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Arbitrage pricing theory in international markets; Teoria de apreçamento arbitragem aplicada a mercados internacionais

Bernat, Liana Oliveira
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 05/09/2011 Português
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This dissertation studies the impact of multiple pre-specified sources of risk in the return of three non-overlapping groups of countries, through an Arbitrage Pricing Theory (APT) model. The groups are composed of emerging and developed markets. Emerging markets have become important players in the world economy, especially as capital receptors, but they were not included in the majority of previous related works. Two strategies are used to choose two set of risk factors. The first one is to use macroeconomic variables, as prescribed by most of the literature, such as world excess return, exchange rates, variation in the spread between Eurodollar deposit tax and U.S. Treasury bill (TED spread) and change in the oil price. The second strategy is to extract factors by using a principal component analysis, designated as statistical factors. The first important result is a great resemblance between the first statistical factor and the world excess return. We estimate the APT model using two statistical methodologies: Iterated Nonlinear Seemingly Unrelated Regression (ITNLSUR) by McElroy and Burmeister (1988) and the Generalized Method Moments (GMM) by Hansen (1982). The results from both methods are very similar. With macroeconomic variables...

Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model

Larguinho, M.; Dias, J.C.; Braumann, C.A.
Fonte: Em: Conference Proceedings of 18th International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management (CD-ROM) Publicador: Em: Conference Proceedings of 18th International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management (CD-ROM)
Tipo: Artigo de Revista Científica
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Pricing options and evaluating greeks under the constant elasticity of variance (CEV) model require the computation of the noncentral chi-square distribution function. In this article, we compare the performance in terms of accuracy and computational time of alternative methods for computing such probability distributions against an xternally tested benchmark. In addition, we present closed-form solutions for computing greek measures under the CEV option pricing model for both beta < 2 and beta > 2, thus being able to accommodate direct leverage effects as well as inverse leverage effects that are frequently observed in the options markets.

Modelos de cálculo de las betas a aplicar en el Capital Asset Pricing Model: el caso de Argentina

Martínez, Carlos; Ledesma, Juan; Russo, Alfredo
Fonte: Universidad Icesi; Facultad de Ciencias Administrativas y Económicas Publicador: Universidad Icesi; Facultad de Ciencias Administrativas y Económicas
Tipo: article; Artículo Formato: pdf; p. 200-208; Electrónico
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Producto de una revisión de la literatura, en el presente trabajo se aplican 4 métodos para el cálculo de las betas de una muestra de 11 compañías que entre 2010 y 2012 cotizaron en el Mercado de Valores de Argentina. Empleando cada método, se identifica aquel que puede ser tomado como referencia para determinar las betas de pequeñas y medianas empresas (Pymes) que no cotizan en la Bolsa de Valores. Se concluye que para calcular los valores de las betas e interpretar el riesgo de cada empresa resulta necesario analizar técnicamente el método utilizado y la variabilidad de las series temporales empleadas, además de conocer las perspectivas futuras tanto de la empresa analizada como del sector al cual pertenece.; Using a literature review, four methods are applied for calculating betas in a sample of eleven companies that, between 2010 and 2012, were listed on the Stock Exchange of Argentina. Using each method, it was identified that one can be relied upon to determinate the betas of Small Business not quoted on the Stock Exchange. It is concluded that to calculate the beta values and interpret the risk of each company, it is technically necessary to analyze the method used and the variability of the time series used...

General Theory of Geometric L\'evy Models for Dynamic Asset Pricing

Brody, Dorje C.; Hughston, Lane P.; Mackie, Ewan
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
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The geometric L\'evy model (GLM) is a natural generalisation of the geometric Brownian motion model (GBM) used in the derivation of the Black-Scholes formula. The theory of such models simplifies considerably if one takes a pricing kernel approach. In one dimension, once the underlying L\'evy process has been specified, the GLM has four parameters: the initial price, the interest rate, the volatility, and the risk aversion. The pricing kernel is the product of a discount factor and a risk aversion martingale. For GBM, the risk aversion parameter is the market price of risk. For a GLM, this interpretation is not valid: the excess rate of return is a nonlinear function of the volatility and the risk aversion. It is shown that for positive volatility and risk aversion the excess rate of return above the interest rate is positive, and is increasing with respect to these variables. In the case of foreign exchange, Siegel's paradox implies that one can construct foreign exchange models for which the excess rate of return is positive both for the exchange rate and the inverse exchange rate. This condition is shown to hold for any geometric L\'evy model for foreign exchange in which volatility exceeds risk aversion.; Comment: 20 pages, version to appear in Proceedings of the Royal Society London A

Self-Consistent Asset Pricing Models

Malevergne, Y.; Sornette, D.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 29/08/2006 Português
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We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain. As already reported in several articles, self-consistency implies correlations between the return disturbances. As a consequence, the alpha's and beta's of the factor model are unobservable. Self-consistency leads to renormalized beta's with zero effective alpha's, which are observable with standard OLS regressions. Analytical derivations and numerical simulations show that, for arbitrary choices of the proxy which are different from the true market portfolio, a modified linear regression holds with a non-zero value $\alpha_i$ at the origin between an asset $i$'s return and the proxy's return. Self-consistency also introduces ``orthogonality'' and ``normality'' conditions linking the beta's, alpha's (as well as the residuals) and the weights of the proxy portfolio. Two diagnostics based on these orthogonality and normality conditions are implemented on a basket of 323 assets which have been components of the S&P500 in the period from Jan. 1990 to Feb. 2005. These two diagnostics show interesting departures from dynamical self-consistency starting about 2 years before the end of the Internet bubble. Finally...

Risk-return relationship: An empirical study of different statistical methods for estimating the Capital Asset Pricing Models (CAPM) and the Fama-French model for large cap stocks

Nghiem, Linh
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 22/11/2015 Português
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The Capital Asset Pricing Model (CAPM) is one of the original models in explaining risk-return relationship in the financial market. However, when applying the CAPM into reality, it demonstrates a lot of shortcomings. While improving the performance of the model, many studies, on one hand, have attempted to apply different statistical methods to estimate the model, on the other hand, have added more predictors to the model. First, the thesis focuses on reviewing the CAPM and comparing popular statistical methods used to estimate it, and then, the thesis compares predictive power of the CAPM and the Fama-French model, which is an important extension of the CAPM. Through an empirical study on the data set of large cap stocks, we have demonstrated that there is no statistical method that would recover the expected relationship between systematic risk (represented by beta) and return from the CAPM, and that the Fama-French model does not have a better predictive performance than the CAPM on individual stocks. Therefore, the thesis provides more evidence to support the incorrectness of the CAPM and the limitation of the Fama-French model in explaining risk-return relationship.; Comment: Undergraduate thesis

A Non-commutative Version of the Fundamental Theorem of Asset Pricing

Chen, Zeqian
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
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In this note, a non-commutative analogue of the fundamental theorem of asset pricing in mathematical finance is proved.; Comment: Latex, 8 pages; submitted to Acta Math.Sci

A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing

Cuchiero, Christa; Teichmann, Josef
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
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We show that \emph{No unbounded profit with bounded risk} (NUPBR) implies \emph{predictable uniform tightness} (P-UT), a boundedness property in the Emery topology which has been introduced by C. Stricker \cite{S:85}. Combining this insight with well known results from J. M\'emin and L. S{\l}ominski \cite{MS:91} leads to a short variant of the proof of the fundamental theorem of asset pricing initially proved by F. Delbaen and W. Schachermayer \cite{DS:94}. The results are formulated in the general setting of admissible portfolio wealth processes as laid down by Y. Kabanov in \cite{kab:97}.; Comment: slightly extended version and list of references

Testing the Capital Asset Pricing Model (CAPM) on the Uganda Stock Exchange

Wakyiku, David
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 30/12/2010 Português
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This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th November 2009. Due to the absence of readily available Uganda Stock Exchange(USE) data, and the placement of daily price lists in pdf only, on the USE website: http://www.use.or.ug, the article also discusses the procedures taken to mine the data needed. The securities were all put in one portfolio in order to diversify away the firm-specific part of returns thereby enhancing the precision of the beta estimates. This paper should be of interest to both Ugandan and non-Ugandan investors and market researchers. While many developing countries have legal restrictions against foreign participation in capital and money markets, this is not so in Uganda, where it has become part of government policy to encourage foreign capital in flow, inorder to stimulate the development of the small and underdeveloped markets. The Black, Jensen, and Scholes (1972) CAPM version is examined in this article. This version predicts a non zero-beta rate, along with the relation of higher returns to higher risk. The estimated zero-beta rate obtained is not statistically different from zero...

Virtual Arbitrage Pricing Theory

Ilinski, Kirill
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 03/02/1999 Português
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We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities. The resulting relations reduce to the APT for an infinitely fast market reaction or in the case where the virtual arbitrage is absent. Corrections to the Capital Asset Pricing Model (CAPM) are also derived.; Comment: Latex, 12 pages

On the Second Fundamental Theorem of Asset Pricing

Karandikar, Rajeeva L; Rao, B V
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 12/12/2015 Português
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Let $X^1,\ldots, X^d$ be sigma-martingales on $(\Omega,{\cal F}, P)$. We show that every bounded martingale (with respect to the underlying filtration) admits an integral representation w.r.t. $X^1,\ldots, X^d$ if and only if there is no equivalent probability measure (other than $P$) under which $X^1,\ldots,X^d$ are sigma-martingales. From this we deduce the second fundamental theorem of asset pricing- that completeness of a market is equivalent to uniqueness of Equivalent Sigma-Martingale Measure (ESMM).

The Capital Asset Pricing Model as a corollary of the Black-Scholes model

Vovk, Vladimir
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 23/09/2011 Português
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We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is efficient, in the following sense: we do not expect a prespecified self-financing trading strategy whose wealth is almost surely nonnegative at all times to outperform the index greatly. We show that, for a long investment horizon, the appreciation rate of the stock has to be close to the interest rate (assumed constant) plus the covariance between the volatility vectors of the stock and the index. This contains both a version of the Capital Asset Pricing Model and our earlier result that the equity premium is close to the squared volatility of the index.; Comment: 9 pages

Risco de crédito e alocação ótima para uma carteira de debêntures

Godói, André Cadime de; Yoshino, Joe Akira; Oliveira, Rogério de Deus
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 01/01/2008 Português
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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, we find a risk measure that is more conservative than the usual VaR (value at risk). Thus, we present a methodology for obtaining the optimum portfolio composed of debentures subject to the default risk.; 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...

Asset pricing in created markets

Newell, RG; Papps, KL; Sanchirico, JN
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Artigo de Revista Científica Formato: 259 - 272
Publicado em /05/2007 Português
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Jump Robustness of Realized Beta and Disentanglement of Jump Beta

Sun, Hao
Fonte: Universidade Duke Publicador: Universidade Duke
Publicado em 17/04/2012 Português
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This paper constructs jump-robust estimators for the beta in Capital Asset Pricing Model (CAPM) in order to test the robustness of the recently developed Realized Beta in the presence of large discontinuous movements, or jumps, in stock prices. To complete the analysis on effect of jump on Realized Beta, this paper also disentangles jump beta and diffusive beta from the Realized Beta measurement in order to examine whether stocks react differently to jumps under the CAPM. Then, the results are compared to recent literatures tackling the same problem from different approaches.; Honors thesis

The Capital Asset Pricing Model: An Evaluation of Its Potential As a Strategic Planning Tool

Naylor, Thomas; Tapon, Francis
Fonte: Management Science Publicador: Management Science
Tipo: Artigo de Revista Científica Formato: 233942 bytes; application/pdf
Publicado em /10/1982 Português
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In this paper we provide a summary of the capital asset pricing model (CAPM) and point out how it might possibly be used as a tool for strategic planning by corporations that own a portfolio of businesses. We also point out some of the assumptions underlying the CAPM which must be satisfied if it is to be used for strategic planning. Next we include a critical appraisal of the CAPM as a strategic planning tool. Finally, we state the case for linking competitive strategy models, CAPM models, and business simulation models.

Computation in Macroeconomic Asset Pricing

Aldrich, Eric Mark
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2011 Português
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This dissertation investigates 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 advances in computational technology that allow researchers to utilize solution methods that would have been previously infeasible. In particular, it demonstrates the wide applicability and potential gains of GPU computing, a parallel computing framework, and applies those tools to a computationally challenging model which investigates trading volume in a general equilibrium, complete-markets economy where agents have heterogeneous beliefs.

; Dissertation

Testing the Non-Parametric Conditional CAPM in the Brazilian Stock Market; Avaliação do CAPM Condicional Não Paramétrico no Mercado de Ações do Brasil

Bergmann, Daniel Reed; Universidade Nove de Julho - Uninove; Galeno, Marcela Monteiro; Universidade de São Paulo; Securato, José Roberto; Universidade de São Paulo; Savoia, José Roberto Ferreira; Universidade de São Paulo
Fonte: Universidade Federal de Santa Catarina Publicador: Universidade Federal de Santa Catarina
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; Pesquisa empírica; modelo econométrico; Formato: application/pdf
Publicado em 14/04/2014 Português
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This paper seeks to analyze if the variations of returns and systematic risks from Brazilian portfolios could be explained by the nonparametric conditional Capital Asset Pricing Model (CAPM) by Wang (2002). There are four informational variables available to the investors: (i) the Brazilian industrial production level; (ii) the broad money supply M4; (iii) the inflation represented by the Índice de Preços ao Consumidor Amplo (IPCA); and (iv) the real-dollar exchange rate, obtained by PTAX dollar quotation.This study comprised the shares listed in the BOVESPA throughout January 2002 to December 2009. The test methodology developed by Wang (2002) and retorted to the Mexican context by Castillo-Spíndola (2006) was used. The observed results indicate that the nonparametric conditional model is relevant in explaining the portfolios’ returns of the sample considered for two among the four tested variables, M4 and PTAX dollar at 5% level of significance.; http://dx.doi.org/10.5007/2175-8077.2014v16n38p213Esse artigo analisa a evolução do retorno e risco sistemático das carteiras de 11 setores da economia brasileira através do modelo do CAPM condicional não paramétrico, proposto por Wang (2002). São utilizadas quatro variáveis explicativas: (i) o nível da produção industrial brasileira; (ii) o agregado monetário M4; (iii) a inflação...

Asset pricing with heterogeneous investors and portfolio constraints

Chabakauri, Georgy
Fonte: London School of Economics and Political Science Publicador: London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em 15/03/2010 Português
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We evaluate the impact of portfolio constraints on financial markets in a dynamic equilibrium pure exchange economy with one consumption good and two CRRA investors that may differ in risk aversions, beliefs regarding the dividend process and portfolio constraints. Despite numerous applications, portfolio constraints are notoriously difficult to incorporate into dynamic equilibrium analysis without the restrictive assumption of logarithmic preferences. We provide a tractable solution method that yields new insights on the asset pricing implications of portfolio constraints such as limited stock market participation, margin requirements and short sales prohibition without restricting risk aversion parameters. We demonstrate that in a setting where one investor is unconstrained while the other faces an upper bound constraint on the proportion of wealth that can be invested in stocks the model generates countercyclical market prices of risk and stock return volatilities, procyclical price-dividend ratios, excess volatility and other patterns consistent with empirical findings. In a setting with margin requirements we demonstrate that under plausible parameters tighter constraints decrease stock return volatilities during the times when the constraints are likely to bind.

Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach

Hodgson, Douglas J; Linton, Oliver; Vorkink, Keith
Fonte: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science Publicador: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /07/2000 Português
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We develop new tests of the capital asset pricing model which are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric. The elliptical symmetry assumption allows us to avoid the curse of dimensionality problem that typically arises in multivariate semiparametric estimation procedures, because the multivariate elliptically symmetric density function can be written as a function of a scalar transformation of the observed multivariate data. The elliptically symmetric family includes a number of thick-tailed distributions and so is potentially relevant in financial applications. Our estimated betas are lower than the OLS estimates, and our parameter estimates are much less consistent with the CAPM restrictions than the corresponding OLS estimates.