Search Results - subject:"Multifactor Models"

Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables

SERRANO, Camilo; HOESLI, Martin - 2009

Securitized real estate returns have traditionally been forecasted using economic variables. However, no consensus exists regarding the variables to use. Financial and real estate factors have recently emerged as an alternative set of variables useful in forecasting securitized real estate...

Persistent link: https://www.econbiz.de/10005258360

CDO Pricing with Copulae

Choros, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

approach outperforms the standard market pricing procedure based on the Gaussian distribution. Keywords: CDO, CDS, multifactor … models, multivariate distributions, Copulae, correlation smile. JEL classification: C14, G12, G13 ∗The financial support from …

Persistent link: https://www.econbiz.de/10005207938

Empirical risk factors in realized stock returns

Novák, Jiří; Petr, Dalibor - 2009

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...

Persistent link: https://www.econbiz.de/10010322253

Empirical Risk Factors in Realized Stock Returns

Novak, Jiri; Petr, Dalibor - Institut ekonomických studií, Univerzita Karlova v Praze - 2009

Persistent link: https://www.econbiz.de/10008558906

Idiosyncratic volatility, momentum, liquidity, and expected stock returns in developed and emerging markets

Switzer, Lorne N.; Picard, Alan - In: Multinational finance journal : MF ; quarterly … 19 (2015) 3/4, pp. 169-221

Persistent link: https://www.econbiz.de/10011434211

Value, size, momentum, and unique role of microcaps in CEE market stock returns

Zaremba, Adam - In: Eastern European economics 53 (2015) 3, pp. 221-241

Persistent link: https://www.econbiz.de/10011373707

Multifactor models and their consistency with the ICAPM : evidence from the European stock market

Lutzenberger, Fabian - In: European financial management : the journal of the … 21 (2015) 5, pp. 1014-1052

Persistent link: https://www.econbiz.de/10011408551

On comparing zero-alpha tests across multifactor asset pricing models

Moor, Lieven de; Dhaene, Geert; Sercu, Piet - In: Journal of banking & finance 61 (2015) 2, pp. 235-240

Persistent link: https://www.econbiz.de/10011586907

Multifactor risk loadings and abnormal returns under uncertainty and learning

Salotti, Simone; Trecroci, Carmine - In: The Quarterly Review of Economics and Finance 54 (2014) 3, pp. 393-404

We explore the time variation of factor loadings and abnormal returns in the context of a four-factor model. Our methodology, based on an application of the Kalman filter and on endogenous uncertainty, overcomes several limitations of competing approaches used in the literature. Besides taking...

Persistent link: https://www.econbiz.de/10010906237

Rationalizing the value premium in emerging markets

Ebrahim, M. Shahid; Girma, Sourafel; Shah, M. Eskandar; … - In: Journal of International Financial Markets, … 29 (2014) C, pp. 51-70

We reconfirm the presence of value premium in emerging markets. Using the Brazil–Turkey–India–China (BTIC) grouping during a period of substantial economic growth and stock market development, we attribute the premium to the investment patterns of glamour firms. We conjecture based on...

Persistent link: https://www.econbiz.de/10010743661