Robustness: Asset Pricing Tests - Filtered Data
On the robustness of consumption-based asset pricing
... 4.4.2 Miscalibration of parameters Large economic disasters are very rare and occur around once every sixty years on average. Shorter data samples may not contain any major disaster. For example our data ...
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Asset Pricing Theories, Models, and Tests
... an asset with respect to a particular factor depends on what other factors are included in the first-pass time-series OLS ...the data, they typically conclude that factor 2 is important, and when the null ...
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A Skeptical Appraisal of Asset-Pricing Tests
... the data – in a way that is more direct and transparent than p-values or standard errors (since the statistics are generally biased and ...up tests with the null hypothesis being that a model doesn’t work, ...
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The Capital Asset Pricing Model: Some Empirical Tests
... all-risky asset model describes the data better than the traditional model, and since the definition of our “riskless” interest rate was somewhat arbitrary in any case, these plots were derived from ...
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Essays On Asset Pricing Models: Theories And Empirical Tests
... the data-driven window size, such that within the window (i) investors’ information sets don’t greatly change; (ii) there are sufficient observations to achieve estimation ...average pricing error can ...
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Advances in Consumption-Based Asset Pricing: Empirical Tests
... the data. Tests of scaled multifactor consumption-based models suggest that a pricing kernel that is an approx- imately linear but state-dependent function of consumption growth performs ...
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Expected Returns, Yield Spreads, and Asset Pricing Tests
... bond data? While relevant information regarding a firm’s systematic risk is incorporated both into its stocks and bonds, the latter reveal key insights about investors’ return ...
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Asset Pricing Tests with Long Run Risks in Consumption Growth
... the data over 1931 ...the data. Finally, we reject the models' implications in jointly pricing the cross-section of returns and fitting the unconditional time series moments of consumption and ...
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Multivariate tests of asset pricing: Simulation evidence from an emerging market
... Black-CAPM tests with Asymptotic Chi Square Critical Values This table provides the empirical rejection probabilities of five tests of Black-CAPM model each evaluated with five alternative distribution ...
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Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets
... The Data and the Residual Diagnostics Tests The tests discussed in section III are applied to portfolios formed from a sample of stocks from the Karachi Stock ...series data on active stocks ...
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Conditional Beta Capital Asset Pricing Model (CAPM) and Duration Dependence Tests
... a data and methodology section, an explanation of the estimation of the hazard model and a further section presenting the results followed by a concluding ...
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A GARCH option pricing model with filtered historical simulation
... out-of-sample pricing errors summarized by the different measurements of fit and Table 8 disaggregates the out-of-sample pricing errors by moneyness/maturity categories; see also the right graphs in Figure ...
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The Impact of the Financial Sector on Asset Pricing Tests: Evidence from the Colombo Stock Exchange
... from asset pricing tests done with regard to the ...return data from October 1997 to September 2012, and all tests are done for a sample excluding the financial sector as well as for ...
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Essays in Asset Pricing
... Table 2.2 reports the results of some stationarity tests, to see if there is a unit root in the data. The Augmented Dickey Fuller (ADF) and the Philips Perron (PP) test on the levels reject the null of a ...
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A Mean-Variance Framework for Tests of Asset Pricing Models
... linear pricing relations and mean- variance efficiency is well understood at a theoretical level, links between tests of the pricing models and a mean-variance framework are limited to a few special ...
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Seismic Robustness of a Filtered Containment Venting System
... of filtered containment venting is to achieve controlled release of contain- ment air via the Venturi scrubber to the stack in case of a severe accident with long-time build-up of pres- ...
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Chi-squared tests for evaluation and comparison of asset pricing models
... plier tests for individual and joint testing of correct specification of one or more asset pricing ...specification tests are asymptotically chi-squared distributed and enjoy improved finite- ...
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Informational Robustness in Intertemporal Pricing
... monopoly pricing of a durable good in the face of buyer ...a pricing strategy to maximize profits against the worst-case information arrival ...seeks robustness against a subset of information ...
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On the robustness of goodness-of-fit tests for copulas
... most tests perform rather well even for small sample sizes of n = ...uncontaminated data that is simulated from a prespecified copula model. As real data will usually be contaminated by outliers and ...
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A GARCH Option Pricing Model with Filtered Historical Simulation
... that asset returns exhibit variances that change through ...and pricing distributions are governed by the same model ...poor pricing and hedging ...underlying asset and a riskless bond is ...
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