Results 61 to 70 of about 302,344 (250)

Spread Regression, Skewness Regression, and Kurtosis Regression With an Application to the US Wage Structure

Journal of Applied Econometrics, Volume 40, Issue 3, Page 325-340, April/May 2025.
ABSTRACT Quantile regression provides a powerful tool for investigating the effects of covariates on key quantiles of a conditional distribution. However, we often lack a general picture of how covariates affect the overall shape of the conditional distribution.
Qiang Chen, Zhijie Xiao
wiley   +1 more source

How do the time-varying risk prices behave in Japan? An investigation with a multivariate GARCH-CAPM approach [PDF]

, 2008
This paper examines the pricing of month-by-month time-varying risks on the Japanese stock market over the period from 1981 to 2004. Using the multivariate GARCH model, we tested the conditional version of the Sharpe-Lintner-Mossin CAPM.
Tsuji, Chikashi
core   +1 more source

Instantaneous Arbitrage and the CAPM [PDF]

arXiv, 2019
This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market.
arxiv  

Tsallis Relative entropy from asymmetric distributions as a risk measure for financial portfolios [PDF]

arXiv, 2022
In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as a possible risk measure in constructing risk optimal portfolios whose returns beat market returns.
arxiv  

Forecasting Beta Using Ultra High Frequency Data

Journal of Forecasting, Volume 44, Issue 2, Page 485-496, March 2025.
ABSTRACT This paper examines if using ultra high frequency (UHF, e.g., tick‐by‐tick) data could improve the accuracy of beta forecasts compared with using only moderately high frequency (MHF, minute‐level) data. We propose a novel two‐step paired t‐test for performance evaluation.
Jian Zhou
wiley   +1 more source

Scope for Credit Risk Diversification [PDF]

, 2005
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity.
Anthony Saunders, Bernard W Silverman, Clive Lennox, Darrell Duffie, Darrell Duffie, Darrell Duffie, Darrell Duffie, Darrell Duffie, David Lando, David Lando, David X Li, Edward C Lawrence, Edward I Altman, Edward I Altman, Embrechts, Fischer Black, Gregory M Gupton, H Koyluoglu, Hayne E Leland, Jon Frye, Jushan Bai, Kai Giesecke, Kenneth Garbade, M Pesaran, M. Hashem Pesaran, Mark Davis, Michael B Gordy, Michael B Gordy, Michel Crouhy, Oldrich Vasicek, Oldrich Vasicek, Oldrich Vasicek, Philipp J Sch�nbucher, Philipp J Sch�nbucher, Pierre Mella-Barral, Robert C Merton, Robert F Engle, Robert Fernholz, R�diger Frey, Samuel Gregory Hanson, Stephen A Hillegeist, Thomas Wilson, Thomas Wilson, Til Schuermann, Tyler Shumway, Y-T Hu, Yusuf Jafry   +46 more
core   +2 more sources

Risk-return relationship: An empirical study of different statistical methods for estimating the Capital Asset Pricing Models (CAPM) and the Fama-French model for large cap stocks [PDF]

arXiv, 2015
The Capital Asset Pricing Model (CAPM) is one of the original models in explaining risk-return relationship in the financial market. However, when applying the CAPM into reality, it demonstrates a lot of shortcomings. While improving the performance of the model, many studies, on one hand, have attempted to apply different statistical methods to ...
arxiv  

Causal Network Representations in Factor Investing

Intelligent Systems in Accounting, Finance and Management, Volume 32, Issue 1, March 2025.
ABSTRACT This paper explores the application of causal discovery algorithms to factor investing, addressing recent criticisms of correlation‐based models. We create novel causal network representations of the S&P 500 universe and apply them to three investment scenarios.
Clint Howard, Harald Lohre, Sebastiaan Mudde   +2 more
wiley   +1 more source

Does the conditional CAPM work? Evidence from the Istanbul Stock Exchange [PDF]

, 2010
This paper tests whether the conditional CAPM accurately prices assets utilizing data from the Istanbul Stock Exchange (ISE) over the time period from February 1997 to April 2008. In our empirical analysis, we closely follow the methodology introduced in
Erşahin, Nuri, Yalçın, Atakan
core  

Housing risk and the cross section of returns across many asset classes

Real Estate Economics, Volume 53, Issue 2, Page 326-351, March 2025.
Abstract This article documents that a single‐factor model based on shocks to the residential investment share, or the ratio of residential‐to‐nonresidential investment, exhibits strong explanatory power for expected returns across various characteristic‐sorted portfolios in equity and other asset classes. The residential investment share captures time‐
Sai Ma, Shaojun Zhang
wiley   +1 more source