Three Essays On Asset Pricing Models In Discrete And Continuous Time
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Three Essays on Asset Pricing
Author | : Yongli Zhang |
Publisher | : ProQuest |
Total Pages | : 198 |
Release | : 2007 |
Genre | : |
ISBN | : 9780549269489 |
G models without a monetary perspective are difficult to capture the dynamics of the real interest rates in the data of the US economy.
Three Essays on Asset Pricing
Author | : Lei Zhao |
Publisher | : |
Total Pages | : 0 |
Release | : 2018 |
Genre | : Capital assets pricing model |
ISBN | : 9780438193239 |
Using more stringent test assets and more formal model diagnostic tools, the first essay demonstrates the importance of higher-order comoment risks in asset pricing by assessing the performance of the most commonly used asset pricing models with and without these risks incorporated. Specifically, we find that higher-order comoment risks help the Fama and French serial pricing kernels to be closer to the admissible pricing kernel and that the newly developed Fama and French five-factor model (Fama and French, 2015), when augmented by the quadratic and cubic terms of the market return and with momentum incorporated, requires the least adjustment to be admissible.
Three Essays on Asset Pricing and Portfolio Allocation
Author | : Zhe Zhang |
Publisher | : |
Total Pages | : 264 |
Release | : 2004 |
Genre | : Capital assets pricing model |
ISBN | : |