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Guermat, Cherif - In: Journal of Banking & Finance 46 (2014) C, pp. 31-42

It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are … has led many to express serious doubt on the testability of the CAPM. In this paper I show that the CAPM is indeed … the CAPM. The first step uses a simple combination of the coefficients of determination from both Ordinary Least Squares …

Persistent link: https://www.econbiz.de/10010907096

Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices

Perron, Pierre; Chun, Sungju; Vodounou, Cosme - In: Journal of Empirical Finance 20 (2013) C, pp. 42-62

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The discrete time representation of the...

Persistent link: https://www.econbiz.de/10011042120

Testing for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2011

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

Persistent link: https://www.econbiz.de/10009019148

Yield Curve Smoothing and Residual Variance of Fixed Income Positions.

Douady, Raphaël - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

We model the yield curve in any given country as an object lying in an infinite-dimensional Hilbert space, the evolution of which is driven by what is known as a cylindrical Brownian motion. We assume that volatilities and correlations do not depend on rates (which hence are Gaussian). We prove...

Persistent link: https://www.econbiz.de/10011123703

Towards a General Theory of Good Deal Bounds

Björk, Tomas; Slinko, Irina - Economics Institute for Research (SIR), … - 2004

Merton jump-diffusion model. As a by product of the general theory we also extend the Hansen-Jagannathan bounds for the …

Persistent link: https://www.econbiz.de/10005771162

A Multivariate Analysis of Factors Affecting Stock Returns on the JSE

Chimanga, Artwell; Kotze, Danelle - In: The African Finance Journal 11 (2009) 2, pp. 80-96

This study examines the factors that explain the return generating process of stocks listed on the JSE. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly multivariate factor analysis techniques. The paper further explores the sensitivities of the factors...

Persistent link: https://www.econbiz.de/10008467138

Characterization of arbitrage-free market

Henclová, Alena - In: Bulletin of the Czech Econometric Society 10 (2003)

King and Korf [4] introduced a new framework for analyzing pricing theory for incomplete markets and contingent claims …

Persistent link: https://www.econbiz.de/10008473454

The Meiselman forward interest rate revision regression as an Affine Term Structure Model

Golinski, Adam; Spencer, Peter - Department of Economics and Related Studies, University … - 2012

We adapt the Meiselman (1962) OLS forward rate revision framework to obtain the discrete time analogue of the Heath, Jarrow and Morton (1992) specification and use it for estimating and testing term structure models. Our framework is based upon the Wold representation of the factor dynamics and...

Persistent link: https://www.econbiz.de/10011133567

Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach

Benlagha, Noureddine - In: Review of Economics & Finance 4 (2014) November, pp. 49-60

This paper investigates the behavior of volatility linkage between nominal and indexlinked bond returns using a multivariate BEKK-GARCH approach. Based on daily return data for French bonds with different maturity dates and different reference indices, our analysis reveals two empirical...

Persistent link: https://www.econbiz.de/10011096968

The Economics of Bitcoins - Market Characteristics and Price Jumps

Gronwald, Marc - CESifo - 2014

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10011099050