Empirical Analysis Of Multifactor Asset Pricing Models A Comparison Of Us And Japanese Reits
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Empirical Analysis Of Multifactor Asset Pricing Models A Comparison Of Us And Japanese Reits
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Author : Tim Perschbacher
language : en
Publisher: GRIN Verlag
Release Date : 2023-07-10
Empirical Analysis Of Multifactor Asset Pricing Models A Comparison Of Us And Japanese Reits written by Tim Perschbacher and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-07-10 with Business & Economics categories.
Bachelor Thesis from the year 2021 in the subject Business economics - Investment and Finance, grade: 1,0, , language: English, abstract: This study is concerned with an empirical analysis of asset pricing. More specifically, this paper examines whether multifactor asset pricing models are able to explain variation in REIT returns in the US and Japan. In addition to traditional multifactor models, an Alternative Four-Factor Model (AFF) was developed considering net profit margin as an additional risk factor. Thence, this paper seeks to provide valuable information for investors and fund managers regarding their indirect real estate investment selection. Using a sample period between July 1994 (US) / July 2011 (Japan) to December 2020, rigorous multiple-time-series regression is applied to calculate factor loadings for each risk factor and the corresponding alpha values of each model to evaluate their effectiveness in explaining variation and cross-section of REIT returns. Most studies on asset pricing models focus on size and value sorted portfolios as dependent variables. This paper broadens the approach with four other double sorted test portfolios to check the robustness of each single factor to explain return anomalies. Results show that market premium and size premium represent risk factors for US-REITs, whereas market premium and value premium are suitable risk factors for Japanese-REITs. The momentum factor does not capture risk and is insignificant in both markets. The study shows low correlations between traditional and REIT specific as well as between US and Japanese risk factors. This suggests that firstly risk factors are country specific and secondly that they are asset specific. Moreover, the Fama-French Three-Factor Model (FF3) clearly outperforms the CAPM, while the Carhart Four-Factor Model (CH4) marginally improves the explanatory power over the FF3. This is observed in both markets. Outcomes demonstrate that the Alternative Four-Factor Model (AAF) does not improve prediction power for returns of Japanese-REITs compared to the FF3 and CH4. On the contrary, results are ambiguous concerning US-REITs. While the additional risk factor, net profit margin, generates a negative return, the model is superior to the FF3 and CH4 in terms of explaining variation and cross-section of returns.
Multifactor Asset Pricing Models For Real Estate Investment Trusts
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Author : Tim Perschbacher
language : en
Publisher:
Release Date : 2021
Multifactor Asset Pricing Models For Real Estate Investment Trusts written by Tim Perschbacher and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Multi Factor Asset Pricing Models For German Stocks
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Author : Wolfgang Bessler
language : en
Publisher:
Release Date : 2006
Multi Factor Asset Pricing Models For German Stocks written by Wolfgang Bessler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The large number of asset pricing models and empirical studies of stock returns are evidence of the desire to understand the return generating process of financial assets in general and for stocks in particular. One focus of the research in this area has been on multi-factor asset pricing models [Chen et al. (1986), Fama/French (1992)]. These models are based on the assumption that stock returns are generated by a limited number of economic variables such as company, industry or macroeconomic factors.The objective of this study is to analyze the importance of various economic factors in explaining the return structure for stocks in Germany and to investigate whether the impact of these factors is time varying. This is important, because in most studies of asset pricing models it is assumed that the parameters are non time varying. In particular, we investigate the time variability of the explanatory power and the beta coefficients in a multi-factor framework. For this we employ a rolling estimation procedure that allows us to analyze the time variability of the model coefficients.In the empirical analysis we use monthly data of four macroeconomic variables and the market index to explain the returns of four German industry indices for the period from 1974 to 2000. In contrast to most studies which exclude banks from their empirical analysis we use three industrial indices and a bank index. The economic factors included in our model are term spreads, interest rates, exchange rates and the ifo business index as well as the market index. The empirical results confirm that the factors used in our empirical analysis seem well suited to explain the stock returns especially for banks. Moreover, it is evident that the explanatory power and the beta coefficients are time varying.
A Comparison Of Multi Factor Asset Pricing Models Using Us Stock Market Data
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Author : Pia Grammig
language : en
Publisher:
Release Date : 2016
A Comparison Of Multi Factor Asset Pricing Models Using Us Stock Market Data written by Pia Grammig and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
An Empirical Study Of A Conditional International Asset Pricing Model For Us Japanese And European Stock And Government Bond Markets
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Author : Tom Arild Fearnley
language : en
Publisher:
Release Date : 2002
An Empirical Study Of A Conditional International Asset Pricing Model For Us Japanese And European Stock And Government Bond Markets written by Tom Arild Fearnley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
The dissertation consists of three papers dedicated to empirical tests of a multivariate conditional international Capital Asset Pricing Model (CAPM). The aim is to evaluate to what extent such a model can explain stock and government bond returns in the US, Japan and Europe over the last 10 to 15 years, and whether the model can be usefully employed in global tactical asset allocation. The starting point is the international CAPM of Adler and Dumas (1983), which is made conditional through a multivariate GARCH-in-mean specification. The additional assumption that local inflation rates are zero or deterministic reduces inflation risk premia to currency risk premia. Data are analyzed at weekly frequency. The first paper introduces regime switching GARCH parameters. The second paper adds government bonds to the analysis, and evaluates four different models for the price of market risk. The third paper introduces regime switching prices of risk and intercept terms.
Multifactor Consumption Based Asset Pricing Models Using The Us Stock Market As A Reference
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Author : John Hunter
language : en
Publisher:
Release Date : 2014
Multifactor Consumption Based Asset Pricing Models Using The Us Stock Market As A Reference written by John Hunter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
In this paper we extend the time series analysis to the panel frame-work to test the C-CAPM driven by wealth references for developed countries. Speciጿically, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel model with two-way error components. The empirical fiijndings of this two-factor model with various speciጿications all indicate that there is signiጿicant unobserved heterogeneity captured by cross-country ጿixed effects when consumption growth is treated as a common factor, of which the average risk aversion coefficient is 4.285. However, the cross-sectional impact of home consumption growth varies dramatically over the countries, where unobserved heterogeneity of risk aversion can also be addressed by random effects.
Essays On Empirical Asset Pricing
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Author : Xiang Zhang
language : en
Publisher:
Release Date : 2013
Essays On Empirical Asset Pricing written by Xiang Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This thesis consists of three essays on empirical asset pricing around three themes: evaluating linear factor asset pricing models by comparing their misspecified measures, understanding the long-run risk on consumption-leisure to investigate their pricing performances on cross-sectional returns, and evaluating conditional asset pricing models by using the methodology of dynamic cross-sectional regressions. The first chapter is ̀̀Comparing Asset Pricing Models: What does the Hansen-Jagannathan Distance Tell Us?''. It compares the relative performance of some important linear asset pricing models based on the Hansen-Jagannathan (HJ) distance using data over a long sample period from 1952-2011 based on U.S. market. The main results are as follows: first, among return-based linear models, the Fama-French (1993) five-factor model performs best in terms of the normalized pricing errors, compared with the other candidates. On the other hand, the macro-factor model of Chen, Roll, and Ross (1986) five-factor is not able to explain industry portfolios: its performance is even worse than that of the classical CAPM. Second, the Yogo (2006) non-durable and durable consumption model is the least misspecified, among consumption-based asset pricing models, in capturing the spread in industry and size portfolios. Third, the Lettau and Ludvigson (2002) scaled consumption-based CAPM (C-CAPM) model obtains the smallest normalized pricing errors pricing gross and excess returns on size portfolios, respectively, while Santos and Veronesi (2006) scaled C-CAPM model does better in explain the return spread on portfolios of U.S. government bonds. The second chapter (̀̀Leisure, Consumption and Long Run Risk: An Empirical Evaluation'') uses a long-run risk model with non-separable leisure and consumption, and studies its ability to price equity returns on a variety of portfolios of U.S. stocks using data from 1948-2011. It builds on early work by Eichenbaum et al. (1988) that explores the empirical properties of intertemporal asset pricing models where the representative agent has utility over consumption and leisure. Here we use the framework in Uhlig (2007) that allows for a stochastic discount factor with news about long-run growth in consumption and leisure. To evaluate our long-run model, we assess its performance relative to standard asset pricing models in explaining the cross-section of returns across size, industry and value-growth portfolios. We find that the long-run consumption-leisure model cannot be rejected by the J-statistic and it does better than the standard C-CAPM, the Yogo durable consumption and Fama-French three-factor models. We also rank the normalized pricing errors using the HJ distance: our model has a smaller HJ distance than other candidate models. Our paper is the first, as far as we are aware, to use leisure data with adjusted working hours as a measure of leisure i.e., defined as the difference between a fixed time endowment and the observable hours spent on working, home production, schooling, communication, and personal care (Yang (2010)). The third essay: ̀̀Empirical Evaluation of Conditional Asset Pricing Models: An Economic Perspective'' uses dynamic Fama-MacBeth cross-sectional regressions and tests the performance of several important conditional asset pricing models when allowing for time-varying price of risk. It compares the performance of conditional asset pricing models, in terms of their ability to explain the cross-section of returns across momentum, industry, value-growth and government bond portfolios. We use the new methodology introduced by Adrian et al. (2012). Our main results are as follows: first we find that the Lettau and Ludvigson (2001) conditional model does better than other models in explaining the cross-section of momentum and value-growth portfolios. Second we find that the Piazessi et al. (2007) consumption model does better than others in pricing the cross-section of industry portfolios. Finally, we find that in the case of the cross-section of risk premia on U.S. government bond portfolios the conditional model in Santos and Veronesi (2006) outperforms other candidate models. Overall, however, the Lettau and Ludvigson (2001) model does better than other candidate models. Our main contributions here is using a recently developed method of dynamic Fama-MacBeth regressions to evaluate the performance of leading conditional CAPM (C-CAPM) models in a common set of test assets over the time period from 1951-2012.
Multifactor Asset Pricing Analysis Of International Value Investment Strategies
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Author : John A. Doukas
language : en
Publisher:
Release Date : 1998
Multifactor Asset Pricing Analysis Of International Value Investment Strategies written by John A. Doukas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Using a large international equity market database that has not been previously used for such a purpose, this paper documents that value (i.e., high book-to-market ) stocks outperform growth (i.e., low book-to-market ) stocks, on average, in most countries during the January 1975 - December 1995 period, both absolutely and after adjusting for risk. The international evidence confirms the findings of previous work reported for the U.S.. For 1975-1995, the annual difference between the average returns on portfolios of high and low book-to-market stocks is 12.94% in North America, 10.42% in Europe, 17.26% in Pacific-Rim per year, and value stocks outperform growth stocks in 17 out of 18 national capital markets. Our analysis also shows that a three-factor model explains most of the cross-sectional variation in average returns on industry portfolios across countries and that the superior performance of the value investing strategy, documented in this study, is a manifestation of size and book-to-market effects. These results are consistent with those reported by Fama and French (1994, 1996) that show that the value-growth pattern in stock returns is largely explained by a three-factor asset pricing model. Our results suggest that the Fama and French (1996) three-factor asset pricing model is not limited to the U.S. stock market.
Asset Pricing Models And Anomalies
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Author : Arber Demaj
language : en
Publisher:
Release Date : 2018
Asset Pricing Models And Anomalies written by Arber Demaj and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
In this paper, we find noticeable relationships between traditional factors, with evidence in favor of the B/M effect and little for the size effect. Using the Fama-Macbeth procedure, we find that the market risk premium is significantly positive, whereas the size factor is significantly negative. There is no evidence of a low volatility effect, the momentum effect is persistent and low dividend yield firms outperform firms with high dividend yields. Using the Chi-squared and GRS test, we find that the inclusion of various risk factors does lead to a fairly high proportion of variability of stock returns being explained. It also shows that the models suffer from significant pricing errors. Furthermore, the rank restriction test shows that there are several irrelevant risk factors, and most of the models used in this paper don't pass the HJ-distance test nor the LM test, except for the CAPM specification. Lastly, low volatility is priced, whereas momentum and dividend yield are not.
An Empirical Study Of Capital Asset Pricing Model And Fama French Three Factor Model
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Author : Soo Woo Choi
language : en
Publisher:
Release Date : 2017
An Empirical Study Of Capital Asset Pricing Model And Fama French Three Factor Model written by Soo Woo Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The thesis tests performances of Capital Asset Pricing Model and Fama-French Three-Factor Model. Through an empirical study on the US stocks from January 2000 to August 2017, the thesis demonstrates that Fama-French Three-Factor model performs better than Capital Asset Pricing Model.
