Search Results - subject:"Multifactor Models"

Evaluating conditional asset pricing models for the German stock market

Schrimpf, Andreas; Schröder, Michael; Stehle, Richard - 2006

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...

Persistent link: https://www.econbiz.de/10010297814

Evaluating conditional asset pricing models for the German stock market

Schrimpf, Andreas; Schröder, Michael; Stehle, Richard - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2006

Persistent link: https://www.econbiz.de/10005098145

Intertemporal CAPM with Conditioning Variables

Maio, Paulo - In: Management Science 59 (2013) 1, pp. 122-141

This paper derives and tests an intertemporal capital asset pricing model (ICAPM) based on a conditional version of the Campbell-Vuolteenaho two-beta ICAPM (bad beta, good beta (BBGB)). The novel factor is a scaled cash-flow factor that results from the interaction between cash-flow news and a...

Persistent link: https://www.econbiz.de/10010990613

VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation

Lin, Yueh-Neng - In: Journal of Banking & Finance 37 (2013) 11, pp. 4432-4446

This study integrates CBOE VIX Term Structure and VIX futures to simplify VIX option pricing in multifactor models …

Persistent link: https://www.econbiz.de/10010703250

Mutual fund performance in Tunisia: A multivariate GARCH approach

Hammami, Yacine; Jilani, Faouzi; Oueslati, Abdelmonem - In: Research in International Business and Finance 29 (2013) C, pp. 35-51

This article investigates mutual fund performance in the Tunisian capital market using conditional multifactor models …

Persistent link: https://www.econbiz.de/10010665764

Return decomposition and the Intertemporal CAPM

Maio, Paulo - In: Journal of Banking & Finance 37 (2013) 12, pp. 4958-4972

numerous multifactor models. This paper shows that the explanatory power of the ICAPM application by Campbell and Vuolteenaho …

Persistent link: https://www.econbiz.de/10010709508

Mutual fund performance in Tunisia : a multivariate GARCH approach

Hammami, Yacine; Jilani, Faouzi; Oueslati, Abdelmonem - In: Research in international business and finance 29 (2013), pp. 35-51

Persistent link: https://www.econbiz.de/10009759915

VIX option pricing and CBOE VIX Term Structure : a new methodology for volatility derivatives valuation

Lin, Yueh-neng - In: Journal of banking & finance 37 (2013) 11, pp. 4432-4446

Persistent link: https://www.econbiz.de/10010247020

Estructura financiera de la empresa y valoración de activos en el mercado bursátil español

Miralles Marcelo, José Luis; Miralles-Quirós, María … - In: Spanish journal of finance and accounting 42 (2013) 160, pp. 561-589

Persistent link: https://www.econbiz.de/10010348497

Fractional Cointegration Analysis of Securitized Real Estate

Serrano, Camilo; Hoesli, Martin - In: The Journal of Real Estate Finance and Economics 44 (2012) 3, pp. 319-338

Persistent link: https://www.econbiz.de/10010866944