Full-Rank Maximum Correlation Portfolio Approach in Asset Pricing Tests

2014 ◽  
Author(s):  
Jinyong Kim
Keyword(s):  
Asset Pricing ◽  
Full Rank ◽  
Maximum Correlation ◽  
Portfolio Approach ◽  
Asset Pricing Tests

Asset-pricing Tests under Alternative Distributions

1993 ◽  
Vol 48 (5) ◽  
pp. 1927-1942 ◽  
Author(s):  
GUOFU ZHOU
Keyword(s):  
Asset Pricing ◽  
Asset Pricing Tests

scholarly journals Does Unobservable Heterogeneity Matter for Portfolio-Based Asset Pricing Tests?

2020 ◽  
Author(s):  
Markus Schmid ◽  
Daniel Hoechle ◽  
Heinz Zimmermann
Keyword(s):  
Asset Pricing ◽  
Asset Pricing Tests ◽  
Unobservable Heterogeneity

Cross-Sectional Asset Pricing Tests

2010 ◽  
Vol 2 (1) ◽  
pp. 49-74 ◽  
Author(s):  
Ravi Jagannathan ◽  
Ernst Schaumburg ◽  
Guofu Zhou
Keyword(s):  
Asset Pricing ◽  
Cross Sectional ◽  
Asset Pricing Tests

Treasury Bond Illiquidity and Global Equity Returns

2014 ◽  
Vol 49 (5-6) ◽  
pp. 1227-1253 ◽  
Author(s):  
Ruslan Goyenko ◽  
Sergei Sarkissian
Keyword(s):  
Asset Pricing ◽  
Equity Returns ◽  
Asset Valuation ◽  
Macroeconomic Shocks ◽  
Country Level ◽  
Time Period ◽  
Treasury Bond ◽  
Using Data ◽  
The Impact ◽  
Asset Pricing Tests

AbstractIn this study, using data from 46 markets and a 34-year time period, we examine the impact of the illiquidity of U.S. Treasuries on global asset valuation. We find that it predicts equity returns in both developed and emerging markets. This predictive relation remains intact after controlling for various world- and country-level variables. Asset pricing tests further reveal that bond illiquidity is a priced factor even in the presence of other conventional risks. Since the illiquidity of Treasuries is known to reflect monetary and macroeconomic shocks, our results suggest that it can be considered a proxy for aggregate worldwide risks.

Noise in Asset-Pricing Tests and Anomalies

2018 ◽  
Author(s):  
Oumar Sy
Keyword(s):  
Asset Pricing ◽  
Asset Pricing Tests

Conditional Skewness in Asset Pricing Tests

2000 ◽  
Vol 55 (3) ◽  
pp. 1263-1295 ◽  
Author(s):  
Campbell R. Harvey ◽  
Akhtar Siddique
Keyword(s):  
Asset Pricing ◽  
Asset Pricing Tests

Conditional Skewness in Asset Pricing Tests

1999 ◽  
Author(s):  
Campbell R. Harvey
Keyword(s):  
Asset Pricing ◽  
Asset Pricing Tests

scholarly journals Expected Return, Realized Return, and Asset Pricing Tests

2010 ◽  
pp. 257-278 ◽  
Author(s):  
EDWIN J. ELTON
Keyword(s):  
Asset Pricing ◽  
Expected Return ◽  
Asset Pricing Tests

Expected Return, Realized Return, and Asset Pricing Tests

CFA Digest ◽  
2000 ◽  
Vol 30 (1) ◽  
pp. 12-14
Author(s):  
Brian A. Maris
Keyword(s):  
Asset Pricing ◽  
Expected Return ◽  
Asset Pricing Tests
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