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Conditionally parametric fits for CAPM betas

Abberger, Klaus - 2004

The CAPM model assumes stock returns to be a linear function of the market return. However, there is considerable …

Persistent link: https://www.econbiz.de/10010263422

Selectivity, Market Timing and the Morningstar Star-Rating System

Antypas, Antonios; Caporale, Guglielmo Maria; … - 2009

This paper evaluates the Morningstar mutual fund ranking system. We find that indeed higher Morningstar ratings are associated with higher returns on the portfolios including respectively five-, four-, three-, two- and one-star funds only (STAR5 to STAR1). We then perform an unconditional and...

Persistent link: https://www.econbiz.de/10010264584

Selectivity, market timing and the Morningstar star-rating system

Antypas, Antonios; Caporale, Guglielmo Maria; … - 2009

Persistent link: https://www.econbiz.de/10010271130

The stable long-run CAPM and the cross-section of expected returns

Kim, Jeong-Ryeol - 2002

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …

Persistent link: https://www.econbiz.de/10010295722

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10010295747

The Effect of CSR on Stock Performance: New Evidence for the USA and Europe

von Arx, Urs; Ziegler, Andreas - 2008

This paper provides new empirical evidence for the effect of corporate social responsibility (CSR) on corporate financial performance. In contrast to former studies, we examine two different regions, namely the USA and Europe. Our econometric analysis shows that environmental and social...

Persistent link: https://www.econbiz.de/10011753149

Mean-Variance Efficiency and Intertemporal Price for Risk

Leitner, Johannes - 2000

In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance opti- mal martingale measure divided by the zero bond price. We show the Hedging Numeraire to equal the Market Portfolio...

Persistent link: https://www.econbiz.de/10010324061

Heterogeneity of Investors and Asset Pricing in a Risk-Value World

Franke, Günter; Weber, Martin - 2001

Persistent link: https://www.econbiz.de/10010324093

The Stochastic Volatility in Mean Model

Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...

Persistent link: https://www.econbiz.de/10010324578

Time-Varying Market Integration and Expected Returns in Emerging Markets

de Jong, Frank; de Roon, Frans A. - 2001

We use a simple model in which the expected returns in emerging markets depend on their systematicrisk as measured by their beta relative to the world portfolio as well as on the level ofintegration in that market. The level of integration is a time-varying variable that depends on themarket...

Persistent link: https://www.econbiz.de/10010324738