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The Pricing of Risk-Neutral Systematic Moments in the Cross-Section of Expected Returns
DeLisle, Jared - 2011
only positive skewness changes is inconsistent with the predictions of prospect theory …
Persistent link: https://www.econbiz.de/10013131884
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Testing Self-Affinity of Stock Returns
Bianchi, Sergio - 2011
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
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
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
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; 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 …
Persistent link: https://www.econbiz.de/10001731828
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Testing Asset Pricing Models on Individual Stocks
Clarke, Charles; Momeni Shahraki, Morteza - 2021
CAPM describes the population, our tests (correctly) reject the Fama and French (2015) six factor model 97.5% of the time …, while our tests (incorrectly) reject the CAPM less than 5%. We apply our tests to several leading factor models and reject …
Persistent link: https://www.econbiz.de/10013230654
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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - 2013
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10009746573
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Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models
Conrad, Christian; Mammen, Enno - 2008
kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …
Persistent link: https://www.econbiz.de/10003747376
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; 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/10011431982
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Testing Factor Models in the Cross-Section
Hollstein, Fabian; Prokopczuk, Marcel - 2021
We confront prominent asset pricing models with the classical out-of-sample cross-sectional test of Fama and MacBeth (1973). For all models, we uncover three main findings: (i) the intercept coefficients are economically large and highly statistically significant; (ii) the cross-sectional factor...
Persistent link: https://www.econbiz.de/10013212205
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An Economic Specification Test of Asset Pricing Models with A Large Number of Assets
He, Ai - 2020
We find a pricing error profitability pattern for well-known asset pricing models: the CAPM, Fama-French, Hou … sentiment, limits-to-arbitrage, prospect theory, and expectation extrapolation, suggesting that new factors are needed to better …
Persistent link: https://www.econbiz.de/10012852651