Página 6 dos resultados de 1125 itens digitais encontrados em 0.003 segundos

Risco de crédito e alocação ótima para uma carteira de debêntures

GODÓI, André Cadime de; YOSHINO, Joe Akira; OLIVEIRA, Rogério de Deus
Fonte: Instituto de Pesquisas Econômicas da FEA-USP Publicador: Instituto de Pesquisas Econômicas da FEA-USP
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
47.81037%
A debênture vem se tornando um instrumento de captação cada vez mais importante para empresas não financeiras no mercado brasileiro e uma alternativa às elevadas taxas de juros cobradas pelos bancos comerciais em uma operação de financiamento. Um aspecto-chave para o desenvolvimento do mercado secundário deste instrumento é o correto tratamento do risco de crédito, que ocorre quando o emissor não cumpre suas obrigações contratuais. Este trabalho propõe e testa uma metodologia que determina a magnitude deste risco para uma carteira de debêntures de empresas emissoras brasileiras. A abordagem utilizada baseia-se no Modelo de Merton (1974) para bônus corporativos, que utiliza as fórmulas de Black-Scholes para o cálculo do preço de opções. Também são utilizadas técnicas de otimização para a determinação do risco da carteira. Adotando um modelo simples e de baixo custo computacional, chegamos a uma medida de risco mais conservadora do que a obtida com o tradicional modelo VaR (value at risk). Além disso, apresentamos uma metodologia para a obtenção da composição ótima da carteira de debêntures.; The debenture (corporate bond) is considered a fantastic financial instrument in terms of funding for the non-financial firms in the Brazilian market. The intermediation would be done in the capital market instead of through the commercial banks. The key issue for the development of this market is the financial engineering involving the credit risk (chance that the corporate issuer can default on its debt obligation). This paper proposes and tests a methodology to quantify this risk in a cross-section of Brazilian debentures. Our approach is based on Merton’s (1974) asset pricing model that uses the Black-Schole’s put option formula. The consequent optimization techniques allow us to infer the risk of debentures. By using a simple and low-cost model...

Um teste empírico para mudanças em níveis para precificação de ativos; An empirical test for change in levels to asset pricing

Ros, Eduardo De Nardi
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 29/11/2012 Português
Relevância na Pesquisa
47.81037%
O objetivo deste trabalho é realizar um teste empírico da teoria de precificação de ativos em um conjunto de países. Em geral, a literatura utiliza testes para o modelo CAPM a partir de uma cross-section de ativos, encontrando evidências que vão tanto ao seu encontro como o refutam. No presente trabalho, entretanto, utiliza-se um teste de mudanças no nível de exposição ao risco sistemático, de maneira similar a Chari e Henry (2004). O experimento natural será a concessão (ou perda) de grau de investimento das principais agências de risco. A hipótese é que ativos sujeitos a novo nível de risco sistemático devem ter seu retorno alterado de acordo com as respectivas magnitudes individuais das diferenças no nível de exposição ao risco sistemático. Os resultados confirmam o que se espera ao examinar-se a teoria.; The objective of this dissertation is to perform an empirical test of the asset pricing theory in a set of countries. The literature usually tests CAPM from a cross-section, finding evidence that both confirm and refute theory predictions. In the present dissertation change in levels are used to test CAPM, similar to Chari and Henry (2004). The natural experiment is the countries' rate upgrade to investment grade or downgrade to speculative grade by major ratings agencies. The hypothesis is that return of assets subject to a change in levels of systematic risk should be amended in accordance with their respective magnitudes of individual differences in exposure to systematic risk. The results confirm theory predictions.

Testes de validade do capital asset pricing model no mercado acionário de São Paulo : um estudo indicativo do poder de teste da metodologia de Fama e Macbeth

Horng, Wang Jiang
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
47.81037%
Utiliza a técnica de simulação para estimar a "eficiência" de se testar o modelo Capital Asset Pricing Model (CAPM) num mercado com características do mercado acionário paulista, marcado por elevado retorno e alta volatilidade.

CAPM "Capital Asset Pricing Model" : o modelo de avaliação de ativos : uma revisão da literatura e dos testes empíricos

Silva, José Oliveira da
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
47.81037%
Levantamento bibliográfico abrangendo os prin cipais trabalhos relativos ao "CAPM - Capital Asset Pricing Model" que se acham esparsos em vasta litera tura. Aborda desde a teoria de seleção de carteira, o desenvolvimento e testes do modelo, suas implicações para a teoria" financeira. Inclui também considerações sobre o relaxamento dos pressupostos básicos e "sobre a influência do fator inflacionário na forma e validade do modelo

Avaliação do modelo de fama e french e do modelo CAPM no mercado brasileiro

Gallina, Matheus Vacaro
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
Português
Relevância na Pesquisa
48.008643%
A teoria de apreçamento de ativo vem sendo estudada há décadas, buscando explicar os retornos dos ativos. Durante esse período diversos modelos foram propostos para tentar explicar estes retornos, entre eles, o CAPM e o modelo de três fatores de Fama e French. Enquanto o CAPM aponta apenas os retornos da carteira de mercado como fator de risco, Fama e French (1993) apresentam um modelo com três fatores de risco, acrescentando os fatores, tamanho e book-to-market equity. Este trabalho testa o desempenho destes modelos entre os anos de 1996 e 2013, verificando a relevância dos seus fatores de risco para explicar os retornos de empresas com alta liquidez no mercado acionário brasileiro. Os resultados indicam um desempenho superior do modelo CAPM ao modelo de três fatores para as empresas da amostra e ainda rejeita, na maioria dos casos, o uso das variáveis extras propostas pelo modelo de Fama e French (1993).; The asset pricing theory has been studied for decades, seeking to explain asset returns. During this period, several models have been proposed to explain these returns, among which the CAPM and the Fama and French three-factor model. While CAPM indicates only the returns of the market portfolio as a risk factor, Fama and French (1993) suggest a model with three risk factors...

Expectations, shocks, and asset returns

Sousa, Ricardo M.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Tipo: Trabalho em Andamento
Publicado em //2007 Português
Relevância na Pesquisa
47.930195%
I use the consumer’s budget constraint to derive a relationship between stock market returns, the residuals of the trend relationship among consumption, aggregate wealth, and labour income, cay, and three major sources of risk: future changes in the housing consumption share, cr, future labour income growth, lr, and future consumption growth, lrc. Using a VAR, I compute measures of expected and unexpected long-run changes of the major determinants of asset returns and find that: (i) cay, cday, expected lr, cr, lrc and expected long-run changes in ex-ante real returns, lrret, strongly forecast future asset returns; (ii) unexpected lrc and unexpected lrret contain some predictive power for asset returns; (iii) unexpected lr and unexpected cr do not predict future asset returns. One can, therefore, use the intertemporal budget constraint and the forecasting properties of an informative VAR to generate the predictability of many economically motivated variables developed in the literature on asset pricing. The framework presented is sufficiently flexible to accommodate the implications of a wide class of optimal models of consumer behaviour without imposing a functional form on preferences.; Fundação para a Ciência e a Tecnologia (FCT) - SFRH/BD/12985/2003.

Macroeconomic Variables and Asset Pricing: Further Results

Shanken, Jay ; Weinstein, Mark I.
Fonte: William E. Simon Graduate School of Business Administration, University of Rochester Publicador: William E. Simon Graduate School of Business Administration, University of Rochester
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
47.844824%
The pricing of the Chen, Roll, and Ross macrovariables is re-examined using statistical methods that incorporate corrections for the well-known errors-in-variables problem in second-pass cross-sectional regressions. While pricing of the industrial production factor is supported, evidence for the other factors is much weaker than in previous studies. Our analysis suggests that the differences are due to a bias induced in earlier work by estimating betas using returns realized before size-portfolio ranking dates. New tests of linear factor pricing are introduced which indicate that stock and bond portfolio expected returns are not an exact linear function of the factor model betas.

The consumption/wealth and book/market ratios in a dynamic asset pricing contex

Rodríguez López, Rosa; Nieto, Belén
Fonte: Springer Publicador: Springer
Tipo: Artigo de Revista Científica Formato: text/plain; application/pdf
Publicado em /09/2006 Português
Relevância na Pesquisa
48.008643%
This paper addresses new insights into the predictability of financial returns. In particular, we analyze two aspects of the controversial forecasting literature. On the one hand, we demonstrate a positive and contemporaneous link between aggregate book/market and consumption/wealth ratios. On the other hand, we show that real estate and human capital, as the present value of all future salaries, are key components of the consumption/wealth ratio in Spain. Specifically, we find that the cointegrating residuals of consumption, asset holdings, real estate holdings, and our measure of human capital provide a better forecast of future returns than does the standard proxy of the consumption/wealth ratio. This result is important because it clarifies the importance of country-specific components of wealth for cases in which the consumption/wealth ratio is employed as an instrument in conditional asset pricing models.

Nonparametric estimation of conditional beta pricing models

Ferreira, Eva; Gil-Bazo, Javier; Orbe, Susan
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /05/2008 Português
Relevância na Pesquisa
48.01358%
We propose a new procedure to estimate and test conditional beta pricing models which allows for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). The method can be seen as a nonparametric version of the two-pass approach commonly employed in the context of unconditional models. In the first stage, conditional covariances are estimated nonparametrically for each asset and period using the time-series of previous data. In the second stage, time-varying MPR are estimated from the cross-section of returns and covariances, using the entire sample and allowing for heteroscedastic and cross-sectionally correlated errors. We prove the desirable properties of consistency and asymptotic normality of the estimators. Finally, an empirical application to the term structure of interest rates illustrates the method and highlights several drawbacks of existing parametric models.

An extensile method on the arbitrage pricing theory based on downside risk (D-APT)

Baghdadabad, M.R.T.; Glabadanidis, P.T.
Fonte: Emerald Group Publishing Limited Publicador: Emerald Group Publishing Limited
Tipo: Artigo de Revista Científica
Publicado em //2014 Português
Relevância na Pesquisa
47.906006%
PURPOSE – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. DESIGN/METHODOLOGY/APPROACH – This study includes 163 stocks traded on the Malaysian stock market and uses eight macroeconomic variables as the dependent and independent variables to investigate the relationship between the adjusted returns and the downside factors’ betas over the whole period 1990-2010, and sub-periods 1990-1998 and 1999-2010. It proposes a new version of the APT, namely, the D-APT to replace two deficient measures of factor's beta and variance with more efficient measures of factors’ downside betas and semi-variance to improve and dispel the APT deficiency. FINDINGS – The paper finds that the pricing restrictions of the D-APT, in the context of an unrestricted linear factor model, cannot be rejected over the sample period. This means that all of the identified factors are able to price stock returns in the D-APT model. The robustness control model supports the results reported for the D-APT as well. In addition, all of the empirical tests provide support the D-APT as a new asset pricing model, especially during a crisis. RESEARCH LIMITATIONS/IMPLICATIONS – It may be worthwhile explaining the autocorrelation limitation between variables when applying the D-APT. PRACTICAL IMPLICATIONS – The framework can be useful to investors...

A Test of a Two-Factor 'Market and Oil' Pricing Model

Faff, Robert W; Brailsford, Tim
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 77309 bytes; application/pdf
Português
Relevância na Pesquisa
48.01358%
In this paper we employ a GMM-based approach to test the restrictions imposed by a two-factor 'market and oil' pricing model when a risk-free asset is assumed to exist. We examine the Australian market which has several interesting features including self-sufficiency in relation to oil, a large concentration of natural resource companies, susceptibility to the 'Dutch disease' and a diverse industry base. We extend previous literature by examining industry sector equity returns as different industry groups are likely to have different exposures to an oil factor, particularly in Australia. In the formal tests, we find evidence in favour of the model, particularly for industrial sector industries. The preferred model includes a domestic portfolio proxy for market returns in addition to the oil price factor and we find evidence of a positive market risk premium as well as a significantly priced oil factor.; no

Choix de portefeuille de grande taille et mesures de risque pour preneurs de décision pessimistes

Noumon, Codjo Nérée Gildas Maxime
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
48.008643%
Cette thèse de doctorat consiste en trois chapitres qui traitent des sujets de choix de portefeuilles de grande taille, et de mesure de risque. Le premier chapitre traite du problème d’erreur d’estimation dans les portefeuilles de grande taille, et utilise le cadre d'analyse moyenne-variance. Le second chapitre explore l'importance du risque de devise pour les portefeuilles d'actifs domestiques, et étudie les liens entre la stabilité des poids de portefeuille de grande taille et le risque de devise. Pour finir, sous l'hypothèse que le preneur de décision est pessimiste, le troisième chapitre dérive la prime de risque, une mesure du pessimisme, et propose une méthodologie pour estimer les mesures dérivées. Le premier chapitre améliore le choix optimal de portefeuille dans le cadre du principe moyenne-variance de Markowitz (1952). Ceci est motivé par les résultats très décevants obtenus, lorsque la moyenne et la variance sont remplacées par leurs estimations empiriques. Ce problème est amplifié lorsque le nombre d’actifs est grand et que la matrice de covariance empirique est singulière ou presque singulière. Dans ce chapitre, nous examinons quatre techniques de régularisation pour stabiliser l’inverse de la matrice de covariance: le ridge...

Arbitrage and approximate arbitrage: The fundamental theorem of asset pricing

Wong, Bernard; Heyde, C C
Fonte: Taylor & Francis Group Publicador: Taylor & Francis Group
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
48.008643%
We consider an incomplete market model where asset prices are modelled by Ito processes, and derive the first fundamental theorem of asset pricing using standard stochastic calculus techniques. This contrasts with the sophisticated functional analytic the

Bayesian outlier detection in Capital Asset Pricing Model

De Giuli, Maria Elena; Maggi, Mario Alessandro; Tarantola, Claudia
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
48.008643%
We propose a novel Bayesian optimisation procedure for outlier detection in the Capital Asset Pricing Model. We use a parametric product partition model to robustly estimate the systematic risk of an asset. We assume that the returns follow independent normal distributions and we impose a partition structure on the parameters of interest. The partition structure imposed on the parameters induces a corresponding clustering of the returns. We identify via an optimisation procedure the partition that best separates standard observations from the atypical ones. The methodology is illustrated with reference to a real data set, for which we also provide a microeconomic interpretation of the detected outliers.

Conditional Density Models for Asset Pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
48.008643%
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price process is driven by Brownian motion, an associated "master equation" for the dynamics of the conditional probability density is derived and expressed in integral form. By a "model" for the conditional density process we mean a solution to the master equation along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility structure is assumed at any time and for each value of the argument of the density to be a functional of the history of the density up to that time. In practice one specifies the functional modulo sufficient parametric freedom to allow for the input of additional option data apart from that implicit in the initial density. The scheme is sufficiently flexible to allow for the input of various types of data depending on the nature of the options market and the class of valuation problem being undertaken. Various examples are studied in detail, with exact solutions provided in some cases.; Comment: To appear in International Journal of Theoretical and Applied Finance...

The Derivation of a New Model of Equity Duration

Lewin, R. A.; Satchell, Stephen E.
Fonte: Universidade de Cambridge Publicador: Universidade de Cambridge
Tipo: Trabalho em Andamento Formato: 260323 bytes; application/pdf; application/pdf
Português
Relevância na Pesquisa
48.008643%
This paper sets out to address the issue of equity duration, one of several risk measures available for asset and liability management. Equity duration, as derived from the use of traditional dividend discount models, results in extremely long duration estimated for equities - often in excess of 50 years for growth stocks. Leibowitz, in his seminal paper (1986), identified an alternative framework for assessing equity duration empirically. This methodology yields equity duration measures more consistent with the experience of practitioners, implying that equities behave as if they are much shorter duration instruments. In our paper, based on an application to UK data, we develop the intuition behind the Leibowitz approach to generate equity duration as a by-product of asset pricing, Our analysis suggests that the equity premium puzzle may comprise an important element in reconciling the Leibowitz approach to equity duration, with the more traditional dividend discount model alternative.

Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors

Burnside, Craig
Fonte: SSRN eLibrary Publicador: SSRN eLibrary
Tipo: Artigo de Revista Científica Formato: 549272 bytes; application/pdf
Publicado em //2008 Português
Relevância na Pesquisa
48.008643%
Risk factors in many consumption-based asset pricing models display statistically weak correlation with the returns being priced. Some GMM procedures used to test these models have low power to reject misspecified stochastic discount factors (SDFs) when the covariance matrix of the asset returns with the risk factors has less than full column rank. Consequently, these estimators provide potentially misleading positive assessments of the SDFs. Two summary tests for failure of the rank condition have reasonable power, and lead to no Type I errors in Monte Carlo experiments.

Essays in Asset Pricing

Ochoa-Coloma, Juan Marcelo
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2013 Português
Relevância na Pesquisa
48.008643%

The three essays in this dissertation explore the role of fluctuations in aggregate volatility and global temperature as sources of systemic risk.

The first essay proposes a production-based asset pricing model and provides empirical evidence suggesting that compensation for volatility risk is closely related to an unexplored characteristic of a firm, namely, its reliance on skilled labor. I propose a model in which aggregate growth has time-varying volatility, and linear adjustment costs in labor increase with the skill of a worker. The model predicts that expected returns increase with a firm's reliance on skilled labor, as well as compensation for fluctuations in aggregate uncertainty. Consequently, a rise in aggregate uncertainty predicts an increase in expected returns as well as in cautiousness in hiring and firing. This impact is larger for firms with a high share of skilled workers because their labor is more costly to adjust. I empirically test the implications of the model using occupational estimates to construct a measure of a firm's reliance on skilled labor, and find a positive and statistically significant cross-sectional relation between the reliance on skilled labor and expected returns. Empirical estimates also show that an increase in aggregate uncertainty leads to a rise in expected returns...

Equilibrium asset pricing with systemic risk

Danielsson, Jon; 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 11/05/2006 Português
Relevância na Pesquisa
48.008643%
We provide an equilibrium multi-asset pricing model with micro-founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of tackling systemic risk, with Value-at-Risk a key component. The model suggests that risk sensitive regulation can lower systemic risk in equilibrium, at the expense of poor risk-sharing, an increase in risk premia, higher and asymmetric asset volatility, lower liquidity, more comovement in prices, and the chance that markets may not clear.

Equilibrium asset pricing with systemic risk

Danielsson, Jon; Zigrand, Jean-Pierre
Fonte: springer Publicador: springer
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /05/2008 Português
Relevância na Pesquisa
48.008643%
We provide an equilibrium multi-asset pricing model with micro- founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of tackling systemic risk, with Value-at-Risk a key component. The model suggests that risk-sensitive regulation can lower systemic risk in equilibrium, at the expense of poor risk-sharing, an increase in risk premia, higher and asymmetric asset volatility, lower liquidity, more comovement in prices, and the chance that markets may not clear.