Tests of Asset Pricing with Time-varying Expected Risk Premiums and Market Betas
Title | Tests of Asset Pricing with Time-varying Expected Risk Premiums and Market Betas PDF eBook |
Author | Wayne Ferson |
Publisher | |
Pages | 20 |
Release | 1987 |
Genre | Investments |
ISBN |
Analytical GMM Tests
Title | Analytical GMM Tests PDF eBook |
Author | Guofu Zhou |
Publisher | |
Pages | |
Release | 1998 |
Genre | |
ISBN |
We propose alternative GMM tests that are analytically solvable in many econometric models, yielding in particular analytical GMM tests for asset pricing models with time- varying risk premiums. We also provide simulation evidence showing that the proposed tests have good finite sample properties and that their asymptotic distribution is reliable for the sample size commonly used. We apply our tests to study the number of latent factors in the predictable variations of the returns on portfolios grouped by industries. Using data from October 1941 to September 1986 and two sets of instrumental variables, we find that the tests reject a one-factor model but not a two-factor model.
Asset Pricing with Time Varying Volatility
Title | Asset Pricing with Time Varying Volatility PDF eBook |
Author | Victor Ng |
Publisher | |
Pages | 216 |
Release | 1989 |
Genre | Stocks |
ISBN |
Cointegration, Causality, and Forecasting
Title | Cointegration, Causality, and Forecasting PDF eBook |
Author | Halbert White |
Publisher | Oxford University Press, USA |
Pages | 512 |
Release | 1999 |
Genre | Business & Economics |
ISBN | 9780198296836 |
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Two Essays on Asset Pricing
Title | Two Essays on Asset Pricing PDF eBook |
Author | Jungshik Hur |
Publisher | |
Pages | 146 |
Release | 2007 |
Genre | |
ISBN | 9781109942316 |
This dissertation consists of two chapters. The first chapter shows that the measurement errors in betas for stocks induce corresponding measurement errors in alphas and a spurious negative covariance between the estimated betas and alphas across stocks. This negative covariance between the estimated betas and alphas results in a violation of the independence assumption between the independent variable (betas) and error terms in the Fama-MacBeth regressions of tests of the CAPM, thereby creating a downward bias in the estimated market risk premiums. The procedure of using portfolio returns and betas does not necessarily eliminate this bias. Depending upon the grouping variable used to form portfolios, the negative covariance between estimated betas and alphas can be increased, decreased, and can even be made positive. This paper proposes two methods for correcting the downward bias in the estimated market risk premium. The estimated market risk premiums are consistent with the CAPM after the proposed corrections.
Asset Pricing Theory
Title | Asset Pricing Theory PDF eBook |
Author | Costis Skiadas |
Publisher | Princeton University Press |
Pages | 363 |
Release | 2009-02-09 |
Genre | Business & Economics |
ISBN | 1400830141 |
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Financial Markets and the Real Economy
Title | Financial Markets and the Real Economy PDF eBook |
Author | John H. Cochrane |
Publisher | Now Publishers Inc |
Pages | 117 |
Release | 2005 |
Genre | Business & Economics |
ISBN | 1933019158 |
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.