Time-Varying Market Participation: A Potential Resolution of Asset Pricing Puzzles

2018 ◽  
Author(s):  
Redouane Elkamhi ◽  
Chanik Jo
Keyword(s):  
Asset Pricing ◽  
Time Varying ◽  
Market Participation ◽  
Asset Pricing Puzzles

Survey Expectations of Returns and Asset Pricing Puzzles

2014 ◽  
Author(s):  
Ralph S. J. Koijen ◽  
Maik Schmeling ◽  
Evert B. Vrugt
Keyword(s):  
Asset Pricing ◽  
Asset Pricing Puzzles

scholarly journals Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 394
Author(s):  
Adeel Nasir ◽  
Kanwal Iqbal Khan ◽  
Mário Nuno Mata ◽  
Pedro Neves Mata ◽  
Jéssica Nunes Martins
Keyword(s):  
At Risk ◽  
Asset Pricing ◽  
Stock Returns ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Time Varying ◽  
Pricing Models ◽  
Asset Pricing Model ◽  
Asset Pricing Models ◽  
Market Beta

This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus low VaR and ES portfolios as a systematic risk factor in one factor, three-factor, and five-factor asset pricing model. Furthermore, the study introduced the six-factor model, deploying VaR and ES as the idiosyncratic risk factor. The theoretical and empirical alteration of traditional asset pricing models is the study’s contributions. This study reported a strong positive relationship of traditional market beta, value at risk, and expected shortfall. Market beta pertains its superiority in estimating the time-varying stock returns. Furthermore, value at risk and expected shortfall strengthen the effects of traditional beta impact on stock returns, signifying the proposed six-factor asset pricing model. Investment and profitability factors are redundant in conventional asset pricing models.

Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas

1987 ◽  
Vol 42 (2) ◽  
pp. 201-220 ◽  
Author(s):  
WAYNE E. FERSON ◽  
SHMUEL KANDEL ◽  
ROBERT F. STAMBAUGH
Keyword(s):  
Asset Pricing ◽  
Time Varying ◽  
Risk Premiums

Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying

1993 ◽  
Vol 3 (2) ◽  
pp. 85-99 ◽  
Author(s):  
Marc Chesney ◽  
Robert J. Elliott ◽  
Dilip Madan ◽  
Hailiang Yang
Keyword(s):  
Diffusion Coefficient ◽  
Asset Pricing ◽  
Risk Premia ◽  
Time Varying ◽  
Coefficient Estimation
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