Conditional versus Behavioural Asset Pricing Models
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
... on conditional covariances than on ...of conditional mean parameters, where MSE are at least twice as large as their MLE ...of conditional variance parameters are much closer to their MLE ...
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Estimation and Evaluation of Conditional Asset Pricing Models
... mean pricing errors and the models’ restrictions on the conditional distributions of returns (fixed IV and opti- mal IV), the implied consumption risk premium is almost ...with conditional ...
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Evaluating conditional asset pricing models for the German stock market
... the pricing error plots in 2 and 4, the model is clearly better than the CAPM in explaining the cross-section of average returns of our size and book-to-market ...the pricing errors for value stocks are ...
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Testing Conditional Asset Pricing Models: An Emerging Market Perspective
... The conditional Fama-French model In the previous section we reported that the unconditional Fama-French model clearly outperforms the unconditional ...whether conditional information provides further ...
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Evaluating Conditional Asset Pricing Models for the German Stock Market
... the pricing error plots in 2 and 4, the model is clearly better than the CAPM in explaining the cross-section of average returns of our size and book-to-market ...the pricing errors for value stocks are ...
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Behavioural Asset Pricing: A Review
... Neoclassical asset pricing is built on the premise investors are rational and there are unlimited arbitrage ...opportunities. Behavioural implications of irrational investors led to the development ...
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A best choice among asset pricing models? The conditional CAPM in Australia.
... outperforms models that hypothesise that returns are driven by US market ...these models, however, the resulting explanations are significantly better than those based on the CCAPM ...
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An Overview of Asset Pricing Models
... other models that will be discussed later having multi-beta ...the conditional version for various sources of risk, when determining the unconditional form for every risk factor such a second beta would ...
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The Conditional CAPM does not Explain Asset-Pricing Anamolies
... other models as well: in general, conditioning is unlikely to have a large impact on cross-sectional asset- pricing ...intertemporal models, consumption betas and the consumption risk premium ...
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Conditional beta pricing models: A nonparametric approach
... flexible conditional beta pricing models in different ...estimates conditional covariances and conditional expected returns nonparametrically, and then obtains MPR by solving directly ...
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Nonparametric estimation of conditional beta pricing models
... the conditional asset pricing model for two assets at each point in ...that conditional expected pricing errors from the conditional CAPM are ...of pricing errors on a ...
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Asset Pricing Theories, Models, and Tests
... misspecified asset pricing models: the stochastic discount factor and the beta ...and conditional asset pricing models, to the important issue of selecting information ...
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A Behavioural Asset Pricing Model with a Time-Varying Second Moment
... Given the variety of technical trading rules and differing risk aversion of various investors, this paper introduces a risk adjustment into the demand function for the chartists by assuming that they use a weighted ...
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Solving asset pricing models with stochastic volatility
... December 29, 2014 Abstract This paper provides a closed-form solution for the price-dividend ratio in a stan- dard asset pricing model with stochastic volatility. The growth rate of the endow- ment is a ...
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Evaluating Asset Pricing Implications of DSGE Models
... tural asset pricing models can be used to obtain conditional mean specifications for asset return data, conditional variance specifications, or a restriction on the time ...
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Memory and Asset Pricing Models with Heterogeneous Beliefs
... chaotic asset price fluctuations, when the intensity of choice to switch prediction strategies becomes ...simulation models, ...an asset pricing model and can also be thought of as the share ...
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Memory and Asset Pricing Models with Heterogeneous Beliefs
... chaotic asset price fluctuations, when the intensity of choice to switch prediction strategies becomes ...simulation models, ...an asset pricing model and can also be thought of as the share ...
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Memory and Asset Pricing Models with Heterogeneous Beliefs
... simulated agent-based financial markets of individuals following relatively simple behavioural rules that are updated over time. Actually, time was an essential and critical feature of the model. It has been ...
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On the Dynamic Specification of International Asset Pricing Models
... international conditional CAPM model of Dumas and Solnik (1993) and the international conditional APT model of Ferson and Harvey (1992), as well as various extensions of these ...These models were ...
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