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Estimation and evaluation of conditional asset pricing models

Nagel, Stefan; Singleton, Kenneth J. - 2010

"We find that several recently proposed consumption-based models of stock returns, when evaluated using an optimal set of managed portfolios and the associated model-implied conditional moment restrictions, fail to capture key features of risk premiums in equity markets. To arrive at these...

Persistent link: https://www.econbiz.de/10008697793

Empirical asset pricing : models and methods

Ferson, Wayne E. - 2019

) -- Applications of m-talk -- The three paradigms of empirical asset pricing -- Mean-variance models -- Mean efficiency and the capm … methods and multiple comparisons -- Investment performance evaluation -- Classical investment performance evaluation … -- Conditional investment performance evaluation -- Term structure and bond fund performance -- Investment performance evaluation: a …

Persistent link: https://www.econbiz.de/10011877316

Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt

Schneider, Sebastian - 2001

Persistent link: https://www.econbiz.de/10001530439

Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments

Berényi, Zsolt Endre - 2003

Persistent link: https://www.econbiz.de/10001754325

Portfoliooptimierung unter Berücksichtigung höherer Momente

Guse, Frank - 2005 - 1. Aufl.

Persistent link: https://www.econbiz.de/10013433016

Spanning tests in return and stochastic discount factor mean-variance frontiers : a unifying approach

Peñaranda, Francisco; Sentana, Enrique - 2004

Persistent link: https://www.econbiz.de/10002506252

Spanning tests in return and stochastic discount factor mean-variance frontiers : a unifying approach

Peñaranda, Francisco; Sentana, Enrique - 2004

Persistent link: https://www.econbiz.de/10002410361

Spanning tests in return and stochastic discount factor mean-variance frontiers : a unifying approach

Peñaranda, Francisco; Sentana, Enrique - 2004

Persistent link: https://www.econbiz.de/10002123665

Prices and portfolio choices in financial markets : theory and experiment

Bossaerts, Peter L. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002733739

Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns

Stöckl, Sebastian - 2016

In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns. Adding to the work of Maio (2016), who finds cross-sectional volatility to forecast a decline in the equity premium with high predictive power in-sample as well as...

Persistent link: https://www.econbiz.de/10012996822