Essays about: "conditional asset-pricing models"
Showing result 1 - 5 of 12 essays containing the words conditional asset-pricing models.
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1. Stock Market Volatility in the Context of Covid-19
University essay from Jönköping University/IHH, FöretagsekonomiAbstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE
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2. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. READ MORE
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3. Nonparametric Asset Pricing with Conditioning Information
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This study sets out to be the very first in introducing the notion of a nonlinear pricing kernel in conditional asset pricing for the Swedish equity market. By implementing a flexible nonparametric methodology, we are able to conduct tests that are completely free from functional form specifications of time-varying betas, risk premia and the stochastic discount factor. READ MORE
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4. Investigating New Multifactor Models with a Conditional Dual-Beta : Can a Conditional Dual-Beta in the Market Factor add Explanatory Value in New Multifactor Models? A study of the Swedish Stock Market between 2003 and 2015
University essay from Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakultetenAbstract : This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and Zhang. READ MORE
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5. Pricing Portfolios Constructed on Cyclicality Considerations Using Non-Domestic Regional Factors: Evidence from Eurozone Region
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This research paper tests the traditional market based pricing models and their ability to explain the return on portfolios constructed on cyclicality basis in the Eurozone region. The paper goes beyond the domestic market portfolios (indices) regularly used for asset pricing to the more regional or international approach of asset pricing through using regional market portfolios as a predictor factor as a potential indicator of the Eurozone economic integration level. READ MORE