Search results for "Asset pricing"
showing 8 items of 38 documents
A bottom up approach to evaluate risk in network environment
2008
Firms dependence on environment has been contended in various way one of the most suited is the collaboration among other firms in order to realize extra rents. Firm dependence on environment is particularly crucial in sector characterised by complex technology or complex product (product requiring an articulated supply chain) that make the market instable. In this scenario the alliance, whatever is the inter-organizational solution chosen, causes new forms of dependence that are the origins of network risks. In order to evaluate correctly the extra rents a long range perspective has to be assumed and a financial analysis has to be followed. To evaluate expected cash flows it needs to known…
Another Look on Choosing Factors: The International Evidence
2019
Extending Fama and French’s (2018) U.S. study on choosing factors to international equity markets, we test nested and non-nested asset pricing models for North America, Europe, Asia excluding Japan, and Japan. For non-nested models, we propose a new simulation methodology using a blocks bootstrap approach that takes into account factor dependencies. The resultant out-of-sample Sharpe ratios across all models and countries are lower than Fama and French’s pairs bootstrap approach. While we confirm that the six-factor model with market, size, and small size spread factors for value, profit, investment, and momentum produces the highest maximum squared Sharpe ratio in most economies, an except…
Growth in Average Firm Size of U.S. Industrial Portfolios and the Cross-Section of Expected Returns
2018
This paper shows that growth in average firm size in U.S. industrial portfolios predicts future growth in average firm size. Moreover, the payoffs of industrial portfolios sorted by growth in average firm size in the previous period increase linearly as we move from lowest to highest growth in average firm size. The spread between highest and lowest growth in average firm size is economically large and cannot be explained by exposures to standard risk factors or the asset growth effect (Cooper, Gulen, and Schill, 2008). Principal component analysis reveals that this growth in average firm size effect is linked to the first principal component. Moreover, stochastic discount factor model anal…
Jump-diffusion models of German stock returns
1991
This paper discusses the statistical properties of jump-diffusion processes and reports on parameter estimates for the DAX stock index and 48 German stocks with traded options. It is found that a Poisson-type jump-diffusion process can explain the high levels of kurtosis and skewness of observed return distributions of German stocks. Furthermore, we demonstrate that the return dynamics of the DAX include a statistically significant jump component except for a few sample subperiods. This finding is seen to be inconsistent with asset pricing models assuming that the jump component of the stock's return is unsystematic and diversifiable in the market portfolio.
Firm Size and Volatility Analysis in the Spanish Stock Market
2011
In this article, three strongly related questions are studied. First, volatility spillovers between large and small firms in the Spanish stock market are analyzed by using a conditional CAPM with an asymmetric multivariate GARCH-M covariance structure. Results show that there exist bidirectional volatility spillovers between both types of firms, especially after bad news. Second, the volatility feedback hypothesis explaining the volatility asymmetry feature is investigated. Results show significant evidence for this hypothesis. Finally, the study uncovers that conditional beta coefficient estimates within the used model are insensitive to sign and size asymmetries in the unexpected shock re…
Notations et écarts de rentabilité : le marché français avant l'euro
2003
The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.
The Investment Performance of U.S. Islamic Mutual Funds
2020
Islamic investment funds have become increasingly important because of high demand from many investors, including those outside the Muslim investment community. This article compares the performance and risk sensitivity of Islamic mutual funds in the United States with that of their conventional peers. This article also analyzes the performance of Islamic funds, and compares this performance with that of socially responsible investment (SRI) mutual funds. Capital Asset Pricing Model (CAPM)-based methodology was used for the analysis. The results suggest that over the entire study period (1987&ndash
UME Y LA INTEGRACIÓN DE LOS MERCADOS DE CAPITALES EUROPEOS: RELEVANCIA DEL TIPO DE CAMBIO Y LA INFLACIÓN
2007
The aim of this paper is to investigate the effects of the European Monetary Union on the hypothesis of an integrated European Capital Market from January 1993 to December 2004. The extent of the period and the use of Fama and MacBeth [1973]'s methodology for estimating a large number of international asset pricing models that includes an Adler and Dumas [1983] model with and without domestic factor make possible to evaluate this hypothesis as a process towards a full integration. However, our results show that the integration is not a uniform process at all times and for all stocks and recedes in the period 2001-04 with the reappearance of a significant domestic risk premium (diversifiable…