Firm Characteristics, Cross-Sectional Regression Estimates, and Intertemporal Asset Pricing Tests

2015 ◽  
Author(s):  
Chris Kirby
Keyword(s):  
Asset Pricing ◽  
Firm Characteristics ◽  
Cross Sectional ◽  
Intertemporal Asset Pricing ◽  
Asset Pricing Tests

Cross-Sectional Asset Pricing Tests

2010 ◽  
Vol 2 (1) ◽  
pp. 49-74 ◽  
Author(s):  
Ravi Jagannathan ◽  
Ernst Schaumburg ◽  
Guofu Zhou
Keyword(s):  
Asset Pricing ◽  
Cross Sectional ◽  
Asset Pricing Tests

Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests

2019 ◽  
Vol 10 (2) ◽  
pp. 290-334 ◽  
Author(s):  
Chris Kirby
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Nonlinear Effects ◽  
Firm Characteristics ◽  
Pricing Models ◽  
Cross Sectional ◽  
Portfolio Returns ◽  
Asset Pricing Models ◽  
Formidable Challenge ◽  
Expected Stock Returns

Abstract I test a number of well-known asset pricing models using regression-based managed portfolios that capture nonlinearity in the cross-sectional relation between firm characteristics and expected stock returns. Although the average portfolio returns point to substantial nonlinearity in the data, none of the asset pricing models successfully explain the estimated nonlinear effects. Indeed, the estimated expected returns produced by the models display almost no variation across portfolios. Because the tests soundly reject every model considered, it is apparent that nonlinearity in the relation between firm characteristics and expected stock returns poses a formidable challenge to asset pricing theory. (JEL G12, C58)

scholarly journals CAPM Condicional: Betas Variantes no Tempo no Mercado Brasileiro

2014 ◽  
Vol 12 (2) ◽  
pp. 163
Author(s):  
Frances Fischberg Blank ◽  
Carlos Patricio Samanez ◽  
Tara Keshar Nanda Baidya ◽  
Fernando Antonio Lucena Aiube
Keyword(s):  
Asset Pricing ◽  
State Space Models ◽  
Time Varying ◽  
Random Walk Process ◽  
Cross Sectional ◽  
Conditional Capm ◽  
Pricing Errors ◽  
Market Beta ◽  
Book To Market Ratio ◽  
Asset Pricing Tests

The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter. This paper studies alternative models for portfolios sorted by size and book-to-market ratio in the Brazilian stock market and compares their adjustment to data. Asset pricing tests based on time-series and cross-sectional approaches are also implemented. A random walk process combined with conditioning variables is the preferred model, reducing pricing errors compared to unconditional CAPM, but the errors are still significant. Cross-sectional test show that book-to-market ratio becomes less relevant, but past returns still capture cross-section variation.

GMM Weighting Matrices In Cross-Sectional Asset Pricing Tests

2020 ◽  
Author(s):  
Nora Laurinaityte ◽  
Christoph Meinerding ◽  
Christian Schlag ◽  
Julian Thimme
Keyword(s):  
Asset Pricing ◽  
Cross Sectional ◽  
Asset Pricing Tests

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

Clients’ means of influence on mortgage valuation in Nigeria

2015 ◽  
Vol 33 (4) ◽  
pp. 367-385 ◽  
Author(s):  
Chukwuma C. Nwuba ◽  
Uche S. Egwuatu ◽  
Babatunde M. Salawu
Keyword(s):  
Risk Mitigation ◽  
Hierarchical Linear Model ◽  
Firm Characteristics ◽  
Cross Sectional Survey ◽  
Cross Sectional ◽  
Content Type ◽  
Mortgage Valuation ◽  
Research Designs ◽  
Client Pressure ◽  
The Impact

Purpose – The purpose of this paper is to investigate client influence on mortgage valuation in Nigeria to establish and rank the means of influence clients employ, and the impact of firm characteristics on client influence. Design/methodology/approach – A combination of cross-sectional survey and focus groups research designs was adopted. Questionnaire structured on five-point Likert format was used to collect data from a sample of valuation firms in five Nigerian cities. Descriptive statistics, χ2, and moderated hierarchical linear model were used for data analysis. Findings – Clients’ means of influence on valuation are more of subtle approach than threat or coercion. The most prevalent means are respectively, plea for assistance, promise of continued retainership on banks’ valuer panels, and disclosing the loan amount. Client influence differs across cities; firm characteristics have no influence on client pressure. Practical implications – The research provides basis for valuation bodies to review practice rules and standards and seek for legislation for valuer independence. It can serve as material for teaching and training in professional ethics. Social implications – Biased valuations jeopardises credit risk mitigation process with potential for destabilising banks, finance sector, and consequences for the economy. Originality/value – The study provides empirical evidence of the nature of client influence across several major Nigerian cities. In contrast to existing Nigerian studies that focus on single cities, the study covers several cities. It therefore provides a broad basis for problem-solving and decision-making.

Firm Characteristics, Relative Efficiency, and Equity Returns

2009 ◽  
Vol 44 (1) ◽  
pp. 213-236 ◽  
Author(s):  
Giao X. Nguyen ◽  
Peggy E. Swanson
Keyword(s):  
Explanatory Power ◽  
Stochastic Frontier ◽  
Efficiency Score ◽  
Equity Returns ◽  
Firm Characteristics ◽  
Stochastic Frontier Approach ◽  
Cross Sectional ◽  
Firm Efficiency ◽  
The Difference ◽  
Sectional Analysis

AbstractThis study uses a stochastic frontier approach to evaluate firm efficiency. The resulting efficiency score, based on firm characteristics, is the input for performance evaluation. The portfolio composed of highly efficient firms significantly underperforms the portfolio composed of inefficient firms even after adjustment for firm characteristics and risk factors, suggesting a required premium for the inefficient firms. The difference in performance between the two portfolios remains for at least five years after the portfolio formation year. In addition, firm efficiency exhibits significant explanatory power for average equity returns in cross-sectional analysis.

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