Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs [PDF]
With the standard mean variance framework, by assuming heterogeneity and bounded rationality of investors, this paper examines their impact on the market equilibrium and implications to the portfolio analysis.
Lei Shi, Xue-Zhong He
core
Changing vulnerability in Asia: contagion and spillovers. [PDF]
Empir Econ, 2023 Kangogo M, Dungey M, Volkov V.
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Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing [PDF]
This paper provides two alternative estimation and testing procedures of a representative-agent model of asset pricing which relies on a particular parametrization of non-expected-utility preferences.
Alberto Giovannini, Philippe Jorion
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The examination of Fama-French Model during the Covid-19. [PDF]
Financ Res Lett, 2021 Horváth D, Wang YL.
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A Theoretical Extension of the Consumption-based CAPM Model [PDF]
We extend the Consumption-based CAPM (C-CAPM) model for representative agents with different risk attitudes. We introduce the concept of expectation dependence and show that for a risk averse representative agent, it is the first-degree expectation ...
Georges Dionne, Jingyuan Li
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The effect of modelling parameters in the development and validation of knee joint models on ligament mechanics: A systematic review. [PDF]
PLoS One, 2022 Farshidfar SS +4 more
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A rational pricing explanation for the failure of CAPM [PDF]
Many authors have found that the capital asset pricing model (CAPM) does not explain stock returns—possibly because it is only a special case of Merton’s (1973) intertemporal CAPM under the assumption of constant investment opportunities (e.g., a ...
Hui Guo
core
The Factor-Spline-GARCH Model for High and Low Frequency Correlations [PDF]
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single ...
Jose Gonzalo Rangel, Robert F. Engle
core
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
core
Impact of liquidity spillovers among industrial sectors on stock markets during crisis periods: Evidence from the S&P 500 index. [PDF]
PLoS One, 2022 Lim SY, Choi SY.
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