The Predicting Power of Asset Pricing Models during Market Turmoil
نویسندگان
چکیده
منابع مشابه
Evaluating asset pricing models in the Korean stock market☆
Article history: Received 18 November 2010 Accepted 12 September 2011 Available online 17 September 2011 This paper evaluates and compares asset pricing models in the Korean stock market. The asset pricing models considered are the CAPM, APT-motivated models, the Consumption-based CAPM, Intertemporal CAPM-motivated models, and the Jagannathan and Wang conditional CAPM model. By using various te...
متن کاملEvaluating Conditional Asset Pricing Models for the German Stock Market
We study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved substantially when allowing for time-varying parameters of the st...
متن کاملTesting Conditional Asset Pricing Models: An Emerging Market Perspective
The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset pricing models scaled by conditional variables such as Trading Volume and Dividend Yield generally result in small pricing errors. However, a ...
متن کاملAsset Pricing and the Credit Market
We study asset pricing and trading behavior in an exchange economy populated by two agents with different risk aversion. We show that the credit market plays a central role in the risk sharing between the two agents. It allows the less-risk-averse agent to borrow in order to take on levered positions in the stock and thus bear more risk. Optimal risk sharing results in the more-risk-averse agen...
متن کاملComparing Asset Pricing Models
A Bayesian asset-pricing test is derived that is easily computed in closed-form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure that permits an analysis of model comparison, i.e., the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the rec...
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: Advances in economics, business and management research
سال: 2022
ISSN: ['2352-5428']
DOI: https://doi.org/10.2991/aebmr.k.220307.379