Asset Classes
نویسندگان
چکیده
منابع مشابه
Intermediary Asset Pricing: New Evidence from Many Asset Classes
We find that shocks to the equity capital ratio of financial intermediaries—Primary Dealer counterparties of the New York Federal Reserve—possess significant explanatory power for crosssectional variation in expected returns. This is true not only for commonly studied equity and government bond market portfolios, but also for other more sophisticated asset classes such as corporate and sovereig...
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The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns. Correctly accounting for this variation is crucial for the empirical performance of the model. The DR-CA...
متن کاملThe pricing of volatility risk across asset classes
In the Merton (1973) ICAPM, state variables that capture the evolution of the investor’s opportunity set are necessary to explain observed asset prices. We show that augmenting the CAPM by a measure of market-wide volatility innovation yields a twofactor model that performs well in explaining the cross-section of returns on securities in several asset classes. The consistent pricing of volatili...
متن کاملConsumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملasset allocation strategies
a number of theories about the hest method of allocating assets have been developed over the years, managers are concernd about allocating scarce resources, mainly capital, in most productive way. managers want to ensure that the return from the invested resources exceeds the cost of resources finanical theories and finanicial strategies try to facilitate creating optimum value for investors in...
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ژورنال
عنوان ژورنال: Journal of Political Economy
سال: 2021
ISSN: 0022-3808,1537-534X
DOI: 10.1086/712736