Results 41 to 50 of about 15,441 (215)
Improving the Asset Pricing Ability of the Consumption-Capital Asset Pricing Model? [PDF]
SSRN Electronic Journal, 2006 This paper compares the asset pricing ability of the traditional consumption-based capital asset pricing model to models from two strands of literature attempting to improve on the poor empirical results of the C-CAPM. One strand is based on the intertemporal asset pricing model of Campbell (1993, 1996) and Campbell and Vuolteenaho (2004).
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A Test of the Intertemporal Asset Pricing Model [PDF]
, 1982 Restrictions that general equilibrium theory place upon average returns are found to be strongly violated by the U.S. data in the 1889–1978 period. This result is robust to model specification and measurement problems. We conclude that equilibrium models which are not Arrow-Debreu economies are needed to rationalize the large average equity premium ...
Rajnish Mehra, Edward C. Prescott
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Testing asset pricing models with individual stocks: An instrumental variables approach
Borsa Istanbul ReviewThis study empirically tests time-varying asset pricing models in an emerging market with individual stocks. We employ a recently proposed instrumental variables (IV) technique that uses individual stocks as test assets while consistently estimating ex ...
Işıl Candemir, Cenk C. Karahan
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Pricing of Commodity Futures Contract by Using of Spot Price Jump-Diffusion Process [PDF]
International Journal of Business and Development Studies, 2016 Futures contract is one of the most important derivatives that is used in financial markets in all over the world to buy or sell an asset or commodity in the future.
Hossein Esmaeili Razi +3 more
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Fractal Asset Pricing Models for Financial Risk Management
Финансы: теория и практика, 2019 The article presents the analysis findings of the problems and prospects of using the fractal markets theory to mathematically predict the price dynamics of assets as part of a financial risk management strategy. The aim of the article is to find out the
I. Z. Yarygina, V. B. Gisin, B. A. Putko
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CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia
Malaysian Management Journal, 2020 This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and
Cung Huck Khoon +2 more
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Rational asset pricing bubbles [PDF]
, 1995 This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework.
Woodford, Michael, Santos, Manuel S.
core
The nexus of anomalies-stock returns-asset pricing models: The international evidence
Borsa Istanbul Review, 2019 We study the international stock returns across Europe, Asia Pacific, North America, US, Japan, Global, and Global excluding US. We find there are value premiums in average stock returns across the regions.
Rahul Roy, Santhakumar Shijin
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Pricing the Default Risk Factor in Short-Term Debt: A Compound Option Approach in the Iranian Capital Market [PDF]
Journal of Asset Management and FinancingThis study introduces and integrates short-term debt default risk as a novel systematic factor into the capital asset pricing framework and evaluates its impact on the explanatory power of existing multi-factor models in the Iranian capital market ...
Mahnaz Khorasani +2 more
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Do select macroeconomic factors drive momentum returns?
Future Business Journal, 2021 In this paper, we examine the presence of short-term and long-term momentum returns in Indian stock market. The study also tries to shed light on the power of asset pricing models and select macroeconomic variables in explaining momentum returns.
A. Balakrishnan, Nirakar Barik
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