Factor risk premiums and invested capital: calculations with stochastic discount factors
Author
Abstract
Suggested Citation
DOI: 10.1057/s41260-017-0069-0
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994.
"Contrarian Investment, Extrapolation, and Risk,"
Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
- Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Scholarly Articles 30721347, Harvard University Department of Economics.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1993. "Contrarian Investment, Extrapolation, and Risk," Working Papers 84, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Hansen, Lars Peter & Jagannathan, Ravi, 1997.
"Assessing Specification Errors in Stochastic Discount Factor Models,"
Journal of Finance, American Finance Association, vol. 52(2), pages 557-590, June.
- Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report 167, Federal Reserve Bank of Minneapolis.
- Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
- Stephen A. Ross, 2013.
"The Arbitrage Theory of Capital Asset Pricing,"
World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30,
World Scientific Publishing Co. Pte. Ltd..
- Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
- Stephen A. Ross, "undated". "The Arbitrage Theory of Capital Asset Pricing," Rodney L. White Center for Financial Research Working Papers 2-73, Wharton School Rodney L. White Center for Financial Research.
- Stephen A. Ross, "undated". "The Arbitrage Theory of Capital Asset Pricing," Rodney L. White Center for Financial Research Working Papers 02-73, Wharton School Rodney L. White Center for Financial Research.
- Loughran, Tim, 1997. "Book-to-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(3), pages 249-268, September.
- Hansen, Lars Peter & Jagannathan, Ravi, 1991.
"Implications of Security Market Data for Models of Dynamic Economies,"
Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-262, April.
- Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of security market data for models of dynamic economies," Discussion Paper / Institute for Empirical Macroeconomics 29, Federal Reserve Bank of Minneapolis.
- Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of Security Market Data for Models of Dynamic Economies," NBER Technical Working Papers 0089, National Bureau of Economic Research, Inc.
- Jonathan B. Berk & Richard C. Green & Vasant Naik, 1999.
"Optimal Investment, Growth Options, and Security Returns,"
Journal of Finance, American Finance Association, vol. 54(5), pages 1553-1607, October.
- Jonathan Berk & Richard C. Green & Vasant Naik, "undated". "Optimal Investment, Growth Options and Security Returns," GSIA Working Papers 64, Carnegie Mellon University, Tepper School of Business.
- Jonathan Berk & Richard C. Green & Vasant Naik, 1998. "Optimal Investment, Growth Options, and Security Returns," NBER Working Papers 6627, National Bureau of Economic Research, Inc.
- Robert Novy-Marx & Mihail Velikov, 2016. "A Taxonomy of Anomalies and Their Trading Costs," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 104-147.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006.
"The Cross‐Section of Volatility and Expected Returns,"
Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Ang, Andrew & Goetzmann, William N. & Schaefer, Stephen M., 2011. "The Efficient Market Theory and Evidence: Implications for Active Investment Management," Foundations and Trends(R) in Finance, now publishers, vol. 5(3), pages 157-242, June.
- Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
- Ang, Andrew, 2014. "Asset Management: A Systematic Approach to Factor Investing," OUP Catalogue, Oxford University Press, number 9780199959327.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Canan Hamurkaroğlu & Sümeyra Sezer Kaplan, 2024. "Actuarial premium calculation for beekeeping insurance in Turkiye," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(3), pages 448-473, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
- Stefan Nagel, 2013.
"Empirical Cross-Sectional Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
- Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
- Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
- Kent Daniel & David Hirshleifer & Lin Sun, 2020.
"Short- and Long-Horizon Behavioral Factors,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1673-1736.
- Kent Daniel & David Hirshleifer & Lin Sun, 2017. "Short- and Long-Horizon Behavioral Factors," NBER Working Papers 24163, National Bureau of Economic Research, Inc.
- Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012.
"CAPM for estimating the cost of equity capital: Interpreting the empirical evidence,"
Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
- Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009. "CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence," NBER Working Papers 14889, National Bureau of Economic Research, Inc.
- Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
- Lu Zhang, 2017.
"The Investment CAPM,"
European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
- Zhang, Lu, 2015. "The Investment CAPM," Working Paper Series 2015-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Lu Zhang, 2017. "The Investment CAPM," NBER Working Papers 23226, National Bureau of Economic Research, Inc.
- MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, vol. 38(1), pages 3-28, May.
- Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
- Liu, Ludan, 2008. "It takes a model to beat a model: Volatility bounds," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 80-110, January.
- Kewei Hou & Chen Xue & Lu Zhang, 2017.
"Replicating Anomalies,"
NBER Working Papers
23394, National Bureau of Economic Research, Inc.
- Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Ravi Jagannathan & Zhenyu Wang, 2002.
"Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods,"
Journal of Finance, American Finance Association, vol. 57(5), pages 2337-2367, October.
- Ravi Jagannathan & Zhenyu Wang, 2001. "Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods," NBER Working Papers 8098, National Bureau of Economic Research, Inc.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020.
"Dissecting Characteristics Nonparametrically,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
- Wu, Xueping, 2002. "A conditional multifactor analysis of return momentum," Journal of Banking & Finance, Elsevier, vol. 26(8), pages 1675-1696, August.
- Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
- Christian Walkshäusl & Sebastian Lobe, 2014. "The Alternative Three†Factor Model: An Alternative beyond US Markets?," European Financial Management, European Financial Management Association, vol. 20(1), pages 33-70, January.
- Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc.
- Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone, 2012.
"Evaluating Asset Pricing Models in a Simulated Multifactor Approach,"
Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 425-460.
- Carrasco-Gutierrez, Carlos Enrique & Piazza, Wagner, 2011. "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," MPRA Paper 66063, University Library of Munich, Germany, revised 2012.
- Kaserer Christoph & Hanauer Matthias X., 2017. "25 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 18(2), pages 98-116, June.
More about this item
Keywords
Pricing kernel; Stochastic discount factor; Factor premium; Factor strategies; Capacity;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:assmgt:v:19:y:2018:i:3:d:10.1057_s41260-017-0069-0. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.