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Barillas, Francisco - 2017

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

Comparing asset pricing models

Barillas, Francisco; Shanken, Jay - 2015

Persistent link: https://www.econbiz.de/10011428008

Comparing Asset Pricing Models

Barillas, Francisco - 2015

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

Comparing Asset Pricing Models

Barillas, Francisco - 2015

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

Global Convergence of Health Care Financing in OECD Countries : An Equilibrium Based Asset Pricing Approach

Pratt, William R. - 2014

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

A Comparison of the Forecasting Ability of Immediate Price Impact Models

Pham, Manh Cuong - 2015

As a consequence of recent technological advances and the proliferation of algorithmic and high frequency trading, the cost of trading in financial markets has irrevocably changed. One important change relates to how trading affects prices; known as price impact. Price impact represents the...

Persistent link: https://www.econbiz.de/10013032055

Which Alpha?

Barillas, Francisco - 2016

, 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

A Likelihood-Based Comparison of Macro Asset Pricing Models

Chen, Andrew Y.; Wasyk, Rebecca; Winkler, Fabian - 2017

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

Short Selling in Emerging Markets : A Comparison of Market Performance During the Global Financial Crisis

Fantazzini, Dean - 2011

This chapter reviews short selling practices in emerging markets and market performances during the global financial crisis. In contrast to developed markets, many emerging countries do not permit short selling, which can pose severe limitations on market liquidity. We compare market volatility,...

Persistent link: https://www.econbiz.de/10013118429

Value Premium Across Countries

Kim, Daehwan - 2014

Value premium varies substantially across countries. We explore whether the inter-country cross-sectional variation in value premium can be predicted by those variables known to predict the intra-country time-variation in value premium. After examining data from 23 developed markets and 13...

Persistent link: https://www.econbiz.de/10013066629