[PDF] Top 20 ESSAYS ON EMPIRICAL ASSET PRICING USING BAYESIAN METHODS

... the asset pricing equation have to reflect the fact that investors dislike assets that do poorly in bad economic ...LFMs using portfolios of stocks, due perhaps to a limitation of the testing ... See full document

... three essays on empirical asset ...the pricing of systematic ...of asset pricing models to price individual ...industries using five ...popular asset pricing ... See full document

... (without using past realized ...preliminary empirical evidence using S&P500 index ...and empirical evidence that implies misspecification in the remarkable recovery result ... See full document

... in asset pricing tests (Lewellen, Nagel and Shanken, ...investigation using components of aggregate market is very scarce (Rapach, Strauss, Tu and Zhou ...tradeoff using industrial portfolios ... See full document

... At the same time, the four spreads display distinct asset-specific features. As seen in Table 1, the means and standard deviations differ across the four asset classes. For example, CIP has much lower mean ... See full document

... We build on a rich prior literature starting with Eichenbaum et al. (1988) [6] that explores the empirical properties of intertemporal asset pricing models where the rep- resentative agent has ... See full document

... The difficulty of finding a strong empirical link between macroeconomic fun- damentals and currency premia has also been documented (see, e.g. Lustig et al., 2014), and may be explained in various ways. Firstly, ... See full document

... due to price pressure and potential forced-selling risk. The convertible arbitrage hedge fund strategy is proven to be vulnerable to exogenous shocks, particularly during market-wide liquidity squeezes. When a hedge fund ... See full document

... Panel B of Table I reports mean, median, standard deviation, minimum, maximum, 25 th and 75 th percentile, skewness and kurtosis of the 14 financial and macroeconomic risk factors used in this study. The 14 macroeconomic ... See full document

... provide empirical evidence on the key economic channel through which uncertainty affects currency ...recent empirical evidence of Della Corte, Riddiough, and Sarno (2015) who show that global imbalances are ... See full document

... This table reports the proportion of sector mutual funds that hold (Panel A) and analysts that cover (Panel B) a conglomerate firm from each segment the firm operates in. At the end of each quarter, we assign a mutual ... See full document

... This chapter is the first to consider mean-variance efficiency testing under short sale restric- tions in the context of factor models, however, some papers studied it in different contexts. In particular, DeRoon and ... See full document

... explain asset returns when using instruments to measure ...that using the cay variable variable as instrument explains the returns to size and value sorted portfolio, but Lewellen and Nagel (2006) ... See full document

... affine asset pricing framework with a parsimonious mix of macro variables and bond factors for the joint pricing of bonds and ...simultaneous pricing of stock and bond returns that jointly ... See full document

... portfolios using four different hard to value ...errors using each specific anomaly ...computed using the first date a firm enters the CRSP ... See full document

... capital asset pricing model (LCAPM) which covers three different aspects of liquidity ...equilibrium asset pricing ...the pricing of global liquidity ... See full document

... an asset pricing concept, many researchers shifted their interest towards studying other realized variation ...in empirical asset pricing, tradable quan- tities are of special ... See full document

... expressed using the beta factor, varies over time as well. Empirical evidence on time varying risk exposures is provided, for example, by Santos and Veronesi (2004), Adrian and Franzoni (2009), Armstrong et ... See full document

... growth using a common set of observable variables and agree to disagree based on these ...the empirical observation that proxies of difference in beliefs across firms share a large common component that ... See full document

... Erb et al. (1996) find a weak relation between political risk, measured by the International Country Risk Guide, and future stock returns. Pantzalis et al. (2000) and Li & Born (2006) find abnormally high stock ... See full document