Market Portfolio as a Latent Variable PDF Download

Author: Michael Chak-sham Wong
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 38

View

Book Description

Author: Mr.Marco Del Negro
Publisher: INTERNATIONAL MONETARY FUND
ISBN: 9781451860719
Category : Business & Economics
Languages : en
Pages : 0

View

Book Description
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by the extent to which firms operate across countries. We show that portfolios consisting of stocks with low exposures to country shocks achieve substantial variance reduction relative to the global market, both in- and out-of-sample. The shock exposures are thus a stock-selection device for international portfolio diversification.

Author: Wolfgang Drobetz
Publisher: Springer Science & Business Media
ISBN: 3663085295
Category : Business & Economics
Languages : en
Pages : 346

View

Book Description
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.

Author: Hsien-hsing Liao
Publisher: World Scientific
ISBN: 9814491489
Category : Business & Economics
Languages : en
Pages : 265

View

Book Description
Real 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.

Author: Todd Prono
Publisher:
ISBN:
Category :
Languages : en
Pages : 48

View

Book Description
A new model misspecification measure for linear asset pricing models is proposed. The origins of this measure are in Shanken (1987) and Kandel and Stambaugh (1985, 1995), where it is argued that the true market return is inherently latent and, as a consequence, only ever partially observed. Tests of asset pricing models that rely on the market return as a risk factor and are based, by necessity, on an observable proxy to this factor are then misspecified. The proposed misspecification measure, which assigns an upper bound to the correlation between the true market return and the observable proxy return used to conduct the test, can be estimated entirely and directly from observable data. This measure is suited both for testing models that include the market return as a pricing factor in a traditional sense (i.e., determining whether the given model does or does not price a collection of risky assets) and ranking those models (i.e., gauging which model performs the best). The measure is used to price portfolios reflecting the size, value, and momentum premiums. While neither the conditional CAPM nor the ICAPM is shown to offer any improvement over the simple CAPM, all three models are shown to perform materially better under the proposed measure, with improvements in model fit of as much as 45%. Also, it is discovered that winner stocks in a momentum portfolio may have higher market betas than loser stocks.

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 932

View

Book Description

Author: Wayne Ferson
Publisher: MIT Press
ISBN: 0262351307
Category : Business & Economics
Languages : en
Pages : 497

View

Book Description
An 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.

Author: Bernard Dumas
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 72

View

Book Description
In this essay, I discuss and compare two ways of modeling international capital market equilibrium: the orthodox, general-equilibrium approach and the heterodox, partial-equilibrium CAPM (Capital Asset Pricing Model) approach. The benchmark for this comparison is the model's ability to provide an explanation for, or take into account, a number of stylized facts of international finance: UIRP deviations, home-equity preference, PPP deviations and their persistence, consumption behavior in relation to wealth. In addition, I ask which approach is more likely in future research to help us identify the relevant state variables of the economy. None of the models satisfactorily explains the stylized facts but the CAPM approach affords the most productive avenue for empirical research in the immediate future.

Author: Hayette Gatfaoui
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

View

Book Description
The measurement problems encountered while trying to exhibit the influence of market risk factor on asset returns may be numerous. It seems then difficult to highlight the unique common latent factor underlying stock return evolutions in the market. So far, excess return relationships are mainly and broadly considered. Moreover, basic and common studies require a market factor proxy (i.e., market portfolio benchmark). The chosen proxy usually impacts related results (see Roll [1977]). To bypass such problems, we resort to Kalman filtering methodology to exhibit the common latent factor underlying stock market returns. Of course, when this one exists.

Author: Cheng-Few Lee
Publisher: Springer Nature
ISBN: 3030912310
Category : Business & Economics
Languages : en
Pages : 2746

View

Book Description
The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.