Benchmark, relative return, and asset pricing
نویسندگان
چکیده
In this note, we develop a simple asset pricing model using the relative return to benchmark. The makes no assumption on free-risk securities, equilibrium conditions, utility functions, dif...
منابع مشابه
Asset Pricing with Return Extrapolation∗
We develop a representative agent general equilibrium model with return extrapolation and recursive preferences. Our model is the first return extrapolation model that can be taken to the data in a serious way; it allows for detailed model calibration and direct comparisons with the leading rational expectations models of the stock market. The model matches investors’ extrapolative expectations...
متن کاملStock-Return Predictability and Asset Pricing Models
The regression of stock returns on predictive variables, such as dividend yield, has proven useful in optimal portfolio selection when investment opportunities are timevarying. Conditional versions of factor models impose a restriction on that regression, thereby implying a particular portfolio choice. The study examines several pricing models from a perspective of conditional mean-variance opt...
متن کاملStock Return Predictability, Conditional Asset Pricing Models and Portfolio Selection
I examine an investor’s portfolio allocation problem across multiple risky assets in the presence of return predictability when, in addition to the predictability evidence, the investor uses conditional asset pricing models to guide him in the portfolio selection decision. I also explore how the uncertainty associated with the model dynamics affects the investor’s optimal portfolio. To analyze ...
متن کاملReturn Predictability in Recessions: an Asset Pricing Perspective
I show that the dividend-price ratio predicts aggregate stock market returns with higher precision during recessions than in expansions, in a way that is both statistically and economically significant. This empirical evidence cannot be reconciled with three popular asset pricing approaches: habit-persistence (Campbell and Cochrane (1999)), long-run risk (Bansal and Yaron (2004)) and rare disas...
متن کاملThe Integration of Multi-Factor Model of Capital Asset Pricing and Penalty Function for Stock Return Evaluation
One of the main concerns of investors is the evaluation of the return on investment, which is conducted using various models such as the CAPM (single-factor model), Fama-French three/five-factor models, and Roy and Shijin’s six-factor model and other models known as multi-factor models. Despite the widespread use of these models, their major drawbacks include sensitivity to unexpected changes, ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2021
ISSN: ['1350-4851', '1466-4291']
DOI: https://doi.org/10.1080/13504851.2021.1940080