms of explanatory power. Therefore, the results obtained with the two-factor model are relevant, considering we worked with dynamic portfolios. Finally, even though the two-factor model was not able to explain some of the anomalies commonly documented in the literature, advances were evidenced, which can be considered an important step in the literature, even though much can still be accomplished.
Author : Antonis Demos
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
Download or read book Testing Asset Pricing Models written by Antonis Demos and published by . This book was released on 2016 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article applies a conditionally heteroskedastic asset pricing model to describe the time variation in the first and second moments of asset returns in an interdependent way in the emerging capital market of Greece. Depending on the observability of the factors and under the chosen parameterization it is possible to derive tests to address economically important questions that the models impose on the risk-return relationship. We apply the derived tests on the nine sectorial portfolios and the value weighted index of the Athens Stock Exchange, over the period 1985-1997. The evidence from the unconditional and conditional CAPM, with the Value Weighted Index as a benchmark portfolio, suggests the inefficiency of the Index. On the other hand, the dynamic latent factor model, considered here, describes sectorial returns in a much better way. However, there is still a shadow of doubt on the hypothesis that the price of risk is common across assets.
Author :
Publisher :
ISBN 13 :
Total Pages : 1112 pages
Book Rating : 4.5/5 (66 download)
Download or read book Journal of International Money and Finance written by and published by . This book was released on 2001 with total page 1112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Manuel Ammann
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach written by Manuel Ammann and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new approach for the estimation of conditional asset pricing models based on a Markov Chain Monte Carlo (MCMC) approach. In contrast to existing approaches, it is truly conditional because the assumption that time variation in betas is driven by a set of conditioning variables is not necessary. Moreover, the approach has exact finite sample properties and accounts for errors-in-variables in a one-step estimation procedure. Using Samp;P 500 panel data, we analyze the empirical performance of the CAPM and the Fama and French (1993) three-factor model. We find that time-variation of betas in the CAPM and the time variation of the coefficients for the size factor (SMB) and the distress factor (HML) in the three-factor model improve the empirical performance by a similar amount. Therefore, our findings are consistent with time variation of firm-specific exposure to market risk, systematic credit risk and systematic size effects. However, a Bayesian model comparison trading off goodness of fit and model complexity indicates that the conditional CAPM performs best, followed by the conditional three-factor model, the unconditional CAPM, and the unconditional three-factor model.
Author :
Publisher :
ISBN 13 :
Total Pages : 338 pages
Book Rating : 4.F/5 ( download)
Download or read book Research Abstracts written by and published by . This book was released on 1997 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jacob Boudoukh
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (931 download)
Download or read book Testing Inequality Restrictions Implied from Conditional Asset Pricing Models written by Jacob Boudoukh and published by . This book was released on 1992 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Atakan Yalcin
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Download or read book Does the Conditional CAPM Explain Asset Pricing Anomalies? Evidence from the Istanbul Stock Exchange written by Atakan Yalcin and published by . This book was released on 2019 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests whether the conditional CAPM can explain size, book-to-market, momentum and illiquidity effects utilizing data from the Istanbul Stock Exchange (ISE). The conditional CAPM mostly fails for these standard asset pricing anomalies with statistically significant risk-adjusted portfolio returns remaining after we allow betas to vary over time. Although market betas do vary significantly, the intertemporal variation is not nearly large enough to explain the asset pricing anomalies considered.
Author : Greg N. Gregoriou
Publisher : CRC Press
ISBN 13 : 1439804508
Total Pages : 870 pages
Book Rating : 4.4/5 (398 download)
Download or read book Emerging Markets written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-06-26 with total page 870 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although emerging market economies consist of 50% of the global population, they are relatively unknown. Filling this knowledge gap, Emerging Markets: Performance, Analysis and Innovation compiles the latest research by noteworthy academics and money managers from around the world. With a focus on both traditional emerging markets and new areas, su
Author :
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (648 download)
Download or read book Officiëele feestgids, uitgegeven ter viering van het 250-jarig bestaan van het Gewerengilde "St. Dionysius", 27, 28 en 29 juni 1920 written by and published by . This book was released on 1920 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
