Search Results - subject:"multifactor asset pricing model"

Robust inference in the capital asset pricing model using the multivariate t-distribution

Galea, Manuel; Cademártori Rosso, David; Curci, Roberto; … - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-22

Asset Pricing Model (MAPM), is also discussed. A simple algorithm to estimate the model parameters, including the kurtosis … asset pricing models, with an emphasis on the Capital Asset Pricing Model (CAPM). An extension of the CAPM, the Multifactor …

Persistent link: https://www.econbiz.de/10012611352

Robust inference in the capital asset pricing model using the multivariate t-distribution

Galea, Manuel; Cademártori Rosso, David; Curci, Roberto; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/123, pp. 1-22

Persistent link: https://www.econbiz.de/10012309041

The Death of the Overreaction Anomaly? A Multifactor Explanation of Contrarian Returns

Clements, Adam; Drew, Michael E.; Reedman, Evan M. - School of Economics and Finance, Business School - 2007

Are the returns accruing to De Bondt and Thaler’s (1985) (DT) much celebrated overreaction anomaly pervasive? Using the CRSP data set used by for the period 1926 through 1982, and, for the first time, an additional two decades of data (1983 through 2003), we provide preliminary support for the...

Persistent link: https://www.econbiz.de/10005416611

Keeping up with the Joneses: An international asset pricing model

Gómez, Juan-Pedro; Priestly, Richard; Zapatero, Fernando - Department of Economics and Business, Universitat … - 2003

We derive an international asset pricing model that assumes local investors have preferences of the type "keeping up with the Joneses." In an international setting investors compare their current wealth with that of their peers who live in the same country. In the process of inferring the...

Persistent link: https://www.econbiz.de/10005771993