منابع مشابه
Mispricing in Linear Asset Pricing Models∗
In the framework of a reduced form asset pricing model featuring linear-in-z betas and risk premiums with lagged macro instruments, I propose a clean measure of mispricing that is free from the omitted-variable bias due to either missing priced factors or missing instruments. Applying the model to U.S. stock returns for 1927-2005, I find that momentum and contrarian strategies are related to th...
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In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
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In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in risk as well as expected return,...
متن کاملAgency and Asset Pricing
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Anomaly is deviation from common rules and in finance it can be defined as a pattern in the average of stock return that is not consistent with the prevailing asset pricing models literature. For anomaly investigation two common methods are used: portfolio approach and individual firm approach. This paper wants to shed light on anomalies of capital asset pricing model at the individual firm lev...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.912814