Suchergebnisse

The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds. The CAPM defines the price of financial assets according to the premium demanded by investors for bearing excess risk.

We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, Fama-French five-factor, Carhart, and ICAPM Redux. We propose an international capital asset pricing model incorporating the political factor, and test estimations in the global, developed, and emerging markets. The model explains up to 77% of cross-sectional returns, has good predictive power, performs better than the benchmark models in pricing equity indices and explains up to an incremental 25% of cross-sectional returns, and is robust out of sample.

We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, Fama-French five-factor, Carhart, and ICAPM Redux. We propose an international capital asset pricing model incorporating the political factor, and test estimations in the global, developed, and emerging markets. The model explains up to 77% of cross-sectional returns, has good predictive power, performs better than the benchmark models in pricing equity indices and explains up to an incremental 25% of cross-sectional returns, and is robust out of sample.

Introduction to empirical asset pricing -- Stochastic discount factors and yen -- State pricing and m-talk -- Maximization and the m-talk euler equations -- Expected risk premiums and alphas -- So many models, so little time (taxonomy) -- Applications of m-talk -- The three paradigms of empirical asset pricing -- Mean-variance models -- Mean efficiency and the capm -- Mean variance efficiency with conditioning information -- Variance bounds on stochastic discount factors -- Variance bounds with conditioning information -- Multi-beta pricing -- Arbitrage pricing and factor analysis -- Multibeta equilibrium models -- Multibeta models with conditioning information -- Empirical asset pricing tools -- Introduction to the generalized method of moments (GMM) -- Gmm implementation -- GMM covariance matrices -- GMM tests -- Advanced gmm -- GMM examples -- Multivariate regression models -- Cross sectional regression methods -- Introduction to panel methods in finance -- Bootstrap methods and multiple comparisons -- Investment performance evaluation -- Classical investment performance evaluation -- Conditional investment performance evaluation -- Term structure and bond fund performance -- Investment performance evaluation: a modern perspective -- Production-based asset pricing -- The campbell shiller approximation and vector autoregressions -- Long run risk models -- Predictability: an overview -- Characteristics versus covariances -- Volatility and the cross-section of stock returns -- Appendix -- References -- Index

Seit seiner Entwicklung in den sechziger Jahren ist das CAPM das anerkannteste Kapitalmarktmodell in Theorie und Praxis. Das von Sharpe, Lintner und Mossin entwickelte Modell steht jedoch seit vier Dekaden im Mittelpunkt einer kontroversen Diskussion. Das ursprünglich als Entscheidungshilfe für die Investoren bei der Bildung optimaler Portfolios entwickelte Modell wird gleichzeitig zur Bestimmung der Höhe der Eigenkapitalkosten von Unternehmen angewandt. Diese Anwendungsmöglichkeit des CAPM führte zu seiner breiten Akzeptanz als Kapitalmarktmodell. Trotz seiner essentiellen Bedeutung für finanzwirtschaftliche Prozesse wird die Aussagefähigkeit des CAPM durch verschiedene Studien regelmäßig in Frage gestellt. Im Fokus der Kritik stehen zumeist die zu Grunde gelegten Annahmen des Modells. Im Rahmen dieser Arbeit wird von der Annahme der vollkommenen informationseffizienten Kapitalmärkte abstrahiert und das CAPM entsprechend modifiziert. Hierzu wird erstens die Effizienz des deutschen Kapitalmarktes durch die Analyse von Aktiensplits untersucht. Zweitens wird die Kommunikationsbereitschaft der Unternehmen anhand eines Scoringmodells ermittelt. Die anschließend abgeleitete Informationsunsicherheitsprämie (IRP) kompensiert im CAPM die Informationsrisiken. Drittens wird ein neues Testverfahren entwickelt, das von der Kritik an den bestehenden Testverfahren nicht tangiert wird. Schließlich wird in einer empirischen Untersuchung das modifizierte Kapitalmarktmodell ACAPM auf seine Validität überprüft. Die Ergebnisse dieser Arbeit unterstützen die Aussage, dass Informationsrisiken durch eine entsprechende Rendite von den Unternehmen zu kompensieren sind

Bian and Dickey (1996) developed a robust Bayesian estimator for the
vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average of the least squares
estimator and the prior location, and is of great robustness with
respect to at-tailed sample distribution. In this paper, we
introduce the robust Bayesian estimator to the estimation of the
Capital Asset Pricing Model (CAPM) in which the distribution of the
error component is well-known to be flat-tailed. To support our
proposal, we apply both the robust Bayesian estimator and the least
squares estimator in the simulation of the CAPM and in the analysis
of the CAPM for US annual and monthly stock returns. Our simulation
results show that the Bayesian estimator is robust and superior to
the least squares estimator when the CAPM is contaminated by large
normal and/or non-normal disturbances, especially by Cauchy
disturbances. In our empirical study, we find that the robust
Bayesian estimate is uniformly more efficient than the least squares
estimate in terms of the relative efficiency of one-step ahead
forecast mean square error, especially for small samples.