An Asset Pricing Model with Time-varying Elasticity of Intertemporal Substitution

2004 ◽  
Author(s):  
Aleksandar Georgiev
Keyword(s):  
Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Intertemporal Substitution ◽  
Asset Pricing Model ◽  
Elasticity Of Intertemporal Substitution

A Capital Asset Pricing Model with Time-Varying Covariances

1988 ◽  
Vol 96 (1) ◽  
pp. 116-131 ◽  
Author(s):  
Tim Bollerslev ◽  
Robert F. Engle ◽  
Jeffrey M. Wooldridge
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model

scholarly journals Time-Varying Market Leverage and the Market Risk Premium in New Zealand

2021 ◽  
Author(s):  
◽  
Danyi Bao
Keyword(s):  
New Zealand ◽  
Asset Pricing ◽  
Risk Premium ◽  
Market Risk ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Market Risk Premium ◽  
Asset Pricing Model

<p>This paper applies the Ibbotson and Sinquefield (1976) method and the Lally (2002) method to New Zealand data over the period 1960-2005 in order to estimate the market risk premium (MRP) in two versions of the capital asset pricing model (CAPM). With respect to the standard CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 6.11%. The resulting Lally estimate of the MRP ranged from 5.52% (in 1970) to 18.40% (in 1990), with an average of 7.95%, and was 6.40% for 2005. With respect to the simplified Brennan-Lally CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 8.49%. The resulting Lally estimate of the MRP ranged from 7.91% (in 1970) to 20.79% (in 1990), with an average of 10.33%, and was 8.78% for 2005. The Lally and the Ibbotson estimates of the MRP are similar in general. However, when market leverage is unusually high or low, they diverge significantly. In future, practitioners may need to choose between the estimates from the two methods when market leverage goes beyond the normal level.</p>

scholarly journals Time-Varying Market Leverage and the Market Risk Premium in New Zealand

2021 ◽  
Author(s):  
◽  
Danyi Bao
Keyword(s):  
New Zealand ◽  
Asset Pricing ◽  
Risk Premium ◽  
Market Risk ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Market Risk Premium ◽  
Asset Pricing Model

<p>This paper applies the Ibbotson and Sinquefield (1976) method and the Lally (2002) method to New Zealand data over the period 1960-2005 in order to estimate the market risk premium (MRP) in two versions of the capital asset pricing model (CAPM). With respect to the standard CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 6.11%. The resulting Lally estimate of the MRP ranged from 5.52% (in 1970) to 18.40% (in 1990), with an average of 7.95%, and was 6.40% for 2005. With respect to the simplified Brennan-Lally CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 8.49%. The resulting Lally estimate of the MRP ranged from 7.91% (in 1970) to 20.79% (in 1990), with an average of 10.33%, and was 8.78% for 2005. The Lally and the Ibbotson estimates of the MRP are similar in general. However, when market leverage is unusually high or low, they diverge significantly. In future, practitioners may need to choose between the estimates from the two methods when market leverage goes beyond the normal level.</p>

scholarly journals A behavioral asset pricing model with a time-varying second moment

2006 ◽  
Vol 29 (3) ◽  
pp. 535-555 ◽  
Author(s):  
Carl Chiarella ◽  
Xue-Zhong He ◽  
Duo Wang
Keyword(s):  
Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Second Moment ◽  
Asset Pricing Model

scholarly journals The Time-Varying Systematic Risk of Carry Trade Strategies

2011 ◽  
Vol 46 (4) ◽  
pp. 1107-1125 ◽  
Author(s):  
Charlotte Christiansen ◽  
Angelo Ranaldo ◽  
Paul Söderlind
Keyword(s):  
Asset Pricing ◽  
Systematic Risk ◽  
Time Varying ◽  
Uncovered Interest Parity ◽  
Pricing Model ◽  
Carry Trade ◽  
Asset Pricing Model ◽  
Pricing Errors ◽  
Interest Parity ◽  
Foreign Exchange Volatility

AbstractWe explain the currency carry trade (CT) performance using an asset pricing model in which factor loadings are regime dependent rather than constant. Empirical results show that a typical CT strategy has much higher exposure to the stock market and is mean reverting in regimes of high foreign exchange volatility. The findings are robust to various extensions. Our regime-dependent pricing model provides significantly smaller pricing errors than a traditional model. Thus, the CT performance is better explained by a time-varying systematic risk that increases in volatile markets, suggesting a partial resolution of the uncovered interest parity puzzle.

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