[PDF] Top 20 Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?
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Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?
... pricing models implied by its no-arbitrage ...nominal returns (M1) implies that the CRRA is constant and should be the same across the cross-section of expected returns for no arbitrage ... See full document
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Cash-Flow Risks, Financial Leverage and the Cross Section of Equity Returns
... the cross-sectional relationship between financial leverage and expected equity returns? How is the empirical relationship associated with firm's financial decisions? This dissertation investigates ... See full document
62
Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
... In particular, we follow Hilscher and Wilson 2010 and identify a measure of systematic default risk exposure that can be calculated for all firms regardless of whether they have bonds ou[r] ... See full document
50
The CDS bond basis arbitrage and the cross section of corporate bond returns
... basis factor as a new risk factor along with existing factors and other basis arbitrage-related ...basis factor, BASIS, is defined as the k-day (k = 20, 40, ...(value-weighted) returns on the ... See full document
44
Leverage, Default Risk, and the Cross Section of Equity and Firm Returns
... of equity as ...in returns after controlling for capital structure differences across ...in equity returns is driven by size (George and Hwang; Da and Gao) [6] ...analyze cross- ... See full document
31
The conditional pricing of currency and inflation risks in Africa's equity markets
... that stochastic changes in foreign exchange rates are associated with changes in equity prices and constitute additional sources of risk to investors in the stock markets of Japan, Germany, USA and the ... See full document
43
Idiosyncratic Volatility and Cross-section of Stock Returns: Evidences from India
... EI explain the cross-section of stock returns significantly in Indian ...market equity, the explanatory power of EI improves significantly and then explains 55% of ... See full document
12
Industry Concentration and the Cross section of Stock Returns: Evidence from the UK
... helps explain the cross-section of stock returns during the period of ...monthly cross-sectional regression of returns on industry concentration is ...of equity for ... See full document
36
Functioning of Fama French Three Factor Model in Emerging Stock Markets: An Empirical Study on Chittagong Stock Exchange, Bangladesh
... developed can accurately explain the ...the cross-section of average returns can be explained by three factors like the excess market return, size factor and ... See full document
12
Stochastic Discount Factor Models and the Equity Premium Puzzle
... asset-pricing models is to develop environments in which the HJ bound is not sensitive to changes in the mean ...the models developed by He and Modest (1995) and Luttmer (1996) do yield the necessary lack ... See full document
20
Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns
... underlying factor that drives the returns on new issue and repurchase ...risk factor must have a large risk premium to explain both the high Sharpe ratio of UMO, and the incremental ability of ... See full document
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Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
... it can be seen that the effect of changing the EIS level on expected consumption is minimal (unless the member survives to a very high age and benefits from the effects of the mortality premium as shown in Figure ... See full document
47
Growth in a Cross Section of Cities: Location, Increasing Returns or Random Growth?
... the models in Table 6 compared to their counterparts in Table ...threshold models for capturing piecewise nonlinearities in the ...regression models that incorporate interactions between the lagged ... See full document
37
Accounting Data, Market Values, and the Cross Section of Expected Returns Worldwide
... expected returns worldwide. Indeed, prior work shows that factors known to explain the in-sample variation of returns in the United States do not necessarily explain the cross ... See full document
57
Rare Events, Financial Crises, and the Cross Section of Asset Returns
... regimes. If they were fully aware of the model they would 1) come up with the probabilities to assign to each of the states of the world, 2) use the transition matrix H to update these probabilities, 3) form expectations ... See full document
46
Gaussian Visual Linguistic Embedding for Zero Shot Recognition
... a cross-domain mapping that warps language-domain Gaussian concept represen- tations into alignment with visual-domain concept ...DSM-based cross- modal ZSL mappings (Akata et al., 2013; Frome et al., 2013) ... See full document
7
The Cross Section of Stock Returns: An Application of Fama French Approach to Nepal
... [31] can test a two-factor model (three-factor model minus the size factor) and forego any insights from the wider spread of book-to- market generally evident amongst stocks in the small- to ... See full document
9
Testing for one factor models versus stochastic volatility models
... we can pretest for the presence of no jumps, following for example Barndorff-Nielsen and Shephard (2004c,d); they proposed a test based on the properly scaled difference between realized volatility and bipower ... See full document
38
Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
... Considering the modelling implication of the two types of jumps we find that the obtained results are reasonable: volatility jumps, even if they only happen a few times a year, will bring persistent change to the ... See full document
43
Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?
... This section reports the estimated results for the whole sample period from January 2004 to December ...crisis can exert the impact on international stock markets, especially emerging stock ... See full document
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