Review of Asset Pricing Theory and Empirical Research
نویسندگان
چکیده
منابع مشابه
Ambiguity Theory and Asset Pricing: Empirical Evidence from Tehran Stock Exchange
Modern portfolio theory is based on the relationship between risk and return and in this paper, specific uncertainty conditions are introduced as ambiguity which affects the asset pricing. Also, the relationship between risk, ambiguity and return is examined. First, ambiguity is estimated by the means of three-variable and main component method, trading volume, ask-bid spread, error of earnings...
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I review recent research efforts in the area of empirical cross-sectional asset pricing. I start by summarizing the evidence on cross-sectional return predictability and the failure of standard (consumption) CAPM models and their conditional versions to explain these predictability patterns. One response in part of the recent literature is to focus on adhoc factor models, which summarize the cr...
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2 Basic Theory 4 2.1 Setup . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 2.2 Arbitrage, State Prices, and Martingales . . . . . . . . . . . . 5 2.3 Individual Agent Optimality . . . . . . . . . . . . . . . . . . . 8 2.4 Habit and Recursive Utilities . . . . . . . . . . . . . . . . . . . 9 2.5 Equilibrium and Pareto Optimality . . . . . . . . . . . . . . . 12 2.6 Equilibrium ...
متن کاملThe Use of Asset Growth in Empirical Asset Pricing Models∗
We provide evidence that the empirical performance of the new factor models proposed by Hou, Xue, and Zhang (2015) and Fama and French (2015) depends crucially on how their investment factor is constructed. Specifically, we call attention to the fact that, in both models, the investment factor is based on the measure of growth in total assets from Cooper, Gulen, and Schill (2008) and not on wha...
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ژورنال
عنوان ژورنال: Advances in economics, business and management research
سال: 2021
ISSN: ['2352-5428']
DOI: https://doi.org/10.2991/aebmr.k.210319.137