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  • Search: subject:"Beta pricing models"
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Year of publication
Subject
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CAPM 6 kernel regression 6 nonparametric estimation 6 partitioning 6 portfolio sorting 6 Beta pricing models 5 Beta risk 4 Betafaktor 4 Estimation 4 Estimation theory 4 Nichtparametrisches Verfahren 4 Nonparametric statistics 4 Portfolio selection 4 Portfolio-Management 4 Schätztheorie 4 Schätzung 4 beta pricing models 4 smoothly-varying coefficients 4 Nichtparametrische Schätzung 3 Nonparametric estimation 3 Regression analysis 3 Regressionsanalyse 3 Factor analysis 2 Faktorenanalyse 2 Fama-MacBeth variance estimator 2 Fama–French three-factor model 2 Theorie 2 Theory 2 smoothly varying coefficients 2 Beta Pricing Models 1 Börsenkurs 1 Conditional beta pricing models 1 Correlation 1 Discounting 1 Diskontierung 1 Evaluation of Factor Models 1 Evaluation of factor models 1 Kernel estimation 1 Korrelation 1 Locally stationary processes 1
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Online availability
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Free 7 Undetermined 2
Type of publication
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Book / Working Paper 7 Article 4
Type of publication (narrower categories)
All
Working Paper 6 Arbeitspapier 3 Article in journal 3 Aufsatz in Zeitschrift 3 Graue Literatur 3 Non-commercial literature 3
Language
All
English 9 Undetermined 2
Author
All
Cattaneo, Matias D. 6 Crump, Richard K. 6 Wang, Weining 6 Ferreira, Eva 2 Rubio, Gonzalo 2 Esteban, María Victoria 1 Gil-Bazo, Javier 1 Lozano, Martin 1 Lozano-Banda, Martín 1 Orbe, Susan 1 Orbe-Mandaluniz, Susan 1 Zhang, Chu 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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CEMMAP working papers / Centre for Microdata Methods and Practice 2 cemmap working paper 2 Applied economics 1 Journal of Banking & Finance 1 Journal of empirical finance 1 MPRA Paper 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 Staff Reports 1 Staff reports / Federal Reserve Bank of New York 1
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Source
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ECONIS (ZBW) 6 EconStor 3 RePEc 2
Showing 1 - 10 of 11
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2024
Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their econometric properties in contrast to...
Persistent link: https://www.econbiz.de/10015124982
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2024
Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their econometric properties in contrast to...
Persistent link: https://www.econbiz.de/10015123509
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023
Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...
Persistent link: https://www.econbiz.de/10014480362
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023
Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...
Persistent link: https://www.econbiz.de/10014480562
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023
Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...
Persistent link: https://www.econbiz.de/10014330367
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023
Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...
Persistent link: https://www.econbiz.de/10014333333
Saved in:
Cover Image
Testing pricing errors of models with latent factors and firm characteristics as covariances
Zhang, Chu - In: Management science : journal of the Institute for … 70 (2024) 3, pp. 1706-1728
Persistent link: https://www.econbiz.de/10014515107
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Evaluating alternative methods for testing asset pricing models with historical data
Rubio, Gonzalo; Lozano, Martin - Volkswirtschaftliche Fakultät, … - 2009
We follow the correct Jagannathan and Wang (2002) framework for comparing the estimates and specification tests of the classical Beta and Stochastic Discount Factor/Generalized Method of Moments (SDF/GMM) methods. We extend previous studies by considering not only single but also multifactor...
Persistent link: https://www.econbiz.de/10008557279
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Nonparametric methods for estimating and testing for constant betas in asset pricing models
Esteban, María Victoria; Ferreira, Eva; … - In: Applied economics 47 (2015) 25/27, pp. 2577-2607
Persistent link: https://www.econbiz.de/10010519653
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Conditional beta pricing models: A nonparametric approach
Ferreira, Eva; Gil-Bazo, Javier; Orbe, Susan - In: Journal of Banking & Finance 35 (2011) 12, pp. 3362-3382
We propose a two-stage procedure to estimate conditional beta pricing models that allows for flexibility in the …
Persistent link: https://www.econbiz.de/10010577995
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