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Showing 1 to 20 of 55 for “"Asset pricing models"”.
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Essays on Nonparametric Estimation of Asset Pricing Models
… reconcile the empirical behaviour of financial asset prices with theoretical valuation models. The confrontation of economic theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of …
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Comparison of asset pricing models using Icelandic stock data
… was introduced, the model offered an easy way of pricing European options, which was revolutionary at the time. The model is made on the assumption that stocks follow a geometrical Brownian motion. This makes the model simple to use, but at the same time, limits its accuracy in simulating real …
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Sequential Calibration of Asset Pricing Models to Option Prices
… calibration methods on stochastic volatility models. We estimate the latent state and parameters of the models using three non-linear filtering methods, namely the extended Kalman filter (EKF), iterated extended Kalman filter (IEKF) and the unscented Kalman filter (UKF). A simulation study is …
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Evaluation of Asset Pricing Models in the South African Equities Market
Asset pricing models have been of interest since their origin in modern finance. The Capital Asset Pricing Model is a widely used tool and is one of the early developed asset pricing models in modern finance. There are continual improvements of this model with the evident multifactor models of Fama …
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Conditional Asset Pricing Models via Machine Learnings for the Chinese Stock Market
… this dissertation develops a unified conditional asset pricing framework that integrates time-varying risk exposures, distributional asymmetry, and high-dimensional information. The analysis addresses three interrelated challenges in empirical asset pricing: state-dependent factor loadings, …
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The cost of equity capital for REITs : an examination of three asset-pricing models
… purpose of this study is to determine a reliable asset-pricing model that can be used in practice to estimate the cost of equity capital for Real Estate Investment Trusts (REITs). While the cost of equity is an important concept for all industries, it has particular relevance for REITs, as the …
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The skewness preference of investors in initial public offerings in the long run: A theoretical and empirical test of Asset Pricing Models
… different from a matched market sample. The asset pricing tests show that Fama and French�s market risk premium and size factors are important in IPO returns. The co-skewness factor is significantly only when the size factor is not included in the time series regressions.
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Model Misspecification and the Hedging of Exotic Options
Asset pricing models are well established and have been used extensively by practitioners both for pricing options as well as for hedging them. Though Black-Scholes is the original and most commonly communicated asset pricing model, alternative asset pricing models which incorporate additional …
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Effect of market anomalies on expected returns on the JSE: A cross-sector analysis
… However, there has been no consensus on which asset-pricing models perform better in capturing the effect of market anomalies and what impact these market anomalies have on the expected returns of different stock market's sectors. The aim of the study was to test the effect of selected market …
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An investigation of the equity premium using habit utility and equity returns: Australian evidence
… return on stocks and the return on the risk free assets represented by bonds is named the 'Equity Premium' or 'Equity Risk Premium'. In the history of asset pricing models, one of the most serious problems for the equity premium is that the average equity premium is too large to be explained by …
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An Empirical Investigation of Security Analysts' Return Expectations (Valuation, Asset Pricing, Heterogeneity)
The current literature indicates that the asset pricing models presently in vogue do not describe the real world accurately. While there exists a need for better models it appears that an understanding of the heterogeneity among investors holds the key to the development of more realistic valuation …
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Risk and return in institutional commercial real estate : a fresh look with new data
Commercial Real Estate is a large asset class, increasingly owned by professional investment managers. Investment managers need a thorough understanding of the risk return relationship and tools to adequate implement sound investing, portfolio management and risk management strategies. Equilibrium …
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Essays in Empirical Asset Pricing
… dissertation explores three topics in empirical asset pricing, with a focus on cross-sectional anomalies, factor model evaluation, and information infrastructure in shaping cross-sectional returns and institutional investor demand. In the first chapter, co-authored with colleagues, I show that …
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Two Essays on Liquidity Essay I: Information Related Trading on Two Nearly Identical Options Essay II: The Importance of the Liquidity Premium in the Presence of Declining Transactions Cost
… deciles portfolios. I use several benchmark asset pricing models in fixed and rolling 36-month samples to estimate time variation liquidity premia. Surprisingly, the results show that the liquidity premium does not monotonically decline over time, and it increases in the period from 2001 to …
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Essays on the Temporal Structure of Risk
… upward-sloping for commonly used test assets like the market and book-to-market sorted portfolios. In joint work in the second chapter, we use traded equity dividend strips from U.S., Europe, and Japan from 2004-2017 to study the slope of the term structure of equity dividend risk …
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Computation in Macroeconomic Asset Pricing
… computational methods for macroeconomic asset pricing models. It demonstrates that advances in economic modeling often require advances in computation and highlights a particular case where more demanding computational methods are required to solve an economic model. It also discusses …
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The book-to-market ratio and Schwert-Seguin type tests of volatility
… anomaly and research on time-varying capital asset pricing models (CAPM). Fama and French (1992) introduced the BM anomaly to the academic literature and suggested that it might be driven by changes in economic variables missed by the static CAPM. Using the methodology developed in Schwert and …
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Intermediation frictions in equity markets
… health. The empirical evidence suggests that asset pricing models featuring financial intermediaries as marginal investors and frictions that induce changes in intermediary risk bearing capacity are useful in explaining price movements even in asset classes with comparatively low barriers to …
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The analysis of stock returns in the London Stock Exchange in the context of the cyclical adjusted price to earnings ratio signals.
… (CAPE) ratio and to analyse the performance of asset pricing models in the context of different market sentiments, as highlighted by the CAPE ratio. The behaviour of stock returns in the light of different asset pricing models is evaluated and compared in different subsamples classified as under …
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