Two different methods are used to evaluate the performance of the consumption-based asset pricing models to explain the cross-section of expected stock returns in conditional moments: one is to scale the returns, and the other is to model time-varying factor loadings, using instrument variables. Maximum correlation portfolios are constructed to directly impose restrictions on the time-series in...

Matched to the proportions found in the U.K. census data for a range of demographic variables (age, sex, and socioeconomic status) 123 participants were tested on the Wechsler Adult Intelligence Scale-Revised (WAIS-R) and a test of the minimum presentation time required to identify tachistoscopically presented words. The correlations between the sum of the scaled scores for Full, Verbal, and Pe...

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...

It is a common wisdom that individual stocks’ returns are difficult to predict, though in many situations it is important to have such estimates at our disposal. In particular, they are needed to determine the cost of capital. Market equilibrium models posit that expected returns are proportional to the sensitivities to systematic risk factors. Fama and French (1993) three-factor model explains...

This paper investigates risk premiums embedded in commodity convenience yields, i.e., returns on convenience-claim investments. The analysis is conducted in two steps. First, monthly convenience yields are extracted from a broad sample of commodity futures by using a three-factor model. Second, a multi-factor asset pricing model with conditional betas is estimated to determine risk premiums emb...

In this study, the validity of five-factor model in developing and underdeveloped countries was investigated 2012-2020, as well to be created by using inflation rate instead risk-free interest rate, answers questions its comparison with original model. seeking an answer question, Pakistan, Malaysia, Indonesia Turkey were selected interest-sensitive investors. Kuala Lumpur Composite Index (KLCI)...