Results 171 to 180 of about 15,441 (215)

The Use of Asset Growth in Empirical Asset Pricing Models

SSRN Electronic Journal, 2017
We show that the performance of the new factor models of Hou, Xue, and Zhang (2015) and Fama and French (2015) depends crucially on how their investment factor is constructed. Both models use growth in total assets to measure investment. Their ability to price the cross-section of returns decreases significantly when the investment factor is ...
Michael Cooper, Huseyin Gulen, Mihai Ion
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Affect in a Behavioral Asset-Pricing Model

Financial Analysts Journal, 2008
Stocks, like houses, cars, watches and most other products exude affect, good or bad, beautiful or ugly, admired or despised. Affect plays a role in pricing models of houses, cars and watches but, according to standard financial theory, affect plays no role in pricing of financial assets.
Meir Statman, Kenneth L. Fisher, Deniz Anginer   +2 more
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An Intertemporal Capital Asset Pricing Model

Econometrica, 1973
Summary: An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who act so as to maximize the expected utility of lifetime consumption and who can trade continuously in time.
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An Asset Price Model of Aggregate Investment

International Economic Review, 1975
IN A RECENT BOOK AND articles, one of the present authors and Miguel Sidrauski [6, 7] have studied a macroeconomic growth model which explicitly includes monetary and fiscal policy tools as distinct parameters. One of the basic ideas of this work was to follow out rigorously an account of the volume of investment originated by Keynes [14], Witte [18 ...
Engle, Robert F, Foley, Duncan K
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Asset Pricing Models

2014
Consider investing a current value of V0 for T periods at the compound periodic rate of r. The future value of the initial investment is given simply by the following: (1.1) .
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Testing Asset Pricing Models With Coskewness

Journal of Business & Economic Statistics, 2004
In this article we investigate portfolio coskewness using a quadratic market model as a return-generating process. We show that the portfolios of small (large) firms have negative (positive) coskewness with the market. We test an asset pricing model including coskewness by checking the validity of the restrictions that it imposes on the return ...
Ades, Giovanni Barone, Gagliardini, Patrick, Urga, Giovanni   +2 more
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Robust Inference in Linear Asset Pricing Models [PDF]

SSRN Electronic Journal, 2012
Many asset pricing models include risk factors that are only weakly correlated with the asset returns. We show that in the presence of a factor that is independent of the returns ("useless factor"), the standard inference procedures for evaluating its pricing ability could be highly misleading in misspecified models.
Nikolay Gospodinov, Raymond Kan, Cesare Robotti   +2 more
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Capital Asset Pricing Model

1987
Two general approaches to the problem of valuing assets under uncertainty may be distinguished. The first approach relies on arbitrage arguments of one kind or another, while under the second approach equilibrium asset prices are obtained by equating endogenously determined asset demands to asset supplies, which are typically taken as exogenous ...
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Asset Pricing Models

2009
This chapter firstly provides a comprehensive review the modern portfolio theory bases including, in particular, investor’s choice, portfolio diversification, and the market model. Then, two most widely used asset pricing models, the CAPM and the APT, are presented.
Mohamed El Hedi Arouri, Fredj Jawadi, Duc Khuong Nguyen   +2 more
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Equilibrium Models With Singular Asset Prices

Mathematical Finance, 1991
General equilibrium models in which economic agents have finite marginal utility from consumption at the origin lead to financial assets having continuous prices with singular components. In particular, there is no bona fide “interest rate” in such models, although asset prices can be determined by equilibrium considerations (and uniquely, up to the ...
Karatzas, Ioannis, Lehoczky, John P., Shreve, Steven E.   +2 more
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