The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations

2021 ◽  
Author(s):  
Hung-Wen Lin ◽  
Jing-Bo Huang ◽  
Kun-Ben Lin ◽  
Shu-Heng Chen
Keyword(s):  
Asset Pricing ◽  
Empirical Evidence ◽  
Time Varying ◽  
Pricing Models ◽  
Agent Based ◽  
Asset Pricing Models ◽  
Agent Based Simulations

The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models

2013 ◽  
Vol 42 (2) ◽  
pp. 103-133
Author(s):  
PAOLA BRIGHI ◽  
STEFANO d'ADDONA ◽  
ANTONIO CARLO FRANCESCO DELLA BINA
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Empirical Evidence ◽  
Common Factors ◽  
Risk Premia ◽  
Pricing Models ◽  
Asset Pricing Models

scholarly journals Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 394
Author(s):  
Adeel Nasir ◽  
Kanwal Iqbal Khan ◽  
Mário Nuno Mata ◽  
Pedro Neves Mata ◽  
Jéssica Nunes Martins
Keyword(s):  
At Risk ◽  
Asset Pricing ◽  
Stock Returns ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Time Varying ◽  
Pricing Models ◽  
Asset Pricing Model ◽  
Asset Pricing Models ◽  
Market Beta

This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus low VaR and ES portfolios as a systematic risk factor in one factor, three-factor, and five-factor asset pricing model. Furthermore, the study introduced the six-factor model, deploying VaR and ES as the idiosyncratic risk factor. The theoretical and empirical alteration of traditional asset pricing models is the study’s contributions. This study reported a strong positive relationship of traditional market beta, value at risk, and expected shortfall. Market beta pertains its superiority in estimating the time-varying stock returns. Furthermore, value at risk and expected shortfall strengthen the effects of traditional beta impact on stock returns, signifying the proposed six-factor asset pricing model. Investment and profitability factors are redundant in conventional asset pricing models.

scholarly journals Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market

Production ◽  
2016 ◽  
Vol 26 (3) ◽  
pp. 516-526 ◽  
Author(s):  
Vitor Gonçalves de Azevedo ◽  
André Alves Portela Santos ◽  
Lucila Maria de Souza Campos
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Empirical Evidence ◽  
Corporate Sustainability ◽  
Pricing Models ◽  
Asset Pricing Models
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