Results 51 to 60 of about 15,441 (215)

Robust estimation in Capital Asset Pricing Model [PDF]

Journal of Applied Mathematics and Decision Sciences, 2000
Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average of the least squares estimator and the prior location, and is of great robustness with respect to at-tailed sample distribution.
Wong, W.-K., Bian, G.
openaire   +2 more sources

Evaluating Asset Pricing Implications of DSGE Models [PDF]

This paper conducts an econometric evaluation of structural macroeconomic asset pricing models. A one-sector dynamic stochastic general equilibrium model (DSGE) with habit formation and capital adjustment costs is considered.
Kevin L. Reffett, Frank Schorfheide
core  

Workforce Shocks and Financial Markets: Asset Pricing Perspectives

International Journal of Financial Studies
Workforce adjustments, such as mass layoffs, are significant corporate events that can influence stock returns and volatility, yet their broader asset-pricing implications remain underexplored.
Samreen Akhtar, Jyoti Agarwal, Alam Ahmad, Refia Wiquar, Mohd Shahid Ali   +4 more
doaj   +1 more source

Another look at the CAPM in South Africa: The influence of bull and bear markets

Journal of Economic and Financial Sciences, 2014
Several studies of the Capital Asset Pricing Model (CAPM) in South Africa find that beta cannot explain returns. However, these studies do not consider the effect of bull and bear markets, yet over the period 1995-2009, excess market returns were ...
Ailie Charteris
doaj   +1 more source

Testing Conditional Asset Pricing Models: An Emerging Market Perspective [PDF]

The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset
Javed Iqbal, Don U.A. Galagedera, Robert Brooks   +2 more
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International Asset Pricing Models: The Case of ASEAN Stock Markets

The International Journal of Banking and Finance, 2009
This paper is about the role of economic grouping as it affects international capital asset pricing models, ICAPM. The conventional ICAPM is extended to include the economic grouping, regional and world factors.
Chee-wooi Hooy, Kim-leng Goh
doaj  

A Skeptical Appraisal of Asset-Pricing Tests [PDF]

It has become standard practice in the cross-sectional asset-pricing literature to evaluate models based on how well they explain average returns on size- and B/M-sorted portfolios, something many models seem to do remarkably well.
Stefan Nagel, Jay Shanken, Jonathan Lewellen   +2 more
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Evaluating asset pricing models with limited commitment using household consumption data

, 2006
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts.
Krueger, Dirk, Dirk Krueger, Fabrizio Perri, Hanno Lustig, Perri, Fabrizio, Lustig, Hanno, Dirk Krueger   +6 more
core   +1 more source

Efficient Estimation of Conditional Asset Pricing Models [PDF]

A semiparametric efficient estimation procedure is developed for the parameters of multivariate GARCH-in-mean models when the disturbances have a distribution that is assumed to be elliptically symmetric but is otherwise unrestricted.
Douglas J. Hodgson, Keith Vorkink
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Empirical investigation of nonlinear asset pricing kernel with human capital and housing wealth [PDF]

, 2011
In a traditional framework, asset returns are captured by simple linear asset pricing models. They include Capital Asset Pricing Model (CAPM) and Fama-French threefactor model.
Wang, Qing Mei
core