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47,660
ASSET PRICING MODELS
- LEE ALICE: ENCYCLOPEDIA OF FINANCE
, 2005
"... The asset pricing models of financial economics describe the prices and expected rates of return of securities based on arbitrage or equilibrium theories. These models are reviewed from an empirical perspective, emphasizing the relationships among the various models. ..."
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The asset pricing models of financial economics describe the prices and expected rates of return of securities based on arbitrage or equilibrium theories. These models are reviewed from an empirical perspective, emphasizing the relationships among the various models.
Econometric asset pricing modelling
- Journal of Financial Econometrics
, 2008
"... Abstract Econometric Asset Pricing Modelling The purpose of this paper is to propose a general econometric approach to asset pricing modelling based on three main ingredients : (i) the historical discrete-time dynamics of the factor representing the information, (ii) the Stochastic Discount Factor ..."
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Cited by 10 (2 self)
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Abstract Econometric Asset Pricing Modelling The purpose of this paper is to propose a general econometric approach to asset pricing modelling based on three main ingredients : (i) the historical discrete-time dynamics of the factor representing the information, (ii) the Stochastic Discount Factor
Asset Pricing Model
, 2005
"... Abstract: In this paper, we first develop the modified maximum likelihood (MML) estimators for the multiple regression coefficients in linear model with the underlying distribution assumed to be symmetric, one of Student's t family. We obtain the closed form of the estimators and derive their a ..."
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their asymptotic properties. In addition, we demonstrate that the MML estimators are more appropriate to estimate the parameters in the Capital Asset Pricing Model by comparing its performance with that of least squares estimators (LSE) on the monthly returns of US portfolios. Our empirical study reveals
The capital asset pricing model: Some empirical tests
, 1972
"... Considerable attention has recently been given to general equilibrium models of the pricing of capital assets. Of these, perhaps the best known is the mean-variance formulation originally ..."
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Cited by 354 (3 self)
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Considerable attention has recently been given to general equilibrium models of the pricing of capital assets. Of these, perhaps the best known is the mean-variance formulation originally
Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model
, 1998
"... This paper investigates the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs. Agents choose from a finite set of predictors of future prices of a risky asset and revise their `beliefs' in each period in a boundedly rational way, according to a `fitnes ..."
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Cited by 385 (27 self)
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This paper investigates the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs. Agents choose from a finite set of predictors of future prices of a risky asset and revise their `beliefs' in each period in a boundedly rational way, according to a
Asset Pricing Model
, 2004
"... Scienti¯c Research (FNRS). Part of this research was completed while I was visiting HEC Montr¶eal. All errors Although the Treynor ratio has several indisputable advantages over Jensen's alpha, it has never been adapted in a multi-index setup. The Generalized Treynor Ratio de¯ned as the abnorma ..."
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evidence reveal that this measure dominates Jensen's alpha and the Information Ratio in terms of robustness to changes in benchmarks (accuracy) and in asset pricing speci¯cations (consistency).The Generalized Treynor Ratio 1.
An Evaluation of International Asset Pricing Models
, 2002
"... This paper assesses the ability of international asset pricing models to explain the cross-sectional variation in expected returns. All the models considered seem to capture national market returns fairly well. However, global portfolios, sorted on earnings-price ratio and market value, pose a speci ..."
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Cited by 1 (0 self)
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This paper assesses the ability of international asset pricing models to explain the cross-sectional variation in expected returns. All the models considered seem to capture national market returns fairly well. However, global portfolios, sorted on earnings-price ratio and market value, pose a
Experiments on the Lucas Asset Pricing Model∗
, 2013
"... This paper reports on experimental tests of the Lucas asset pricing model with heterogeneous agents and time-varying (individual) endowment streams. In order to emulate key features of the model (infinite horizon, stationarity, perishability of con-sumption), a novel experimental design was required ..."
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This paper reports on experimental tests of the Lucas asset pricing model with heterogeneous agents and time-varying (individual) endowment streams. In order to emulate key features of the model (infinite horizon, stationarity, perishability of con-sumption), a novel experimental design
Dynamic sentiment asset pricing model
"... Conventional wisdom suggests that the equilibrium stock price is not affected by investor sentiment, and the equilibrium price at an early time is higher than the one at a later time. In contrast to this wisdom, we present a dynamic asset pricing model with investor sentiment and we find that inves ..."
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Conventional wisdom suggests that the equilibrium stock price is not affected by investor sentiment, and the equilibrium price at an early time is higher than the one at a later time. In contrast to this wisdom, we present a dynamic asset pricing model with investor sentiment and we find
Consumption-Based Asset Pricing Models ∗
"... In the rational expectations equilibrium of this paper, agents have private information and differing information partitions and therefore assign differing conditional distributions to asset payoffs and other economic variables relevant to their investment choices. Standard asset pricing models typi ..."
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In the rational expectations equilibrium of this paper, agents have private information and differing information partitions and therefore assign differing conditional distributions to asset payoffs and other economic variables relevant to their investment choices. Standard asset pricing models
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