The Role of Real Estate Market on Asset Pricing Models: Empirical Evidence from Hong Kong

2010 ◽  
Author(s):  
Peter Man Wai Chui
Keyword(s):  
Hong Kong ◽  
Asset Pricing ◽  
Real Estate ◽  
Empirical Evidence ◽  
Real Estate Market ◽  
Pricing Models ◽  
Asset Pricing Models

Models or Stars: The Role of Asset Pricing Models and Heuristics in Investor Risk Adjustment

2020 ◽  
Vol 34 (1) ◽  
pp. 67-107 ◽  
Author(s):  
Richard B Evans ◽  
Yang Sun
Keyword(s):  
Asset Pricing ◽  
Risk Adjustment ◽  
Factor Models ◽  
Strongly Correlated ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Retail Investors ◽  
Before And After ◽  
Sector Funds

Abstract We examine the role of factor models and simple performance heuristics in investor decision-making using Morningstar’s 2002 rating methodology change. Before the change, flows strongly correlated with CAPM alphas. After, when funds are ranked by size and book-to-market groups, flows become more sensitive to 3-factor alphas (FF3). Flows to a matched institutional sample (same managers/strategies) follow FF3 before and after the change but are unrelated to the CAPM. Placebo tests with sector funds and other factor loadings show no effects. Our results imply that improvements in simple performance heuristics can result in more sophisticated risk adjustment by retail investors.

The role of sorting portfolios in asset-pricing models

2011 ◽  
Vol 21 (18) ◽  
pp. 1381-1396 ◽  
Author(s):  
J. Ernstberger ◽  
H. Haupt ◽  
O. Vogler
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models
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