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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 :
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 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 : 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 : 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 : 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 :
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 : Nicolaas Groenewold
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (247 download)
Download or read book The Sensitivity of Tests of Asset Pricing Models to the Iid-normal Assumption written by Nicolaas Groenewold and published by . This book was released on 2000 with total page 42 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 :
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:
Author : Luciano Martin Rostagno
Publisher :
ISBN 13 :
Total Pages : 114 pages
Book Rating : 4.:/5 (78 download)
Download or read book Empirical Tests of Parametric and Non-parametric Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) Measures for the Brazilian Stock Market Index written by Luciano Martin Rostagno and published by . This book was released on 2005 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to verify empirically the accuracy of parametric and non-parametric approaches in estimating Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) measures of the Brazilian stock market index (Ibovespa). The period of analysis goes from the first day of trade of 1995 to the last day of trade of 2004, which is used for estimation and test of the risk parameters. Parametric approaches assume that daily returns follow a normal and a t-distribution. Non-parametric approaches are the historical simulation and the volatility-weighted historical simulation technique. The binomial test is applied to verify if the failure rates predicted by VaR measures given by the models are acceptable and the sample differences paired test is used to evaluate the accuracy of the CVaR measures in forecasting tail losses. The results point out that the volatility-weighted historical simulation approach gives better estimates of both measures of risk. The rates of losses exceeding volatility-weighted historical simulation VaRs (VWHS-VaRs) ranged between 4.7-6.0%, at the 95% cl, and between 0.9-1.2%, at the 99% cl. For all periods of estimation used (1, 2, 3, 4, and 5 years), at the 95% cl, the sample differences paired test indicated no statistically significant differences between the VWHS-CVaR estimates and the losses beyond its VaR estimates. Risk lines for the normal and historical simulation VaR (HS-VaR) estimates presented flatness, or excessive smoothness, for large periods of estimation, and the student t VaR (T-VaR) estimates were sometimes too low or too high. For these models, short periods of estimation gave more accurate VaR estimates. For the CVaR estimates, the normal and t-distribution assumptions caused overestimation of the value of the tail losses. Finally, the HS-CVaR had similar performance of HS-VaR providing, at the 95% cl, good estimates of tail losses when short periods of estimation were used.
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 : 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 : Mika Vaihekoski
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (16 download)
Download or read book Portfolio Construction Tests of Asset Pricing Models written by Mika Vaihekoski and published by . This book was released on 2003 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
