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Evaluating the Specification Errors of Asset Pricing Models

Hodrick, Robert J.; Zhang, Xiaoyan - 2021

Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996 …) conditional CAPM, the Campbell (1996) dynamic asset pricing model, the Cochrane (1996) production-based model, and the Fama …

Persistent link: https://www.econbiz.de/10013244733

Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns

Burnside, A. Craig - 2010

When excess returns are used to estimate linear stochastic discount factor (SDF) models, researchers often adopt a normalization of the SDF that sets its mean to 1, or one that sets its intercept to 1. These normalizations are often treated as equivalent, but they are subtly different both in...

Persistent link: https://www.econbiz.de/10013134862

Portfolio Inefficiency and the Cross-Section of Expected Returns

Kandel, Shmuel - 2011

A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...

Persistent link: https://www.econbiz.de/10013118691

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Belo, Frederico - 2012

Many leading asset pricing models predict that the term structures of expected returns and volatilities on dividend strips are strongly upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if these models replace their exogenously specified dividend...

Persistent link: https://www.econbiz.de/10013099417

Asset Prices, Consumption, and the Business Cycle

Campbell, John Y. - 2010

stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data …

Persistent link: https://www.econbiz.de/10012763609

Analyzing Investments Whose Histories Differ in Length

Stambaugh, Robert F. - 2010

-history assets, but for the shorter-history assets as well. To account for the remaining parameter uncertainty, or estimation risk … the value of using the combined sample of histories and accounting for estimation risk, as compared to truncating the … sample to produce equal-length histories or ignoring estimation risk by using maximum-likelihood estimates …

Persistent link: https://www.econbiz.de/10012763664

Asset Pricing in the Dark : The Cross Section of OTC Stocks

Ang, Andrew - 2013

Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared to premiums in listed markets, the OTC illiquidity...

Persistent link: https://www.econbiz.de/10013077950

Tail Risk and Asset Prices

Kelly, Bryan T.; Jiang, Hao - 2021

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures...

Persistent link: https://www.econbiz.de/10013311916

Caviar : Conditional Value at Risk by Quantile Regression

Manganelli, Simone; Engle, Robert F. - 2021

conditional on current information, we propose a new approach to quantile estimation which does not require any of the extreme … variety of dynamic processes for updating the quantile and use regression quantile estimation to determine the parameters of …

Persistent link: https://www.econbiz.de/10013218406

Disposition Matters : Volume, Volatility and Price Impact of a Behavioral Bias

Massa, Massimo; Goetzmann, William N. - 2021

In this paper, we estimate the behavioral component of the Grinblatt and Han (2002) model and derive several testable implications about the expected relationship between the preponderance of disposition-prone investors in a market and volume, volatility and stock returns. To do this, we use a...

Persistent link: https://www.econbiz.de/10013223307