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Time-varying expected returns : evidence from the U.S. and the U.K

Sousa, Ricardo M.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Tipo: Trabalho em Andamento
Publicado em //2010 Português
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I assess the relative performance of several empirical proxies developed in the literature of asset pricing to capture time-variation in expected future returns using data for the U.S. and the U.K.. I show that the wealth composition risk by Sousa (2010) exhibits strong forecasting power.; Fundação para a Ciência e a Tecnologia (FCT) - Programa Operacional Ciência e Inovação 2010 (POCI 2010); Fundo Europeu de Desenvolvimento Regional (FEDER)

The role of an illiquidity factor in the Portuguese stock market

Miralles Marcelo, José Luis; Miralles Quirós, María del Mar; Oliveira, Célia
Fonte: Instituto Politécnico de Lisboa Publicador: Instituto Politécnico de Lisboa
Tipo: Conferência ou Objeto de Conferência
Publicado em /07/2011 Português
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This study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, Vol. 33, Nº. 1, pp. 3-56] procedure and analyze the performance of CAPM, Fama-French three-factor model and illiquidity-augmented versions of these models in explaining both the time-series and the cross-section of returns. Our results reveal that the effect of characteristic liquidity is subsumed by the models considered, but the risk of illiquidity is not priced in the Portuguese stock market.

Momentum and contrarian strategies in the Portuguese stock market

Pereira, Pedro Filipe Silveira Inácio Rodrigues
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2010 Português
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Master in Finance Dissertation / JEL Classification System: G11 - Portfolio Choice; Investment Decisions G14 - Information and Market Efficiency; Event Studies G12 - Asset Pricing; This thesis studies whether momentum and contrarian strategies are profitable on the Portuguese stock market and whether it is possible to obtain higher returns based on past performance trends. The time period analyzed is 1997-2008. The momentum strategy is based on the under-reaction hypothesis. This suggests that stocks that have had the best (worst) results in the recent past will continue to have better (worse) results in the near future, and therefore a trading strategy that buys winner stocks and sells the losers would provide significant abnormal returns. On the other hand, the contrarian strategy is based on the overreaction hypothesis which assumes the opposite behaviour from stock returns, and hence recommends buying losers and selling winners. Short term strategies show momentum profitability, thus supporting the under-reaction hypothesis. For longer periods, contrarian profitability (and overreaction) is also considerable but not so evident. An “innovative” investment strategy was developed that provides much higher returns than momentum and contrarian strategies. It is based on two upward past trends: if the past returns for the two defined periods preceding the holding period were equal or higher than the percentages defined...

Fundos de pensão como financiadores da atividade econômica

Amaral,Hudson Fernandes; Vilaça,Caroline Sales Issa; Barbosa,Camila Figueiredo Marques; Bressan,Valéria Gama Fully
Fonte: Fundação Getulio Vargas, Escola de Administração de Empresas de S.Paulo Publicador: Fundação Getulio Vargas, Escola de Administração de Empresas de S.Paulo
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2004 Português
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A geração de poupança interna e a ampliação do investimento produtivo é condição para alcançar e manter taxas de crescimento econômico compatíveis com o desenvolvimento social. Os fundos de pensão, com os recursos disponíveis para investir, possibilitam alavancar o desenvolvimento de um país na medida em que canalizam esses recursos para o setor produtivo. Diante dessa perspectiva, este estudo propõe analisar o desempenho das aplicações em renda variável desses fundos, aqui considerados investimento produtivo, por meio do Capital Asset Pricing Model (CAPM) e dos índices de Sharpe e M² . Estes se prestam a avaliar o investimento realizado em relação ao risco e ao retorno da carteira. A partir da metodologia proposta, verificou-se que os investimentos em ações incorreram em retornos superiores aos esperados, garantindo eficiência na remuneração pelo risco, gerando, por um lado, maior valor agregado ao fundo e, por outro, um incremento da poupança interna do país, respaldado pela aplicação de recursos no setor produtivo.

Instituições financeiras públicas de fomento: exagero de conservadorismo da política de investimentos?

Matos,Paulo Rogério F.; Lima Filho,José Valente de
Fonte: Fundação Getulio Vargas Publicador: Fundação Getulio Vargas
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/04/2010 Português
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Este artigo analisa a questão do conservadorismo no que concerne à gestão de recursos por tesourarias de instituições financeiras públicas, que incorrem em um trade-off por não ter essa gestão como prioridade, mas sim as atividades associadas ao desenvolvimento. Fazendo-se uso do capital asset pricing model (CAPM), as evidências para o Banco do Nordeste do Brasil, o maior banco de desenvolvimento regional da América Latina, sugerem que sejam viáveis as mudanças institucional e na legislação que restringe a política de investimentos dessas organizações.

Fundos de pensão como formadores de poupança interna: uma alternativa para o financiamento da atividade econômica

Amaral,Hudson Fernandes; Vilaça,Caroline Sales Issa; Barbosa,Camila Figueirêdo Marques; Bressan,Valéria Gama Fully
Fonte: Associação Nacional dos Programas de Pós-graduação em Administração Publicador: Associação Nacional dos Programas de Pós-graduação em Administração
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2004 Português
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A geração de poupança interna e a ampliação do investimento produtivo é condição para alcançar e manter taxas de crescimento econômico compatíveis com o desenvolvimento social. Os fundos de pensão, com os recursos disponíveis para investir, possibilitam alavancar o desenvolvimento de um país na medida em que canalizam esses recursos para o setor produtivo. Diante de tal perspectiva, o nosso estudo propõe analisar o desempenho das aplicações em renda variável desses fundos, aqui considerados investimento produtivo, por meio do Capital Asset Pricing Model (CAPM). Esse modelo se presta a explicar o comportamento dos preços dos títulos e fornecer mecanismos de avaliação do investimento realizado em relação ao risco e retorno da carteira. A partir da metodologia proposta, verificou-se que os investimentos em ações incorreram em retornos superiores aos esperados, gerando por um lado maior valor agregado ao fundo e, por outro, um incremento da poupança interna do país, respaldado pela aplicação de recursos no setor produtivo.

Asset Pricing at the Millennium

Campbell, John
Fonte: Blackwell Publishing Publicador: Blackwell Publishing
Tipo: Artigo de Revista Científica
Português
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This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the economy. The behavior of the term structure of real interest rates restricts the conditional mean of the SDF, whereas patterns of risk premia restrict its conditional volatility and factor structure. Stylized facts about interest rates, aggregate stock prices, and cross-sectional patterns in stock returns have stimulated new research on optimal portfolio choice, intertemporal equilibrium models, and behavioral finance. The definitive version is available at www.blackwell-synergy.com.; Economics

X-CAPM: An Extrapolative Capital Asset Pricing Model

Barberis, Nicholas; Greenwood, Robin Marc; Jin, Lawrence; Shleifer, Andrei
Fonte: National Bureau of Economic Research Publicador: National Bureau of Economic Research
Tipo: Research Paper or Report
Português
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Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other investors hold fully rational beliefs. We find that the model captures many features of actual prices and returns; importantly, however, it is also consistent with the survey evidence on investor expectations.; Economics

A relevância do risco idiossincrático sobre os retornos das ações no mercado brasileiro; Idyosyncraté risk and stock returns in the brazilian market

Dias, Sâmia Rodrigues Alves
Fonte: Universidade Federal de Goiás; Brasil; UFG; Faculdade de Administração, Ciências Contábeis e Ciências Econômicas (RG); Administração (RG) Publicador: Universidade Federal de Goiás; Brasil; UFG; Faculdade de Administração, Ciências Contábeis e Ciências Econômicas (RG); Administração (RG)
Tipo: Trabalho de Conclusão de Curso
Português
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Desde o trabalho de Markowitz (1952), com a proposta da análise da média e a variância para o retorno e o risco respectivamente, a precificação do risco e sua relação com o retorno do título passou a ser discutida por vários modelos de precificação de ativos. Sobretudo o modelo de Sharpe (1964), o Capital Asset Pricing, baseado nas premissas de Markowitz, considerou que somente o risco sistemático seria importante para determinação do valor de uma ação considerando que uma carteira perfeitamente diversificada excluiria o risco idiossincrático. Porém partindo do pressuposto que os investidores não conseguem diversificar suas aplicações, por vários motivos, como custos fixos de transação, o risco idiossincrático passa então a ter relevância na análise risco-retorno. Assim, para investigar se há significância no relacionamento entre o risco idiossincrático e o retorno esperado é utilizada uma abordagem de dados em painel, realizando estimações pelo método dos mínimos quadrados ordinários no período de janeiro de 2007 a dezembro de 2012. Os resultados apontam uma correlação negativa entre o risco idiossincrático e o retorno esperado, com uma relação estatística significativa ao nível de 1%. Esses resultados são semelhantes aos encontrados por Ang et al (2006)...

Estimating the Fiscal Risks and Costs of Output-Based Payments : An Overview

Boyle, Glenn; Irwin, Timothy
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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Output-based payments are an important tool of government policy. Sometimes governments offer "output-based aid" to subsidize services sold to households. Because output-based payments are tied to the delivery of outputs, they have an obvious advantage over input-based payments. In agreeing to make such payments, however, governments assume a liability not unlike that created by taking on debt. Moreover, in some cases the payment amounts are subject to considerable uncertainty. As a result governments may benefit from estimating both the costs of these commitments, and the new fiscal risks they create-and comparing these costs and risks with those of alternative policies. Output-based payments come in many forms, as do the risks they present. However, measuring the risks and costs of output-based schemes is feasible but also, inevitably, mathematical. Quantifying risk necessarily involves some knowledge, and application of probability and statistics; estimating the cost of uncertain payments that occur at different points in time...

Estimation of global beta and tests of capital asset pricing models

You, Leyuan
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica
Português
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With the rapid globalization and integration of world capital markets, more and more stocks are listed in multiple markets. With multi-listed stocks, the traditional measurement of systematic risk, the domestic beta, is not appropriate since it only contain information from one market. ^ Prakash et al. (1993) developed a technique, the global beta, to capture information from multiple markets wherein the stocks are listed. In this study, the global betas are obtained as well as domestic betas for 704 multi-listed stocks from 59 world equity markets. Welch tests show that domestic betas are not equal across markets, therefore, global beta is more appropriate in a global investment setting. ^ The traditional Capital Asset Pricing Models (CAPM) is also tested with regards to both domestic beta and global beta. The results generally support the positive relationship between stocks returns and global beta while tend to reject this relationship between stocks returns and domestic beta. Further tests of International CAPM with domestic beta and global beta strengthen the conclusion.^

The Equity Premium Puzzle: Explanations and Implications

Grant, Simon; Quiggin, John
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 1386345 bytes; application/pdf
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Analysis of the equity premium puzzle has focused on private sector capital markets. The object of this paper is to consider the welfare and policy implications of each of the broad classes of explanations of the equity and premium puzzle. As would be expected, the greater the deviation from the first-best outcome implied by a given explanation of the equity premium puzzle, the more interventionist are the implied policy conclusions. Nevertheless, even explanations of the equity premium puzzle consistent with a general consumption-based asset pricing model have important welfare and policy implications.; no

Lead-lag effects in Australian industry portfolios

Haque, T.
Fonte: AFAANZ; On line Publicador: AFAANZ; On line
Tipo: Conference paper
Publicado em //2008 Português
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Hou (2007) shows that in the United States returns to stocks with high market capitalizations, in a given industry, lead returns to stocks in the same industry with smaller market capitalizations. We show similar lead-lag effects or positive crosscorrelations in Australian industry portfolios in both daily and weekly returns. The magnitude of lead-lag effects is larger in Australia reflecting the greater importance of large stocks as indicator stocks for the industries they lead. These results amplify the significance of industries in asset-pricing and behavioural finance models and also suggest that a within-industry switch from the large stocks of an industry to the smaller stocks, may be profitable.; Tariq Haque

Infinitely many securities and the fundamental theorem of asset pricing

Balbás, Alejandro; Downarowicz, Anna
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /08/2004 Português
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Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities. This paper addresses this caveat by drawing on projective systems of probability measures. Firstly, it is shown that there are two distinct sorts of models whose treatment is necessarily different. Secondly, and more important, we analyze those situations for which one can provide a projective system of ó .additive measures whose projective limit may be interpreted as a risk-neutral probability. Hence, the Fundamental Theorem of Asset Pricing is extended so that it can apply for models with infinitely many assets.

Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market

Martínez, Miguel Ángel; Nieto, Belén; Rubio, Gonzalo; Tapia, Mikel
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em //2005 Português
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Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross sectionally with betas estimated relative to three competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2003), is associated with the temporary price fluctuation reversals induced by the order flow. Our market-wide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid–ask spread and returns with low sensitivities to those changes. Finally, the aggregate ratio of absolute stock returns to euro volume, as suggested by Amihud [J. Financ. Mark. 5 (2002) 31], is also employed. Our empirical results show that systematic liquidity risk is significantly priced in the Spanish stock market exclusively when betas are measured relative to the illiquidity risk factor based on the price response to one euro of trading volume on either unconditional or conditional versions of liquidity-based asset pricing models.

Infinitely many securities and the fundamental theorem of asset pricing

Balbás, Alejandro; Downarowicz, Anna
Fonte: Springer Publicador: Springer
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf
Publicado em /10/2007 Português
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Several authors have pointed out the possible absence of martingale measures for static arbitrage free markets with an infinite number of available securities. Accordingly, the literature constructs martingale measures by generalizing the concept of arbitrage (free lunch, free lunch with bounded risk, etc.) or introducing the theory of large financial markets. This paper does not modify the definition of arbitrage and addresses the caveat by drawing on projective systems of probability measures. Thus we analyze those situations for which one can provide a projective system of σ−additive measures whose projective limit may be interpreted as a risk-neutral probability of an arbitrage free market. Hence the Fundamental Theorem of Asset Pricing is extended so that it can apply for models with infinitely many assets.; Partially funded by the Spanish Ministry of Science and Education (ref: BEC2003 − 09067 − C04 − 03) and Comunidad Autónoma de Madrid (ref: s − 0505/tic/000230).

Risk-neutral valuation with infinitely many trading dates

Balbás, Alejandro; Balbás, Raquel; Mayoral, Silvia
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf
Publicado em /06/2007 Português
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The first Fundamental Theorem of Asset Pricing establishes the equivalence between the absence of arbitrage in financial markets and the existence of Equivalent Martingale Measures, if appropriate conditions hold. Since the theorem may fail when dealing with infinitely many trading dates, this paper draws on the A.A. Lyapunov Theorem in order to retrieve the equivalence for complete markets such that the Sharpe Ratio is adequately bounded.; This research was partially supported by "Comunidad Autónoma de Madrid" (Spain), Grants 06/HSE/0150/2004 and s–0505/ittic/000230, and MEyC (Spain), Grant BEC2000–1388–C04–03.

An empirical analysis of the systematic liquidity risk in the spanish stock market

Miralles Marcelo, José Luis; Miralles Quirós, María del Mar
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Artigo de Revista Científica
Publicado em //2004 Português
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The main object of this study is to construct a liquidity risk factor and analyze its impact on asset pricing for the Spanish stock market over the 1994-2002 period. We generated this factor using the Fama and French (1993) orthogonal approach and analyzed if it must be included as an augmented variable on the stochastic discount factor. Moreover, and because of the absence of consensus in empirical research about the most appropriate liquidity measure, we applied the illiquidity ratio, proposed by Amihud (2002) for the American stock market that computes the price response associated with one currency of trading volume.

How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders

Walker, Todd B.
Fonte: Universidade de Indiana Publicador: Universidade de Indiana
Tipo: Trabalho em Andamento Formato: 351497 bytes; application/pdf
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Accommodating asymmetric information in a dynamic asset pricing model is technically challenging due to the problems associated with higher-order expectations. That is, rational investors are forced into a situation where they must forecast the forecasts of other agents. In a dynamic setting, this problem telescopes into the infinite future and the dimension of the relevant state space approaches infinity. By using the frequency domain approach of Whiteman (1983) and Kasa (2000), this paper demonstrates how information structures previously believed to preserve asymmetric information in equilibrium, converge to a symmetric information, rational expectations equilibrium. The revealing aspect of the price process lies in the invertibility of the observed state space, which makes it possible for agents to infer the economically fundamental shocks and thus eliminating the need to forecast the forecasts of others.

Existence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unbounded

BROGUEIRA, João; SCHÜTZE, Fabian
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf
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This note proves existence of a unique equilibrium in a Lucas (1978) economy when the utility function displays constant relative risk aversion and log dividends follow a normally distributed AR(1) process with positive auto-correlation. In particular, the note provides restrictions on the coefficient of relative risk aversion, the discount factor and the conditional variance of the consumption process that ensure existence of a unique equilibrium.