asset pricing models
ASSET PRICING MODELS
... Asset pricing models describe the prices or expected rates of return of financial assets, which are claims traded in financial ...The asset pricing models of financial economics ...
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Determinants of stock prices in the Egyptian stock market: Traditional asset pricing models versus behavioural asset pricing models
... portfolio-based asset pricing tests suffer from data-snooping biases and lead to a loss of ...of asset pricing models to guard against the sensitivity of asset pricing ...
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Efficient Estimation of Conditional Asset Pricing Models
... GARCH-in-mean models when the disturbances have a distribution that is assumed to be elliptically symmetric but is otherwise ...conditional asset pricing models such as the conditional CAPM, ...
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Indian Stock Market and the Asset Pricing Models
... Asset pricing models are attempts to define the relationship between returns and ...three asset pricing models – the Capital Asset Pricing Model, the three factor ...
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Testing Asymmetric-Information Asset Pricing Models
... Theoretical asset pricing models routinely assume that investors have heterogeneous informa- ...for asset prices and investor demands using plausibly exogenous variation in the supply of ...
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Memory and Asset Pricing Models with Heterogeneous Beliefs
... Abstract The paper discusses the role of memory in asset pricing models with heterogeneous beliefs. In particular, we were interested in how memory in the fitness measure affects stability of ...
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Memory and Asset Pricing Models with Heterogeneous Beliefs
... Abstract The paper discusses the role of memory in asset pricing models with heterogeneous beliefs. In particular, we were interested in how memory in the fitness measure affects stability of ...
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On the Dynamic Specification of International Asset Pricing Models
... Conditional Asset Pricing Models What di®erentiates international ¯nancial theory from its domestic counterpart is essentially the presence of di®erent nations in the former ...
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Comparisons of Asset Pricing Models in the Egyptian Stock Market
... Our results do not provide strong support to the literature regarding the essential role of liquidity in asset pricing models and its compatibility with Fama-French model. This may be due to the ...
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A Mean-Variance Framework for Tests of Asset Pricing Models
... of asset pricing models. A pricing model is tested by examining the position of one or more reference portfolios in sample mean- standard-deviation ...riskless asset, using either a ...
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Evaluating Asset Pricing Models in a Simulated Multifactor Approach
... In asset pricing theory, one of the major interests for empirical re- searchers is oriented by testing whether a particular asset pricing model is indeed supported by the ...competing ...
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Evaluating Asset Pricing Models in a Fama-French Framework
... In this work we propose a methodology to compare di¤erent stochastic discount factor (SDF) proxies based on relevant market information. The starting point is the work of Fama and French, which evidenced that the ...
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A Test of Asset-Pricing Models at the Nairobi Securities Exchange
... Capital Asset Pricing Model (CAPM) has for a long time been used to explain the variations in expected return on ...propound asset pricing models that captured the effects of these ...
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A unifying approach to the empirical evaluation of asset pricing models
... Given that these different procedures may lead to different empirical conclusions, it is perhaps not surprising that there has been some controversy about which approach is most adequate. In this context, our paper shows ...
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What Is the Maximum Predictability Permitted by Asset Pricing Models?
... extant asset pricing models in explaining return predictability is mainly due to the low contemporaneous correlation between the excess return and the state ...new asset pricing ...
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Rational Pessimism, Rational Exuberance, and Asset Pricing Models
... of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock ...These models are fitted to data using ...
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Performance of Asset Pricing Models in the Nordic Stock Markets
... empirical asset pricing models have been tested over the ...many models that prove to be good at making predictions of the variability in stock returns, but there is really no consensus on ...
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The role of factor strength and pricing errors for estimation and inference in asset pricing models
... and pricing errors in asset pricing models, and their implications for identification and estimation of risk ...the pricing errors and the presence of weak factors that are correlated ...
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Essays on supersolutions of BSDEs and equilibrium pricing in generalized capital asset pricing models
... In dieser Arbeit untersuchen wir Superlösungen stochastischer Rückwärtsdif- ferentialgleichungen (BSDEs) und ein Gleichgewichtsmodell angewandt auf zwei spezifische verallgemeinerte “Capital Asset Pricing ...
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Asset pricing models, the labour theory of value and their implications for accounting
... Asset Pricing Models, the Labour Theory of Value and their Implications for Accounting’ Introduction The objective of this paper is to analyse differences and similarities in the classical and ...
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