Search Results - subject:"pricing errors"

Lettau, Martin; Ludvigson, Sydney - In: Review of Economic Dynamics 12 (2009) 2, pp. 255-283

rationalize its large pricing errors. We evaluate whether four newer theories at the vanguard of consumption-based asset pricing …

Persistent link: https://www.econbiz.de/10005085601

Testing the APT with the Maximum Sharpe Ratio of Extracted Factors

Zhang, Chu - In: Management Science 55 (2009) 7, pp. 1255-1266

systematic factors as given. This paper also examines the magnitude of pricing errors bounded partly by the maximum squared …

Persistent link: https://www.econbiz.de/10009198254

Implicit Bayesian Inference Using Option Prices.

Martin, G.M.; Forbes, C.S.; Martin, V.L. - Department of Econometrics and Business Statistics, … - 2000

A Bayesian approach to option pricing is presented, in which posterior inference about the underlying returns process is conducted implicitly, via observed option prices. A range of models which allow for conditional leptokurtosis, skewness and time-varying volatility in returns, are considered,...

Persistent link: https://www.econbiz.de/10005427634

Trading strategies based on term structure model residuals

Jankowitsch, Rainer; Nettekoven, Michaela - In: The European Journal of Finance 14 (2008) 4, pp. 281-298

forward interest rates: Sweden 1992-1994, IMF Working Paper, International Monetary Fund, report significant pricing errors in … their sample. So an important question is what drives these pricing errors of the bonds. One simple explanation would be … pricing errors. Therefore, these errors must be at least partially caused by either model misspecification or by the deviation …

Persistent link: https://www.econbiz.de/10005471846

Improving the asset pricing ability of the Consumption-Capital Asset Pricing Model?

Rasmussen, Anne-Sofie Reng - Ehrvervøkonomisk Institut, Institut for Økonomi - 2006

Ludvigson (2001a), as scaling variable. The models are estimated on US data and the resulting pricing errors are compared using … average pricing errors and a number of composite pricing error measures. The conditional C-CAPM and the two beta I-CAPM of … Campbell and Vuolteenaho (2004) result in pricing errors of approximately the same size, both average and composite. Thus …

Persistent link: https://www.econbiz.de/10005802546

Euler Equation Errors

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2005

consumption and returns, such a kernel will not rationalize the magnitude of the pricing errors generated by the standard model … provide one example of a limited participation/incomplete markets model capable of explaining larger pricing errors for the …

Persistent link: https://www.econbiz.de/10005504372

Euler Equation Errors

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2005

Among the most important pieces of empirical evidence against the standard representative-agent, consumption-based asset pricing paradigm are the formidable unconditional Euler equation errors the model produces for a broad stock market index return and short-term interest rate. Unconditional...

Persistent link: https://www.econbiz.de/10005791515

Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach.

Engsted, Tom; Mammen, Enno; Tanggaard, Carsten - Ehrvervøkonomisk Institut, Institut for Økonomi - 2000

statistics used. Among other things, our approach allows testing the hypothesis of no pricing errors based on the Hansen and … pricing errors, when we account properly (using the bootstrap approach) for sampling error, there is no evidence against the C …

Persistent link: https://www.econbiz.de/10005802129