Results 71 to 80 of about 343,694 (202)
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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Black–Litterman Portfolio Optimization with Dynamic CAPM via ABC-MCMC
MathematicsThe present research proposes a methodology for portfolio construction that integrates the Black–Litterman model with expected returns generated through simulations under dynamic Capital Asset Pricing Model (CAPM) with conditional betas, estimated via ...
Sebastián Flández +4 more
doaj +1 more source
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence [PDF]
We argue that the empirical evidence against the Capital Asset Pricing Model (CAPM) based on stock returns does not invalidate its use for estimating the cost of capital for projects in making capital budgeting decisions. Since stocks are backed not only
Ravi Jagannathan, Re-Jin Guo, Zhi Da
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Some extensions of the conditional CAPM [PDF]
The objective of this thesis is to consider some extensions of the CAPM and to investigate whether such extensions can offer a better explanation for the US average equity returns.
Vendrame, Vasco
core +2 more sources
This article describes the academic debate about the usefulness of the capital asset pricing model (the CAPM) developed by Sharpe and Lintner. First the article describes the data the model is meant to explain—the historical average returns for various ...
Ellen R. McGrattan, Ravi Jagnnathan
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Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM [PDF]
We amend the conditional CAPM to allow for unobservable long-run changes in risk factor loadings. In this environment, investors rationally "learn" the long-run level of factor loadings from the observation of realized returns.
Adrian, Tobias, Franzoni, Francesco
core +3 more sources
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.
Peter N. Smith +2 more
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Statistical Foundations and Machine Learning Perspectives in Quantitative Finance
Journal of Statistical Theory and Applications (JSTA)Although advances in artificial intelligence (AI) and machine learning (ML) have transformed financial risk assessment, many early-warning frameworks for systematic risk still rely on isolated macro-financial indicators with limited integration of ...
Maeenuddin +2 more
doaj +1 more source
Time-Varying Beta: A Boundedly Rational Equilibrium Approach [PDF]
By taking into account conditional expectations and the dependence of the systematic risk of asset returns on micro- and macro-economic factors, the conditional CAPM with time-varying betas displays superiority in explaining the cross-section of returns ...
Roberto Dieci +2 more
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Time Varying Volatility and the Cross-Section of Equity Returns [PDF]
A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist.
Chris Brooks, Xiafei Li, Joelle Miffre
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