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

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

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.

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.

Treasury Bond Illiquidity and Global Equity Returns

2014 ◽  
Vol 49 (5-6) ◽  
pp. 1227-1253 ◽  
Author(s):  
Ruslan Goyenko ◽  
Sergei Sarkissian
Keyword(s):  
Asset Pricing ◽  
Equity Returns ◽  
Asset Valuation ◽  
Macroeconomic Shocks ◽  
Country Level ◽  
Time Period ◽  
Treasury Bond ◽  
Using Data ◽  
The Impact ◽  
Asset Pricing Tests

AbstractIn this study, using data from 46 markets and a 34-year time period, we examine the impact of the illiquidity of U.S. Treasuries on global asset valuation. We find that it predicts equity returns in both developed and emerging markets. This predictive relation remains intact after controlling for various world- and country-level variables. Asset pricing tests further reveal that bond illiquidity is a priced factor even in the presence of other conventional risks. Since the illiquidity of Treasuries is known to reflect monetary and macroeconomic shocks, our results suggest that it can be considered a proxy for aggregate worldwide risks.

Sign in / Sign up

Export Citation Format

Share Document