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Author: Kyou Yung Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
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Author: Kyou Yung Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
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Author: Tony Berrada
Publisher:
ISBN:
Category :
Languages : en
Pages : 158
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Author: Yongli Zhang
Publisher: ProQuest
ISBN: 9780549269489
Category :
Languages : en
Pages : 198
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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:
ISBN:
Category :
Languages : en
Pages : 390
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Author: Tae-Jin Kang
Publisher:
ISBN:
Category :
Languages : en
Pages : 174
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Author: Lei Zhao
Publisher:
ISBN: 9780438193239
Category : Capital assets pricing model
Languages : en
Pages : 0
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Book Description
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:
ISBN:
Category :
Languages : en
Pages :
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Author: Emmanuel Leclercq
Publisher:
ISBN:
Category :
Languages : en
Pages : 156
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Author: Sunil Kenath Panikkath
Publisher:
ISBN:
Category :
Languages : en
Pages : 88
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Author: Zhe Zhang
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 264
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