Showing 1 - 10 of 717,017
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
We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete market framework, this stochastic control problem can be formulated as a composite pure hypothesis testing problem....
Persistent link: https://www.econbiz.de/10013035801
It has been in the literature since 1963 when Mandelbrot published The Variation of Certain Speculative Prices that returns on equity securities have heavy tails. In a 2014 article, Harris derives a mathematical reason these tails must be heavy. This proof in turn excludes mean-variance finance...
Persistent link: https://www.econbiz.de/10012937007
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
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