Results 91 to 100 of about 13,953 (241)
A Cross Section of Equity Returns: The No-Arbitrage Test [PDF]
We propose a new test based on the no-arbitrage condition that compares cross-sectional variation in equity returns to the cross-sectional variation in their conditional covariance with the discount factors.
Michael R. Wickens +2 more
core
Tests of International CAPM with Time-Varying Covariances [PDF]
We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The "betas" in our CAPM vary over time from two sources -- the supplies
Anthony P. Rodrigues, Charles Engel
core
A survey on risk-return analysis [PDF]
This paper provides a review of the main features of asset pricing models. The review includes single-factor and multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models conditional on ...
Don U.A. Galagedera
core
Portfolio Efficiency Tests with Conditioning Information-Comparing GMM and GEL Estimators. [PDF]
Entropy (Basel), 2022 Vigo-Pereira C, Laurini M.
europepmc +1 more source
A Framework for CAPM with Heterogenous Beliefs [PDF]
We introduce heterogeneous beliefs in to the mean-variance framework of the standard CAPM, in contrast to the standard approach which assumes homogeneous beliefs.
Carl Chiarella +2 more
core
On the Dynamic Specification of International Asset Pricing Models [PDF]
In this paper, we test the international conditional CAPM model of Dumas and Solnik (1993) and the international conditional APT model of Ferson and Harvey (1992), as well as various extensions of these models.
Eric Ghysels +2 more
core
Conditional autoencoder asset pricing models for the Korean stock market. [PDF]
PLoS One, 2023 Kim E, Cho T, Koo B, Kang HG.
europepmc +1 more source
Testing the Conditional CAPM Using Short-Window Regressions : A Critique
Asian Review of Financial Research, 2021 Using short-window regressions, prior studies have shown that the conditional CAPM performs as poorly as the unconditional CAPM and that unconditional alphas are too large to be explained by the covariance between conditional betas and market risk premium.
openaire +1 more source
Undiversifiable Returns in a CAPM Economy [PDF]
The effects of endogenous undiversifiable investment and market structure changes on security pricing are analyzed within the GEI-CAPM (General Equilibrium with Incomplete Markets Capital Asset Pricing Model).
Claude Wampach, Peghe Braila
core
Human capital-based four-factor asset pricing model: An empirical study from Pakistan. [PDF]
Heliyon, 2023 Khan N, Zada H, Ahmed S, Shah FA, Jan S.
europepmc +1 more source