A Dynamic Test Of Conditional Asset Pricing Models
Download A Dynamic Test Of Conditional Asset Pricing Models full books in PDF, epub, and Kindle. Read online free A Dynamic Test Of Conditional Asset Pricing Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author | : Daniele Bianchi |
Publisher | : |
Total Pages | : 42 |
Release | : 2019 |
Genre | : |
ISBN | : |
I use Bayesian tools to develop a dynamic testing methodology for conditional factor pricing models, in which time-varying betas, idiosyncratic risks, and factors risk premia are jointly estimated in a single step. Based on this framework, I test over fifty years of post-war monthly data some of the most common factor pricing models on size, book-to-market, and momentum deciles portfolios, both in the time series and in the cross section. The empirical results show that, a conditional specification of the recent five-factor model of Fama and French (2015) outperforms a set of theory-based competing linear pricing models along several dimensions.
Author | : Emanuel Moench |
Publisher | : |
Total Pages | : 38 |
Release | : 2007 |
Genre | : |
ISBN | : |
Dynamic factors summarize the information in a large number of variables and are therefore intuitively appealing proxies for the information set available to investors. This paper demonstrates that conditioning on dynamic factors instead of commonly used instruments substantially reduces the pricing errors implied by conditional models. Dynamic factors are further shown to exhibit incremental explanatory power over benchmark conditioning variables. The results withstand a number of robustness tests and carry important implications for the specification of conditional asset pricing models in applied research and practice.
Author | : Beate Breuer |
Publisher | : |
Total Pages | : 342 |
Release | : 2004 |
Genre | : |
ISBN | : |
Author | : Jing Wang |
Publisher | : |
Total Pages | : 206 |
Release | : 1998 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : Ching Wang |
Publisher | : |
Total Pages | : 103 |
Release | : 2001 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : Campbell R. Harvey |
Publisher | : |
Total Pages | : 36 |
Release | : 2005 |
Genre | : |
ISBN | : |
This paper proposes tests of asset pricing models that allow for time variation in conditional covariances. The evidence indicates that the conditional covariances do change through time. Estimates of the expected excess return on the market divided by the variance of the market (reward-to-risk ratio) are presented for the Sharpe-Lintner CAPM, as well as a number of tests of the model specification. The patterns of the pricing errors through time suggest the model's inability to capture the dynamic behavior of asset returns. This is the working paper version of my 1989 Journal of Financial Economics article.
Author | : John H. Cochrane |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
I examine a factor pricing model for stock returns. The factors are returns on physical investment, inferred from investment data via a production function. I examine the model's ability to explain variation in expected returns across asset and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll, and Ross factor model, and it performs substantially better than a simple consumption-based model. I also provide an easy technique for estimating and testing dynamic, conditional asset pricing models--one simply includes factors and returns scaled by instruments in an unconditional estimate--and for comparing such models.
Author | : John H. Cochrane |
Publisher | : |
Total Pages | : 66 |
Release | : 2010 |
Genre | : |
ISBN | : |
This paper tests a factor pricing model for stock returns. The factors are returns on physical investment, inferred from investment data via a production function. The tests examine the model's ability to explain the variation in expected returns across assets and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll and Ross factor model, and it performs substantially better than a simple consumption-based model. In comparison tests, the investment return factors drive out all the other models. The paper also provides an easy technique for estimating and testing dynamic, conditional asset pricing models. All one has to do is include factors and returns scaled by instruments in an unconditional estimate. This procedure imposes none of the usual restrictions on conditional moments, and does not require prewhitened or orthogonalized factors.
Author | : Kenneth J. Singleton |
Publisher | : Princeton University Press |
Total Pages | : 497 |
Release | : 2009-12-13 |
Genre | : Business & Economics |
ISBN | : 1400829232 |
Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
Author | : Andrew Wen-Chuan Lo |
Publisher | : Edward Elgar Publishing |
Total Pages | : 680 |
Release | : 2007 |
Genre | : Business & Economics |
ISBN | : |
Presents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and more.