The traditional approach by Fama and Macbeth (1973) to the validity of an asset pricing model suffers from two drawbacks. Firstly, it uses ordinary least squares (OLS) method, which is sensitive outliers, estimate time-series beta. Secondly, takes averages slope coefficients cross-sectional regressions ignore importance properties. In this article, robust estimators a longitudinal are applied a...

in this paper, the pricing of a european call option on the underlying asset is performed by using a monte carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. the proposed approach, applied in monte carlo simulation, is based on the black-scholes equation which generally def...

In this paper we investigate the presence of the following asset pricing anomalies viz. size, value, momentum, liquidity, accruals, profitability and net stock issues in India. Size effect is the strongest with a difference of 4.4 % per month between small and big stock returns. A positive relationship is reported between accruals, stock issues and returns and a negative relation between profit...

using the treynor and mazoy model (expanded by fama to evaluate management performance for asset allocation among investment units), this paper examines the management’s performance in funds and investment companies in tehran stock exchange during 2004-2010. the results do not support the application of management market timing during the study period and managers were only able to create addit...

When a risk factor has small covariance with asset returns, risk premia in the linear asset pricing models are no longer identified. Weak factors, similar to weak instruments, make the usual estimation techniques unreliable. When included in the model, they generate spuriously high significance levels of their own risk premia estimates, overall measures of fit and may crowd out the impact of th...

THE PERFORMANCE OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS: A MONTE CARLO STUDY WITH AN APPLICATION TO THE THREE-FACTOR FAMA-FRENCH ASSET PRICING MODEL Surajit Ray and N. E. Savin a Bear Stearns Asset Management, 60 East 42nd Street, Suite 2544, New York, NY 10165 Department of Economics, Tippie College of Business, University of Iowa, 108 John Pappajohn Bus. Bldg., Iowa City, IA 52...