Search Results - subject:"factor pricing models"

Dissecando anomalias com o modelo de cinco fatores para mercado acionário brasileiro

Garcia, Alexandre Schwinden; Santos, André A. P. - In: Revista Brasileira de Finanças : RBFin 16 (2018) 1, pp. 81-122

Persistent link: https://www.econbiz.de/10012122610

Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta

Novak, Jiri - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 2, pp. 167-190

We make two methodological modifications to the method of testing CAPM beta and we show that these significantly affect inferences about the association between CAPM beta and stock returns. While the conventional beta proxy is indeed largely unrelated to realized stock returns (in fact the...

Persistent link: https://www.econbiz.de/10011240299

A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS

Peñaranda, Francisco; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2010

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regrassion and SDF methods …

Persistent link: https://www.econbiz.de/10008548739

A unifying approach to the empirical evaluation of asset pricing models

Peñaranda, Francisco; Sentana, Enrique - Department of Economics and Business, Universitat … - 2010

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods …

Persistent link: https://www.econbiz.de/10008560467