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Aplicação do CAPM (Capital Asset Pricing Model) condicional por meio de métodos não-paramétricos para a economia brasileira: um estudo empírico do período 2002-2009; Application of conditional CAPM (Capital Asset Pricing Model) using nonparametrics methods for the Brazilian economy: an empirical study from 2002-2009

Galeno, Marcela Monteiro
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 04/10/2010 Português
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Essa dissertação procura analisar se as variações dos retornos de carteiras setoriais formadas por ações do Índice teórico da Bolsa de Valores de São Paulo (Ibovespa), do primeiro quadrimestre de 2010, podem ser explicadas pelo CAPM condicional não-paramétrico proposto por Wang (2002) e também por quatro variáveis de informação disponíveis aos investidores: (i) percentual de variação do nível de produção industrial brasileira; (ii) percentual de variação do monetário agregado M4; (iii) percentual de variação da inflação representada pelo Índice de Preços ao Consumidor Amplo (IPCA); e (iv) percentual de variação da taxa de câmbio real-dólar, obtida pela cotação do dólar PTAX. O estudo compreendeu as ações listadas na Bolsa de Valores de São Paulo no período de janeiro de 2002 a dezembro de 2009. Utilizou-se a metodologia de teste desenvolvida por Wang (2002) e replicada para o contexto mexicano por Castillo-Spíndola (2006). Foram utilizados os excessos de retornos mensais para as ações, carteiras e prêmio de mercado. Ainda, para estimar a influência das variáveis de informação, foram calculados seus respectivos percentuais de variação mensal, para o período de janeiro de 2002 a novembro de 2009. A fim de validar a aplicação do CAPM condicional não-paramétrico para o mercado acionário brasileiro...

Asset pricing when risk sharing is limited by default: a theoretical framework

Alvarez, Fernando
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
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We study the asset pricing implications of an endowment economy when agents can default on contracts that would leave them otherwise worse off. We specialize and extend the environment studied by Kocherlakota (1995) and Kehoe and Levine (1993) to make it comparable to standard studies of asset pricillg. We completely charactize efficient allocations for several special cases. We illtroduce a competitive equilibrium with complete markets alld with elldogellous solvency constraints. These solvellcy constraints are such as to prevent default -at the cost of reduced risk sharing. We show a version of the classical welfare theorems for this equilibrium definition. We characterize the pricing kernel, alld compare it with the one for economies without participation constraints : interest rates are lower and risk premia can be bigger depending on the covariance of the idiosyncratic and aggregate shocks. Quantitative examples show that for reasonable parameter values the relevant marginal rates of substitution fali within the Hansen-Jagannathan bounds.

Primary Commodity Prices : Co-movements, Common Factors and Fundamentals

Byrne, Joseph P.; Fazio, Giorgio; Fiess, Norbert
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices.

International Asset Allocations and Capital Flows : The Benchmark Effect

Raddatz, Claudio; Schmukler, Sergio L.; Williams, Tomas
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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This paper studies channels through which well-known benchmark indexes impact asset allocations and capital flows across countries. The study uses unique monthly micro-level data of benchmark compositions and mutual fund investments during 1996-2012. Benchmarks have important effects on equity and bond mutual fund portfolios across funds with different degrees of activism. Benchmarks explain, on average, around 70 percent of country allocations and have significant impact even on active funds. Benchmark effects are important after controlling for industry, macroeconomic, and country-specific, time-varying effects. Reverse causality does not drive the results. Exogenous, pre-announced changes in benchmarks result in movements in asset allocations mostly when these changes are implemented (not when announced). By impacting country allocations, benchmarks affect capital flows across countries through direct and indirect channels, including contagion. They explain apparently counterintuitive movements in capital flows...

Asset Price Effects of Peer Benchmarking

Acharya, Sushant; Pedraza, Alvaro
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
Português
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This paper estimates the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, the paper exploits a natural experiment involving a change in a government imposed underperformance penalty applicable to Colombian pension funds. This change in regulation is orthogonal to stock fundamentals and only affects incentives to track peer portfolios allowing the authors to identify the component of demand due to peer benchmarking. The authors find that peer effects among pension fund managers generate excess in stock return volatility, with stocks exhibiting short-term abnormal returns followed by returns reversal in the subsequent quarter. Additionally, peer benchmarking produces an excess in comovement across stock returns beyond the correlation implied by fundamentals.

Average drawdown risk and capital asset pricing

Baghdadabad, M.; Glabadanidis, P.
Fonte: World Scientific Publishing Co. Pte. Ltd. Publicador: World Scientific Publishing Co. Pte. Ltd.
Tipo: Artigo de Revista Científica
Publicado em //2013 Português
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Practitioners and academics have spent the past few decades debating the validity and relevance of the capital asset pricing model (CAPM). One of the attributes of the model is an estimate of risk by beta, which in equilibrium describe the behavior of mean-variance (MV) investors. In the MV framework, risk is measured by the variance of returns which is a questionable and restrictive risk measure. In contrast, the average drawdown risk is a more acceptable risk measure and can be applied to modeling an alternative behavioral hypothesis, namely mean-drawdown behavior with a replacement risk measure for diversified investors, the average drawdown beta leading to an alternative pricing model based on this beta. Our findings clearly support the average drawdown beta and the pricing model of average drawdown CAPM versus the conventional beta and CAPM in a sample of Malaysian mutual funds.; Mohammad Reza Tavakoli Baghdadabad and Paskalis Glabadanidis

Financial Markets and the Macroeconomy: Cross-Sectional Returns, Time-Variation of Risk Premia, and Forecasting; Finanzmärkte und Makroökonomie: Querschnitts- und Zeitvariation von Risikoprämien und Prognose

Schrimpf, Andreas
Fonte: Universidade de Tubinga Publicador: Universidade de Tubinga
Tipo: Dissertação
Português
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Diese Dissertation setzt sich zusammen aus drei separaten Aufsätzen, welche sich aus empirischer Sicht mit verschiedenen Aspekten der Zusammenhänge zwischen Finanzmärkten und der Makroökonomie beschäftigen. Kapitel 1 ("Long Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence") untersucht den Erklärungsgehalt des langfristigen konsum-basierten Asset Pricing Modells (LH-CCAPM) für die Querschnittsvariation von Renditen in internationalen Aktienmärkten. Wie die Resultate dieses Kapitels zeigen, ist das LH-CCAPM nicht in der Lage den Querschnitt von Aktienrenditen auf zufriedenstellende Art und Weise zu erklären, wenn die starke Faktorstruktur der (nach Marktkapitalisierung und Buchwert Marktwertverhältnis geordneten) Test-Portfolios berücksichtigt wird. Allerdings ergeben sich jedoch typischerweise niedrigere geschätzte Werte für den Risikoaversionsparameter, sofern Konsumrisiken über längerfristige Horizonte gemessen werden. Somit kann festgehalten werden, dass plausiblere Schätzergebnisse für die strukturellen Parameter -- im Gegensatz zu einem verbesserten Erklärungsgehalt für den Querschnitt -- als der zentrale Erfolg des langfristigen konsum-basierten Asset Pricing Modells angesehen werden können. Während der Fokus des ersten Aufsatzes auf der Variation von Risikoprämien im Querschnitt der Aktienrenditen liegt...

Exchange Rates and Fundamentals: Co-movement, long-run relationships and short-run dynamics

BEKIROS, Stelios D.
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
Português
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The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the well-known puzzle that fundamental variables such as money supplies, interest rates, outputs etc. provide help in predicting changes in floating exchange rates. It also tests the theoretical result of Engel and West (2005) that in a rational expectations present-value model, the asset price manifests near–random walk behaviour if the fundamentals are I(1) and the factor for discounting future fundamentals is near one. The study explores the direction and nature of causal interdependencies and cross-correlations among the most widely traded currencies in the world, their country-specific fundamentals and their US-differentials. A new VAR/VECM-GARCH multivariate filtering approach is implemented, whilst linear and nonlinear non-causality is tested on the time series. In addition to pairwise causality testing, several different groupings of variables are explored. The methodology is extensively tested and validated on simulated and empirical data. The implication is that although exchange rates and fundamentals appear to be linked in a way that is broadly consistent with asset-pricing models...

Performance evaluation considering the coskewness: a stochastic discount factor framework

Rodríguez López, Rosa; Moreno, David
Fonte: Emerald Publicador: Emerald
Tipo: Artigo de Revista Científica Formato: text/plain; application/pdf
Publicado em //2006 Português
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Purpose – The paper aims to examine the performance of Spanish mutual funds between 1999 and 2003. Design/methodology/approach – The methodolgy uses the stochastic discount factor (SDF) framework across a variety of models developed in the recent asset pricing literature. This approach is a fairly recent innovation in the evaluation of investment performance. Findings – The present work complements the research of Farnworth et al. and Fletcher and Forbes, adding a new issue to the SDF, the third co-moment of asset returns. Recent asset pricing studies show the relevance of the component of an asset's skewness related to the market portfolio's skewness, the coskewness, and how it helps to explain the time-variation of ex-ante market risk premiums. It is found that the effects of adding coskewness to evaluate the performance is significant even when factors based on size, book-to-market and momentum are included. Practical implications – The omission of a coskewness factor may lead to erroneous evaluations of a fund's performance, and therefore, issues such as the persistence of performance should be revised. Originality/value – This paper explores, for the first time, the effects of incorporating a coskewness factor in the analysis of investment performance...

Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model

Partovi, M. Hossein
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 20/06/2013 Português
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The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed. While a determination of principal portfolios in general requires a detailed knowledge of the covariance matrix for the asset set, the rather simple structure of CAPM permits an accurate solution for any reasonably large asset set that reveals interesting universal properties. Thus for an asset set of size N, we find a market-aligned portfolio, corresponding to the market portfolio of CAPM, as well as N-1 market-orthogonal portfolios which are market neutral and strongly leveraged. These results provide new insight into the return-volatility structure of CAPM, and demonstrate the effect of unbridled leveraging on volatility.; Comment: 8 pages, submitted for publication

Arbitrage-Free Pricing Before and Beyond Probabilities

Paulot, Louis
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 03/10/2013 Português
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"Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement. Prices are given by linear forms which do not always correspond to probabilities. We give examples of such cases. We also show that arbitrage freedom is equivalent to the continuity of the pricing linear form in the relevant topology. Finally we analyze the possible loss of martingality of asset prices with lognormal stochastic volatility. For positive correlation martingality is lost when the financial process is modelled through standard probability theory. We show how to recover martingality using the appropriate mathematical tools.; Comment: 5 pages

On the semimartingale property of discounted asset-price processes

Kardaras, Constantinos; Platen, Eckhard
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not assumed. Via a natural market viability assumption, namely, absence of arbitrages of the first kind, we establish that discounted asset-prices have to be semimartingales. In a slightly more specialized case, we extend the previous result in a weakened version of the Fundamental Theorem of Asset Pricing that involves strictly positive supermartingale deflators rather than Equivalent Martingale Measures.; Comment: 11 pages. The text has been thoroughly revised and there are new results. This is the 1st part of what comprised the older arxiv submission arXiv:0803.1890 "On financial markets where only buy-and-hold trading is possible" by the two authors

Asset Prices and Risk Aversion

Pepin, Dominique
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 04/03/2014 Português
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The standard asset pricing models (the CCAPM and the Epstein-Zin non-expected utility model) counterintuitively predict that equilibrium asset prices can rise if the representative agent's risk aversion increases. If the income effect, which implies enhanced saving as a result of an increase in risk aversion, dominates the substitution effect, which causes the representative agent to reallocate his portfolio in favour of riskless assets, the demand for securities increases. Thus, asset prices are forced to rise when the representative agent is more risk adverse. By disentangling risk aversion and intertemporal substituability, we demonstrate that the risky asset price is an increasing function of the coefficient of risk aversion only if the elasticity of intertemporal substitution (EIS) exceeds unity. This result, which was first proved par Epstein (1988) in a stationary economy setting with a constant risk aversion, is shown to hold true for non-stationary economies with a variable or constant risk aversion coefficient. The conclusion is that the EIS probably exceeds unity.

Information-Based Asset Pricing

Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 16/04/2007 Português
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A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modelled by a random variable that can be expressed as a function of a collection of independent random variables called market factors. With each such "X-factor" we associate a market information process, the values of which are accessible to market agents. Each information process is a sum of two terms; one contains true information about the value of the market factor; the other represents "noise". The noise term is modelled by an independent Brownian bridge. The market filtration is assumed to be that generated by the aggregate of the independent information processes. The price of an asset is given by the expectation of the discounted cash flows in the risk-neutral measure, conditional on the information provided by the market filtration. When the cash flows are the dividend payments associated with equities, an explicit model is obtained for the share-price, and the prices of options on dividend-paying assets are derived. Remarkably, the resulting formula for the price of a European call option is of the Black-Scholes-Merton type. The information-based framework also generates a natural explanation for the origin of stochastic volatility.; Comment: 32 pages. No figure

A model-free version of the fundamental theorem of asset pricing and the super-replication theorem

Acciaio, Beatrice; Beiglböck, Mathias; Penkner, Friedrich; Schachermayer, Walter
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a model-independent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as options written on this risky asset. As a technical condition, we assume the existence of a traded option with a super-linearly growing payoff-function, e.g., a power option. This condition is not needed when sufficiently many vanilla options maturing at the horizon T are traded in the market.

Ownership of Capital in Monetary Economies and the Inflation Tax on Equity

Chami, Ralph; Cosimano, Thomas F.; Fullenkamp, Connel
Fonte: SSRN eLibrary Publicador: SSRN eLibrary
Tipo: Artigo de Revista Científica Formato: 16009813 bytes; application/pdf
Publicado em //1998 Português
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Asset pricing models have only partially captured the true inflation risk of equities. The contribution of this paper is to identify and quantify the extra inflation tax on equities that results when ownership of physical capital is separated from nominal ownership of the firm in a production economy with money. We add money to the standard stochastic growth model with production and explicitly distinguish firm ownership of physical capital from household ownership of stock certificates. We prove that the effect of this distinction is to make the value of the firm equal to the firm's capital stock divided by inflation. We then derive the standard asset-pricing conditions from the consumer's Euler equations and show that the effect of inflation on asset returns differs from the effects found in other papers by the addition of a wealth tax. The wealth tax reflects the government's ability to tax the entire future dividend stream at once by taxing the real value of stock certificates, rather than taxing the dividend flow period by period. We show analytically as well as in simulations that the wealth tax effect is significant. This suggests that the presence of the wealth tax is responsible for the greater inflation anxiety in the stock market.

CAPM em estudos brasileiros: Uma análise da pesquisa; CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH

Araújo, Elisson Alberto Tavares; Oliveira, Victor do Carmo; Castro Silva, Wendel Alex
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; Revisão de Literatura/pesquisa empírica; ; ; ; ; ; Formato: application/pdf
Publicado em 27/09/2012 Português
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Nas últimas décadas, o modelo de precificação de ativos financeiros CAPM (Capital Asset Pricing Model) tem se sido um tema recorrente nos estudos em contabilidade e finanças, também no Brasil. Com o intuito de conhecer suas principais características metodológicas e constatações, realizou-se um levantamento dos artigos acadêmicos abordando o CAPM e variantes no país, entre 1997 e 2008, apresentados nos EnANPADs e em periódicos nacionais,. A estatística descritiva foi utilizada nas análises. Constatou-se que, em quase 1/3 dos trabalhos houve comparações do CAPM com outros modelos. A versão convencional foi a mais utilizada, e os seguintes perfis foram identificados nesses artigos: 1) naqueles que confirmaram a efetividade da teoria: boa parte informou os dados de modo incompleto; prevaleceram as análises cross-section; o Ibovespa foi a proxy da carteira de mercado mais utilizada; a SELIC foi a proxie do ativo livre de risco preferida; os períodos de análise entre um e três anos predominaram, 2) naqueles que a refutaram: a maioria dos dados estavam incompletos; foco nas análises cross-section, e nos testes em períodos de um a três anos; e o Ibovespa e o CDI foram as proxies mais aplicadas. Além disso, o IGP-DI foi o deflacionador preponderante...

Rational asset pricing implications from realistic trading frictions

Zigrand, Jean-Pierre
Fonte: Financial Markets Group, London School of Economics and Political Science Publicador: Financial Markets Group, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /05/2002 Português
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We study a simple rational expectations (RE) model whose asset pricing implications address some of the short-run mispricings, informational inefficiencies, and overreactions observed in real markets, without a need to resort to behavioral assumptions. We accomplish this by relying on the plausible joint frictions of immediacy risk (excution risk) and asset-specific orders (the demand function for asset a cannot be made contingent on the price of any asset other than a). These frictions induce allocational and informational inefficiencies akin to the ones observed in reality. At the closed-form RE Equilibrium it is shown that arbitrage opportunities occur which could not have occured in a standard model. A certain and precise degree of informativeness of prices to the traders is lost because the decision making process becomes endogenously segmented and decentralized within the same decision making entity (distinct "trading desks"). It is shown that, compared to the frictionless benchmark case, volatility is affected at a RE Equlibrium, and that asset prices are likely to overreact to news. Interestingly, the coordination problem arising from limited communication, even though dramatically changing demand functions, does not lead to welfare losses.

Asymmetric information in financial economics: Asset pricing, liquidity policy and the resolution of financial distress.

Pagratis, Spyros
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em //2005 Português
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This thesis consists of three self contained essays in financial economics where agents interact under asymmetric information about some latent economic fundamentals. The chapter on "Asset pricing under noisy rating signals: Does benchmarking on ratings matter.", demonstrates that, in the presence of noise traders who benchmark their supply of a traded asset to public signals (ratings), informed traders are induced to rationally overreact to news about fundamentals, leading to excess asset price volatility. The analysis also shows that if market participants use public ratings solely for price discovery purposes then, under no circumstances ratings could weaken price efficiency, even in the presence of higher order beliefs. The chapter on "Prudential liquidity regulation and the insurance aspect of lender of last resort" considers prudential liquidity regulation as quid pro quo for emergency liquidity assistance by the central bank. In the presence of bank funding constraints, information-induced bank runs and an objective by the central bank to maintain a balanced budget under its lender of last resort (LOLR) facility, it is shown that prudential liquidity regulation is socially desirable if the banking sector is characterised by sufficient funding constraints...

Essays in asset pricing and institutional investors

Shang, Qi
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em 30/05/2012 Português
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The thesis includes three papers: 1. Limited Arbitrage Analysis of CDS Basis Trading By modeling time-varying funding costs and demand pressure as the limits to arbitrage, the paper shows that assets with identical cash-flows have not only different expected returns, but also different expected returns in excess of funding costs. I solve the model in closed-form to show that the arbitrage on the CDS and corporate bond market is a risky arbitrage. The sign of the expected excess return of the arbitrage is decided by the sign and size of market frictions rather than the observed price discrepancy. The size and risk of the arbitrage excess return are increasing in market friction levels and assets' maturities. High levels of market frictions also destruct the positive predictability of credit spread term structure on credit spread changes. Results from the empirical section support the above-mentioned model predictions. 2. General Equilibrium Analysis of Stochastic Benchmarking This paper applies a closed-form continuous-time consumption-based general equilibrium model to analyze the equilibrium implications when some agents in the economy promise to beat a stochastic benchmark at an intermediate date. For very risky benchmark, these agents increase volatility and risk premium in the equilibrium. On the other hand...