Modern portfolio theory is based on the relationship between risk and return and in this paper, specific uncertainty conditions are introduced as ambiguity which affects the asset pricing. Also, the relationship between risk, ambiguity and return is examined. First, ambiguity is estimated by the means of three-variable and main component method, trading volume, ask-bid spread, error of earnings...

a r t i c l e i n f o A large number of researches have shown that the negative return of risky asset exists and has the profound significance whether for actual investment or theory studies. This paper investigates the effect of sentiment by establishing the sentiment asset pricing model, and explores the negative expected return when the parameters change in different situations. We provide t...

Within the framework of the conditional Arbritage Pricing Theory, estimators of conditional risk are not unique. We focus on an estimator of conditional risk based on the conditional volatility of the asset return. Estimates of conditional risk account for: 1) interdependence of conditional and unconditional moments of the asset return; 2) effect of the conditional and unconditional fourth mome...

for assessment of portfolio performance, it's crucial to adjust the return by the risk which is taken. so it seems undeniable that for measuring the risk-adjusted return of portfolio, we need an appropriate and developed model for risk and asset pricing. fama & french 3 factor model could explain several return anomalies. recent studies show that capital productivity effects on stock retur...

Objective: Market anomalieschange with economic conditions, stock markets, selected samples, time periods and differences between industries. Revision of past forecasts leads to forecast error. The revisions result from new information. On the other hand, some managers slowly revise their forecasts in responding to new information. Therefore, the purpose of this research is to investigate the r...

– Objective: To “track” the return of the best possible constant percentage allocation of wealth (a.k.a. constant rebalanced portfolio (CRP)) chosen with knowledge of future asset returns – Algorithm: Return-weighted average of all CRPs – Main Assumptions: No statistical assumptions are made on asset returns; asymptotic analysis, however, requires several sequence-based assumptions on asset ret...

There has been considerable public discussion of the investment performance of the University of California Retirement Plan (UCRP). Much of that discussion has been based on simple comparisons of the realized investment returns of UCRP to those of other pension plans, such as CalPERS. Such comparisons provide no economically meaningful or statistically significant information about the quality ...

The purpose of this paper is study the effect of monetary policy on asset prices. We study the properties of a monetary model in which a real asset is valued for its rate of return and for its liquidity. We show that money is essential if and only if real assets are scarce, in the precise sense that their supply is not sufficient to satisfy the demand for liquidity. Our model generates a clear ...

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,...