Three Essays on Asset Pricing Models in Discrete and Continuous Time
Author : Kyou Yung Kim
Publisher :
Page : 65 pages
File Size : 19,84 MB
Release : 1988
Category :
ISBN :
Author : Kyou Yung Kim
Publisher :
Page : 65 pages
File Size : 19,84 MB
Release : 1988
Category :
ISBN :
Author : Tony Berrada
Publisher :
Page : 158 pages
File Size : 17,83 MB
Release : 2001
Category :
ISBN :
Author : Yongli Zhang
Publisher : ProQuest
Page : 198 pages
File Size : 16,49 MB
Release : 2007
Category :
ISBN : 9780549269489
G models without a monetary perspective are difficult to capture the dynamics of the real interest rates in the data of the US economy.
Author : Lionel Martellini
Publisher :
Page : 390 pages
File Size : 19,66 MB
Release : 2000
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ISBN :
Author : Tae-Jin Kang
Publisher :
Page : 174 pages
File Size : 33,93 MB
Release : 1991
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ISBN :
Author : Lei Zhao
Publisher :
Page : 0 pages
File Size : 26,31 MB
Release : 2018
Category : Capital assets pricing model
ISBN : 9780438193239
Using more stringent test assets and more formal model diagnostic tools, the first essay demonstrates the importance of higher-order comoment risks in asset pricing by assessing the performance of the most commonly used asset pricing models with and without these risks incorporated. Specifically, we find that higher-order comoment risks help the Fama and French serial pricing kernels to be closer to the admissible pricing kernel and that the newly developed Fama and French five-factor model (Fama and French, 2015), when augmented by the quadratic and cubic terms of the market return and with momentum incorporated, requires the least adjustment to be admissible.
Author : John Hatgioannides
Publisher :
Page : pages
File Size : 42,67 MB
Release : 1996
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Author : Emmanuel Leclercq
Publisher :
Page : 156 pages
File Size : 39,67 MB
Release : 2014
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Author : Sunil Kenath Panikkath
Publisher :
Page : 88 pages
File Size : 15,26 MB
Release : 2001
Category :
ISBN :
Author : Zhe Zhang
Publisher :
Page : 264 pages
File Size : 22,10 MB
Release : 2004
Category : Capital assets pricing model
ISBN :