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Maria del Mar Miralles-Quiros,Jose Luis Miralles-Quiros,Luis Miguel Valente-Gonçalves
Pág. 414 - 435
Market efficiency implies stock prices fully reflect all publicly available information instantaneously and, thus, no investment strategies can systematically earn abnormal returns. However, market efficiency per se is not testable. In order to analyze w...
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Shailesh Rana,William H. Bommer,G. Michael Phillips
Pág. 88 - 106
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Pablo Solórzano-Taborga, Ana Belén Alonso-Conde and Javier Rojo-Suárez
Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) techniq...
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Jieting Chen and Yuichiro Kawaguchi
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a per...
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Jieting Chen and Yuichiro Kawaguchi
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Azam Mohammadzadeh,Mohammad Nabi Shahiki Tash,Reza Roshan
Pág. 1884 - 1894
Studies of last two decades refer to limits on the classical models of asset pricing such CAPM and CCAPM. In this article we make adjustments in CCAPM model and have been estimated modified models for the economy of Iran from 1988 to 2011. These models a...
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Saban Celik
Pág. 141 - 178
The purpose of this paper is to give a comprehensive theoretical review devoted to asset pricing models by emphasizing static and dynamic versions in the line with their empirical investigations. A considerable amount of financial economics literature de...
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Carlos Enrique Carrasco-Gutierrez,Wagner Piazza Gaglianone
Pág. 425 - 460
In this paper a methodology to compare the performance of different stochastic discount factor (SDF) models is suggested. The starting point is the estimation of several factor models in which the choice of the fundamental factors comes from different pr...
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Asmâa Alaoui Taib and Safae Benfeddoul
This study empirically tests and compares the performances of three famous financial asset valuation models in the Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample considers mont...
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Mimoun Benali, Karima Lahboub and Abdelhamid El Bouhadi
In this study, the reliability of the Fama?French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the Moroccan s...
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Márcio André Veras Machado,Otávio Ribeiro de Medeiros
Pág. 383 - 412
This paper is aims to analyze whether a liquidity premium exists in the Brazilian stock market. As a second goal, we include liquidity as an extra risk factor in asset pricing models and test whether this factor is priced and whether stock returns were e...
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Nsama Musawa,Sumbye Kapena,Chanda Shikaputo
AbstractBackground: The Fama and French five-factor model (FF5M) is one of the stock valuation model that is on the cutting edge of finance research. Results from the empirical tests from various stock markets were the FFM5 has been tested since its laun...
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Verônica de Fátima Santana,Alex Augusto Timm Rathke
Pág. 545 - 572
This research aims to compare the performance of a statistical factor asset pricing model with the Fama-French-Carhart 4-factor model. We perform a Principal Component Analysis (PCA) to extract latent risk factors using data of stocks listed on B3 from 2...
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André Ricardo de Pinho Ronzani, Osvaldo Candido and Wilfredo Fernando Leiva Maldonado
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess th...
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Leonardo Santana Viloria
Pág. 83 - 95
The creation of property investment funds in Colombia has made portfolio diversification possible by allowing parties to invest in the property sector without buying and managing real estate directly. In recent years, the behavior of these funds has...
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Harish S. Bhat and Nitesh Kumar
The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston?s st...
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Frances Fischberg Blank,Carlos Patricio Samanez,Tara Keshar Nanda Baidya,Fernando Antonio Lucena Aiube
Pág. 163 - 199
The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter....
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Ailie Charteris
AbstractSeveral studies of the Capital Asset Pricing Model (CAPM) in South Africa find that beta cannot explain returns. However, these studies do not consider the effect of bull and bear markets, yet over the period 1995-2009, excess market returns were...
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J. F.C. Von Wielligh,E. V.D.M. Smit
AbstractThe persistence of performance of the General Equity Unit Trusts and All Unit Trusts that traded in South Africa during the period January 1988 to December 1997 and January 1993 to December 1997, is analysed using three models of performance meas...
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J. F.C. Von Wielligh,E. V.D.M. Smit
AbstractThe persistence of performance of the General Equity Unit Trusts and All Unit Trusts that traded in South Africa during the period January 1988 to December 1997 and January 1993 to December 1997, is analysed using three models of performance meas...
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