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Estimating and testing beta pricing models on industries

Hammami, Yacine; Lindahl, Anna - In: Journal of economics & business 69 (2013), pp. 45-63

Persistent link: https://www.econbiz.de/10010236663

Testing conditional factor models

Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156

Persistent link: https://www.econbiz.de/10009666667

Cross-sectional regression of returns on betas and portfolio grouping procedures

Hur, Jungshik; Kumar, Raman; Vivek Singh - In: International journal of business and systems research 8 (2014) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010423288

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Ex-post risk premia estimation and asset pricing tests using large cross sections : the regression-calibration approach

Kim, Soohun; Skoulakis, Georgios - In: Journal of econometrics 204 (2018) 2, pp. 159-188

Persistent link: https://www.econbiz.de/10011974727

Semiparametric estimation of risk-return relationships

Escanciano, Juan Carlos; Pardo-Fernández, Juan Carlos; … - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10011704099

Mean-variance optimization using forward-looking return estimates

Bielstein, Patrick; Hanauer, Matthias - In: Review of quantitative finance and accounting 52 (2019) 3, pp. 815-840

Persistent link: https://www.econbiz.de/10012171735

On the market price of risk

Korkie, Robert M.; Turtle, Harry J. - In: Mathematics and financial economics 15 (2021) 4, pp. 675-718

Persistent link: https://www.econbiz.de/10012616854

Long- and short-run components of factor betas : implications for stock pricing

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - In: Journal of international financial markets, … 74 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012803274

Robust inference in the capital asset pricing model using the multivariate t-distribution

Galea, Manuel; Cademártori Rosso, David; Curci, Roberto; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/123, pp. 1-22

objective of this work is to develop statistical inference tools, such as parameter estimation and linear hypothesis tests in … asset pricing models, with an emphasis on the Capital Asset Pricing Model (CAPM). An extension of the CAPM, the Multifactor …

Persistent link: https://www.econbiz.de/10012309041