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Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …

Persistent link: https://www.econbiz.de/10009535779

Investigating the asymmetric impact of oil prices on GCC stock markets

Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2020

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

Persistent link: https://www.econbiz.de/10012314956

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003985756

League-table incentives and price bubbles in experimental asset markets

Cheung, Stephen L.; Coleman, Andrew - 2011

We study experimental markets in which participants face incentives modeled upon those prevailing in markets for managed funds. Each participant's portfolio is periodically evaluated at market value and ranked in a league table according to short-term paper returns. Those who rank highly attract...

Persistent link: https://www.econbiz.de/10009306962

Give me your wired and your highly skilled : measuring the impact of immigration policy on employers and shareholders

Lin, Carl - 2011

The paper links finance theory to labor economics and political economy in the context of migration and immigration policy. Most research treating the impact of immigration has focused on the consequences for employees as measured by wages, earnings, and employment. Less is known about the...

Persistent link: https://www.econbiz.de/10009308050

Relationship between the real estate sector and the stock market in Chinese provinces

Di, Zeyu; Heshmati, Almas; Liu, Sijia - 2022

data from 2000 to 2016. Various panel unit root, co-integration, and model specification and estimation tests are carried …

Persistent link: https://www.econbiz.de/10013172898

When the market drives you crazy : stock market returns and fatal car accidents

Guilietti, Corrado; Tonin, Mirco; Vlassopoulos, Michael - 2018

The stock market influences some of the most fundamental economic decisions of investors, such as consumption, saving, and labor supply, through the financial wealth channel. This paper provides evidence that daily fluctuations in the stock market have important - and hitherto neglected -...

Persistent link: https://www.econbiz.de/10011893801

Skewness expectations and portfolio choice

Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022

Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...

Persistent link: https://www.econbiz.de/10012805556

A survey of hedge and safe havens assets against G-7 stock markets before and during the COVID-19 pandemic

Ozdemir, Huseyin; Ozdemir, Zeynel Abidin - 2021

We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the whole financial system. We use our new approach to shed light on a new perspective on a hot topic examining the safe-haven assets after Covid-19. To do that, we compare both...

Persistent link: https://www.econbiz.de/10012705552

Higher-order beliefs and risky asset holdings

Gorodnichenko, Yuriy; Yin, Xiao - 2024

We combine a customized survey and randomized controlled trial (RCT) to study the effect of higher-order beliefs on U.S. retail investors' portfolio allocations. We find that investors' higher-order beliefs about stock market returns are correlated with but distinct from their first-order...

Persistent link: https://www.econbiz.de/10014580789