Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Testing Asset Pricing Models With Unconditional And Conditional Alphas And Betas full books in PDF, epub, and Kindle. Read online Testing Asset Pricing Models With Unconditional And Conditional Alphas And Betas ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Niels Veldhuis
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (243 download)
Download or read book Testing Asset Pricing Models with Unconditional and Conditional Alphas and Betas written by Niels Veldhuis and published by . This book was released on 2000 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Irene Shuen Wei Se
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.:/5 (243 download)
Download or read book Testing Capital Asset Pricing Models with Unconditional and Conditional Alphas and Betas written by Irene Shuen Wei Se and published by . This book was released on 2000 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jonathan Lewellen
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Conditional CAPM Does Not Explain Asset-Pricing Anomalies written by Jonathan Lewellen and published by . This book was released on 2010 with total page 42 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 variation in betas and expected returns would have to be implausibly large to explain important asset-pricing anomalies, like book-to-market and momentum. We test this conjecture 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.
Author : Wayne E. Ferson
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
Download or read book Asset Pricing Models with Conditional Betas and Alphas written by Wayne E. Ferson and published by . This book was released on 2010 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the estimation of asset pricing model regressions with conditional alphas and betas, focusing on the joint effects of data snooping and spurious regression. We find that the regressions are reasonably well specified for conditional betas, even in settings where simple predictive regressions are severely biased. However, there are biases in estimates of the conditional alphas. When time-varying alphas are suppressed and only time-varying betas are considered, the betas become baised. Previous studies overstate the significance of time-varying alphas.
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 : 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 : 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 : Stephanie Yuen Heng Poon
Publisher :
ISBN 13 :
Total Pages : 98 pages
Book Rating : 4.:/5 (243 download)
Download or read book Testing of the Unconditional and Conditional CAPM and Three-factor Asset Pricing Model written by Stephanie Yuen Heng Poon and published by . This book was released on 2000 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jonathan Lewellen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (119 download)
Download or read book The Conditional CAPM Does Not Explain Asset-Pricing Anamolies written by Jonathan Lewellen and published by . This book was released on 2003 with total page 0 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.
Author : Wayne E. Ferson
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (255 download)
Download or read book Asset Pricing Models with Conditional Betas and Alphas written by Wayne E. Ferson and published by . This book was released on 2006 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the estimation of asset pricing model regressions with conditional alphas and betas, focusing on the joint effects of data snooping and spurious regression. We find that the regressions are reasonably well specified for conditional betas, even in settings where simple predictive regressions are severely biased. However, there are biases in estimates of the conditional alphas. When time-varying alphas are suppressed and only time-varying betas are considered, the betas become baised. Previous studies overstate the significance of time-varying alphas.
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 : John H. Cochrane
Publisher : Princeton University Press
ISBN 13 : 1400829135
Total Pages : 560 pages
Book Rating : 4.4/5 (8 download)
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.
Author : John H. Cochrane
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book A Cross-Sectional Test of an Investment-Based Asset Pricing Model written by John H. Cochrane and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine a factor pricing model for stock returns. The factors are returns on physical investment, inferred from investment data via a production function. I examine the model's ability to explain variation in expected returns across asset and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll, and Ross factor model, and it performs substantially better than a simple consumption-based model. I also provide an easy technique for estimating and testing dynamic, conditional asset pricing models--one simply includes factors and returns scaled by instruments in an unconditional estimate--and for comparing such models.
Author : Michael Rothschild
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.0/5 ( download)
Download or read book Asset Pricing Theories written by Michael Rothschild and published by . This book was released on 1985 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article compares two leading models of asset pricing: the capital asset pricing model (CAPM) and the arbitrage pricing theory (APT): I argue that while the APT is compatible with the data available for testing theories of asset pricing, the CAPM is not. In reaching this conclusion emphasis is placed on the distinction between the unconditional (relatively incomplete) information which econometricians must use to estimate asset pricing models and the conditional (complete) information which investors use in making the portfolio decisions which determine asset prices. Empirical work to date suggests that it is unlikely that the APT will produce a simple equation which explains differences in risk premium well with a few parameters. If the CAPM were correct, it would provide such an equation.
Author :
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)
Download or read book Tests of the Relations Among Marketwide Factors, Firm-specific Variables, and Stock Returns Using a Conditional Asset Pricing Model written by and published by . This book was released on 1995 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James W. Kolari
Publisher : Springer Nature
ISBN 13 : 3031167848
Total Pages : 247 pages
Book Rating : 4.0/5 (311 download)
Download or read book Investment Valuation and Asset Pricing written by James W. Kolari and published by Springer Nature. This book was released on 2023-01-01 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook is intended to fill a gap in undergraduate finance curriculums by providing an asset pricing text that is accessible for undergraduate finance students. It offers an overview of original works on foundational asset pricing studies that follows their historical publication chronologically throughout the text. Each chapter stays close to the original works of these major authors, including quotations, examples, graphical exhibits, and empirical results. Additionally, it includes statistical concepts and methods as applied to finance. These statistical materials are crucial to learning asset pricing, which often applies statistical tests to evaluate different asset pricing models. It offers practical examples, questions, and problems to help students check their learning and better understand the fundamentals of asset pricing., alongside including PowerPoint slides and an instructor’s manual for professors.
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.
