International CAPM with Regime Switching GARCH Parameters [PDF]
This paper tests a conditional version of Adler and Dumas'(1983) International CAPM with regime switching GARCH parameters. As benchmark the same model is estimated without state dependent parameters. The switching representation is found to react faster
Lorenzo CAPPIELLO, Tom A. Fearnley
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The optimal use of return predictability : an empirical study [PDF]
, 2011 In this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables.
Abhay Abhyankar +3 more
core +2 more sources
Cash-Flow Risk, Discount Risk, and the Value Premium [PDF]
A habit persistence, general equilibrium model with multiple assets matches both the time series properties of the market portfolio and the cross-sectional predictability of returns on price sorted portfolios, the value premium. Consistent with empirical
Pietro Veronesi, Tano Santos
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Size and liquidity effects in Nigeria: an industrial sector study [PDF]
, 2013 This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria ...
Hearn, Bruce
core +1 more source
Realized Betas and the Cross-Section of Expected Returns [PDF]
What explains the cross section of expected returns for the 25 size/value Fama-French portfolios? It is found that modelling time-varying betas is important to explain the cross-section of expected returns, as well as to comply with the time series ...
Claudio Morana
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Risk and Abnormal Returns in Markets for Congestion Revenue Rights
, 2017 In organized energy markets that use locational pricing, power generators and energy suppliers procure financial transmission rights (FTRs) to hedge against grid con- gestion charges, while third-party speculators attempt to capture a return with these ...
Baltaduonis, Rimvydas +3 more
core +1 more source
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 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
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A multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference [PDF]
, 2009 Here a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on US wealth.
Hunter, J, Wu, F
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The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America [PDF]
Using the approach of Pettengill et al. (1995), we analyze the un-conditional versus conditional cross-sectional CAPM relationship between portfolio beta-risk and return in the Argentinean, Brazilian, Chilean, and Mexican stock markets.
Eduardo Sandoval, Rodrigo Saens
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