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A Bayesian asset pricing test is derived that is easily computed in closed form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure that permits the computation of model probabilities for the collection of all possible pricing models that...
Persistent link: https://www.econbiz.de/10012970802
only positive skewness changes is inconsistent with the predictions of prospect theory …
Persistent link: https://www.econbiz.de/10013131884
Persistent link: https://www.econbiz.de/10011428008
set of candidate traded factors, we develop a related test procedure that permits an analysis of model comparison, i …
Persistent link: https://www.econbiz.de/10012456900
set of candidate traded factors, we develop a related test procedure that permits an analysis of model comparison, i …
Persistent link: https://www.econbiz.de/10013010720
somewhat of a unique pattern. However, based on the benchmark theoretical price generated by CAPM overpricing (the difference … health care occurs at varying speeds in the U.S. and other OECD countries and trading blocks. Lastly, the CAPM predicted …
Persistent link: https://www.econbiz.de/10013050604
Given the process {X(t), t in T}, the definition of self-affinity is reformulated in terms of diameter of the space of the rescaled pdf's of X(t). Two necessary conditions are deduced which contribute to discriminate uniscaling processes. Furthermore, by properly choosing the distance, the...
Persistent link: https://www.econbiz.de/10013122376
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
, we show that for models with traded factors, when the comparison is framed appropriately in terms of success in pricing … what matters for model comparison. Test assets are irrelevant based on several prominent criteria. For models with … nontraded factors, test assets are relevant for model comparison insofar as they are needed to identify factor mimicking …
Persistent link: https://www.econbiz.de/10013004677
We estimate asset pricing models with multiple risks: long-run growth, long-run volatility, habit, and a residual. The Bayesian estimation accounts for the entire likelihood of consumption, dividends, and the price-dividend ratio. We find that the residual represents at least 80% of the variance...
Persistent link: https://www.econbiz.de/10014352398