Results 51 to 60 of about 13,843 (175)
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
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An empirical investigation of the relationship between the real economy and stock returns for the United States [PDF]
, 2005 This paper tests for the relationship between excess returns and economic growth rates in the U.S., using a Seemingly Unrelated Regression (SUR) approach.
Gregoriou, A, Hunter, J, Wu, F
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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
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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
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
Stock Return Predictability and Oil Prices [PDF]
This paper shows that oil price changes, measured as short-term futures returns, are a strong predictor of excess stock returns at short horizons. Ours is a leading variable for the business cycle and exhibits low persistence which avoids the ctitious ...
Freddy Higuera, Jaime Casassus
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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
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Conditional CAPM Using Expected Returns of Brazilian Sustainability Companies
Theoretical Economics Letters, 2018 In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions.
openaire +2 more sources
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
Testing Conditional Factor Models [PDF]
Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single
Andrew Ang, Dennis Kristensen
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