Stock Return Predictability and Conditional Asset Pricing Models
Author: Ane Miren Tamayo
Publisher:
Published: 2002
Total Pages: 368
ISBN-13:
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Stock Return Predictability and Asset Pricing Models
Author: Doron Avramov
Publisher:
Published: 2003
Total Pages: 62
ISBN-13:
DOWNLOAD EBOOKThis paper develops an asset allocation framework that incorporates prior beliefs about the extent of stock return predictability explained by asset pricing models. We find that when prior beliefs allow even minor deviations from pricing model implications, the resulting asset allocations depart considerably from and substantially outperform allocations dictated by either the underlying models or the sample evidence on return predictability. Under a wide range of beliefs about model pricing abilities, asset allocations based on conditional models outperform their unconditional counterparts that exclude return predictability.
Essays on Conditional Asset Pricing Models and Predictability of Finnish Stock Returns
Author: Mika Vaihekoski
Publisher:
Published: 1997
Total Pages: 129
ISBN-13: 9789515555250
DOWNLOAD EBOOKAsset Pricing
Author: Jianping Mei
Publisher: World Scientific
Published: 2003
Total Pages: 265
ISBN-13: 9810245637
DOWNLOAD EBOOKReal estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students.
Empirical Asset Pricing
Author: Wayne Ferson
Publisher: MIT Press
Published: 2019-03-12
Total Pages: 497
ISBN-13: 0262039370
DOWNLOAD EBOOKAn introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Global Stock Markets
Author: Wolfgang Drobetz
Publisher: Springer Science & Business Media
Published: 2013-06-29
Total Pages: 346
ISBN-13: 3663085295
DOWNLOAD EBOOKWolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Evaluating Conditional Asset Pricing Models for the German Stock Market
Author: Andreas Schrimpf
Publisher:
Published: 2008
Total Pages: 45
ISBN-13:
DOWNLOAD EBOOKWe study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved substantially when allowing for time-varying parameters of the stochastic discount factor. A conditional CAPM with the term spread as a conditioning variable is able to explain the cross-section of German stock returns about as well as the Fama-French model. Structural break tests do not indicate parameter instability of the model - whereas the reverse is found for the Fama-French model. Unconditional model specifications however do a better job than conditional ones at capturing time-series predictability of the test portfolio returns.
Predicting Stock Returns
Author: David G McMillan
Publisher: Springer
Published: 2017-11-30
Total Pages: 141
ISBN-13: 3319690086
DOWNLOAD EBOOKThis book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.
Conditional Factor Models and Return Predictability
Author: Alex P. Taylor
Publisher:
Published: 2005
Total Pages: 35
ISBN-13:
DOWNLOAD EBOOKThis paper develops a new approach to examining the time variation of risk premia within the framework of conditional asset pricing models. By combining conditional factor models with approximate present-value relationships we derive a linear relationship between the log stock price and investors' expectations of future factor loadings, risk premia, and cashlows. This framework allows us to estimate conditional risk premia from a cross-sectional regression of log prices on proxies for expected factor loadings and cashflows. We apply this technique to various factor specifications including the CAPM, the three factors advocated by Fama and French (1996), and a five-factor model with economically motivated factors similar to Chen et al. (1986). Consistent with rational pricing we find that, for the majority of the risk factors, the estimated risk premia contain significant information about the future expected returns of the factor portfolios over the sample 1938-2004. Our framework abstracts from the use of ad-hoc conditioning variables, and offers a theoretically appealing approach to modelling the predictable components of stock returns. In recent samples (1978-2004) our estimates of the market risk premium prove to be better forecasters of market returns than the dividend-price ratio and other commonly used forecasting variables. Results from the economic factor model provide evidence that current levels of treasury and corporate bond yields are embedded in the cross section of equity market prices.
Tests of Conditional Asset Pricing Models on Finnish Stock Return Data Using Latent Variables
Author: Mats Hansson
Publisher:
Published: 1996
Total Pages: 15
ISBN-13: 9789515554925
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