Tests Of Conditional Asset Pricing Models

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Tests Of Conditional Asset Pricing Models

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Author : Ching Wang
language : en
Publisher:
Release Date : 2001

Tests Of Conditional Asset Pricing Models written by Ching Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Capital assets pricing model categories.

Tests Of Conditional Asset Pricing Models

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Author : Jing Wang
language : en
Publisher:
Release Date : 1998

Tests Of Conditional Asset Pricing Models written by Jing Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Capital assets pricing model categories.

A Dynamic Test Of Conditional Asset Pricing Models

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Author : Daniele Bianchi
language : en
Publisher:
Release Date : 2019

A Dynamic Test Of Conditional Asset Pricing Models written by Daniele Bianchi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

I use Bayesian tools to develop a dynamic testing methodology for conditional factor pricing models, in which time-varying betas, idiosyncratic risks, and factors risk premia are jointly estimated in a single step. Based on this framework, I test over fifty years of post-war monthly data some of the most common factor pricing models on size, book-to-market, and momentum deciles portfolios, both in the time series and in the cross section. The empirical results show that, a conditional specification of the recent five-factor model of Fama and French (2015) outperforms a set of theory-based competing linear pricing models along several dimensions.

Tests Of Conditional Asset Pricing Models On Finnish Stock Return Data Using Latent Variables

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Author : Mats Hansson
language : en
Publisher:
Release Date : 1996

Tests Of Conditional Asset Pricing Models On Finnish Stock Return Data Using Latent Variables written by Mats Hansson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Capital assets pricing model categories.

Testing Conditional Asset Pricing Models Using A Markov Chain Monte Carlo Approach

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Author : Manuel Ammann
language : en
Publisher:
Release Date : 2014

Testing Conditional Asset Pricing Models Using A Markov Chain Monte Carlo Approach written by Manuel Ammann 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.

We propose a new approach for the estimation of conditional asset pricing models based on a Markov Chain Monte Carlo (MCMC) approach. In contrast to existing approaches, it is truly conditional because the assumption that time variation in betas is driven by a set of conditioning variables is not necessary. Moreover, the approach has exact finite sample properties and accounts for errors-in-variables in a one-step estimation procedure. Using Samp;P 500 panel data, we analyze the empirical performance of the CAPM and the Fama and French (1993) three-factor model. We find that time-variation of betas in the CAPM and the time variation of the coefficients for the size factor (SMB) and the distress factor (HML) in the three-factor model improve the empirical performance by a similar amount. Therefore, our findings are consistent with time variation of firm-specific exposure to market risk, systematic credit risk and systematic size effects. However, a Bayesian model comparison trading off goodness of fit and model complexity indicates that the conditional CAPM performs best, followed by the conditional three-factor model, the unconditional CAPM, and the unconditional three-factor model.

Tests Of The Conditional Asset Pricing Model

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Author : Stuart Hyde
language : en
Publisher:
Release Date : 2017

Tests Of The Conditional Asset Pricing Model written by Stuart Hyde 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.

We investigate the relationship between consumption and the term structure using U.K. interest rate data. We demonstrate that the term structure contains information about future economic activity as implied by the benchmark time separable power utility consumption based capital asset pricing model (C-CAPM) since the yield spread has forecasting power for future consumption growth. Further, we analyze the ability of this benchmark and two alternative models which adopt utility functions characterized by non-separability, namely, the extension to the habit formation model of Campbell and Cochrane (1999) proposed by Wachter (2006) and the housing C-CAPM proposed by Piazzesi et al. (2007). Our findings are supportive of the habit formation specification of Wachter (2006), other models fail to yield economically plausible parameter values.

Tests Of Conditional Asset Pricing Models In The Brazilian Stock Market

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Author : Marco Bonomo
language : en
Publisher: Montréal : CIRANO
Release Date : 1997

Tests Of Conditional Asset Pricing Models In The Brazilian Stock Market written by Marco Bonomo and has been published by Montréal : CIRANO this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Capital assets pricing model categories.

Test Of Conditional Asset Pricing Models In The Brazilian Stock Market

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Author :
language : en
Publisher:
Release Date : 1997

Test Of Conditional Asset Pricing Models In The Brazilian Stock Market written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.

Linear Approximations And Tests Of Conditional Pricing Models

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Author : Michael W. Brandt
language : en
Publisher:
Release Date : 2017

Linear Approximations And Tests Of Conditional Pricing Models written by Michael W. Brandt 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.

If a nonlinear risk premium in a conditional asset pricing model is approximated with a linear function, as is commonly done in empirical research, the fitted model is misspecified. We use a generic reduced-form model economy with moderate risk premium nonlinearity to examine the size of the resulting misspecification-induced pricing errors. Pricing errors from moderate nonlinearity can be large, and a version of a test for nonlinearity based on risk premiums rather than pricing errors has reasonable power properties after properly controlling for the size of the test. We conclude by examining the importance of moderate nonlinearity in the context of the investment-specific technology shock models of Papanikolaou (2011) and Kogan and Papanikolaou (2014).

A Cross Sectional Test Of A Production Based Asset Pricing Model

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Author : John H. Cochrane
language : en
Publisher:
Release Date : 1996

A Cross Sectional Test Of A Production Based Asset Pricing Model written by John H. Cochrane and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.

This paper tests a factor pricing model for stock returns. The factors are returns on physical investment, inferred from investment data via a production function. The tests examine the model's ability to explain the variation in expected returns across assets and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll and Ross factor model, and it performs substantially better than a simple consumption-based model. In comparison tests, the investment return factors drive out all the other models. The paper also provides an easy technique for estimating and testing dynamic, conditional asset pricing models. All one has to do is include factors and returns scaled by instruments in an unconditional estimate. This procedure imposes none of the usual restrictions on conditional moments, and does not require prewhitened or orthogonalized factors.