Tests Of The Conditional Asset Pricing Model

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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.

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

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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.

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.

Testing Of The Unconditional And Conditional Capm And Three Factor Asset Pricing Model

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Author : Stephanie Yuen Heng Poon
language : en
Publisher:
Release Date : 2000

Testing Of The Unconditional And Conditional Capm And Three Factor Asset Pricing Model written by Stephanie Yuen Heng Poon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Capital assets pricing model categories.

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.

Time Varying Conditional Covariances In Tests Of Asset Pricing Models

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Author : Campbell R. Harvey
language : en
Publisher:
Release Date : 2005

Time Varying Conditional Covariances In Tests Of Asset Pricing Models written by Campbell R. Harvey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

This paper proposes tests of asset pricing models that allow for time variation in conditional covariances. The evidence indicates that the conditional covariances do change through time. Estimates of the expected excess return on the market divided by the variance of the market (reward-to-risk ratio) are presented for the Sharpe-Lintner CAPM, as well as a number of tests of the model specification. The patterns of the pricing errors through time suggest the model's inability to capture the dynamic behavior of asset returns. This is the working paper version of my 1989 Journal of Financial Economics article.

Evaluating Conditional Asset Pricing Models For The German Stock Market

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Author : Andreas Schrimpf
language : en
Publisher:
Release Date : 2008

Evaluating Conditional Asset Pricing Models For The German Stock Market written by Andreas Schrimpf and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

We study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved substantially when allowing for time-varying parameters of the stochastic discount factor. A conditional CAPM with the term spread as a conditioning variable is able to explain the cross-section of German stock returns about as well as the Fama-French model. Structural break tests do not indicate parameter instability of the model - whereas the reverse is found for the Fama-French model. Unconditional model specifications however do a better job than conditional ones at capturing time-series predictability of the test portfolio returns.

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.