scholarly journals Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor

2021 ◽  
pp. 102394
Author(s):  
Mariano González-Sánchez
Keyword(s):  
Asset Pricing ◽  
Emerging Markets ◽  
Discount Factor ◽  
Stochastic Discount Factor ◽  
Pricing Models ◽  
Asset Pricing Models

New Entropy Restrictions and the Quest for Better-Specified Asset-Pricing Models

2018 ◽  
Vol 54 (6) ◽  
pp. 2517-2541 ◽  
Author(s):  
Gurdip Bakshi ◽  
Fousseni Chabi-Yo
Keyword(s):  
Asset Pricing ◽  
Lower Bound ◽  
Finite Number ◽  
Upper Bound ◽  
Discount Factor ◽  
Stochastic Discount Factor ◽  
Pricing Models ◽  
Asset Pricing Models

This article proposes the entropy of m2 (m is the stochastic discount factor) as a metric to evaluate asset-pricing models. We develop a bound on the entropy of m2 when m correctly prices a finite number of returns and consider models that pass the lower bound on m, yet fail the lower bound on m2. Interpreting our results, we elaborate on the distinction between the entropy of m2 versus the entropy of m. We further show that the entropy of m2 represents an upper bound on the expected excess (log) return of the security with the payoff of m.

scholarly journals Avaliando Modelos de Precificação de Ativos via Abordagem de Fatores Simulados

2012 ◽  
Vol 10 (4) ◽  
pp. 425
Author(s):  
Carlos Enrique Carrasco-Gutierrez ◽  
Wagner Piazza Gaglianone
Keyword(s):  
Asset Pricing ◽  
Goodness Of Fit ◽  
Factor Models ◽  
Stochastic Discount Factor ◽  
Pricing Models ◽  
Fit Statistics ◽  
Asset Pricing Models ◽  
Starting Point ◽  
Pricing Error ◽  
The U.S

In this paper a methodology to compare the performance of different stochastic discount factor (SDF) models is suggested. The starting point is the estimation of several factor models in which the choice of the fundamental factors comes from different procedures. Then, a Monte Carlo simulation is designed in order to simulate a set of gross returns with the objective of mimicking the temporal dependency and the observed covariance across gross returns. Finally, the artificial returns are used to investigate the performance of the competing asset pricing models through the Hansen and Jagannathan (1997) distance and some goodness-of-fit statistics of the pricing error. An empirical application is provided for the U.S. stock market.

scholarly journals Investor Sentiment and Asset Pricing: A Review

2017 ◽  
Vol 3 (1) ◽  
Author(s):  
C. Gunathilaka
Keyword(s):  
Asset Pricing ◽  
Emerging Markets ◽  
Empirical Work ◽  
Investor Sentiment ◽  
Pricing Models ◽  
Market Sentiment ◽  
Financial Innovations ◽  
Asset Pricing Models ◽  
Investor Behaviour

This paper reviews literature on asset pricing and investor sentiment. It provides a fair accumulation of evidence with an objective of showing how productive has been the effort of modelling market sentiment in pricing assets. Research efforts in modelling non-standard investor behaviour have been successful in explaining aggregate predictability. However, despite the financial innovations and discussions on investor sentiment that happened in US markets, empirical work in emerging markets is still preliminary. The paper inquires the extent that the existing asset pricing models price the assets in the economy.KeywordsInvestor, Pricing, Returns, Sentiment

Implications of Predictability Across Horizons for Asset Pricing Models

2012 ◽  
Author(s):  
Carlo A. Favero ◽  
Fulvio Ortu ◽  
Andrea Tamoni ◽  
Haoxi Yang
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models
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