AFA 2009 San Francisco Meetings (Archive)最新文献

Economic Implications of Nonlinear Pricing Kernels 非线性定价核的经济含义

AFA 2009 San Francisco Meetings (Archive) Pub Date : 2016-03-01 DOI: 10.2139/ssrn.1107997

Caio Almeida, René Garcia

引用次数: 52

Creditor Coordination, Liquidation Timing, and Debt Valuation 债权人协调、清算时间和债务估值

AFA 2009 San Francisco Meetings (Archive) Pub Date : 2010-04-19 DOI: 10.1017/S0022109011000330

Max Bruche

引用次数: 19

Monetary Policy Shifts and the Term Structure 货币政策变动与期限结构

AFA 2009 San Francisco Meetings (Archive) Pub Date : 2009-08-01 DOI: 10.2139/ssrn.1106467

Andrew Ang, Jean Boivin, S. Dong, Rudy Loo-Kung

引用次数: 163

Dynamic Mean-Variance Asset Allocation 动态均值方差资产配置

AFA 2009 San Francisco Meetings (Archive) Pub Date : 2009-04-01 DOI: 10.2139/ssrn.965926

Suleyman Basak, G. Chabakauri

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引用次数: 535

What Segments Equity Markets? 股票市场有哪些细分?

AFA 2009 San Francisco Meetings (Archive) Pub Date : 2009-03-01 DOI: 10.2139/ssrn.1108156

G. Bekaert, Campbell R. Harvey, C. Lundblad, Stephan Siegel

引用次数: 498

Bridge Building in Venture Capital-Backed Acquisitions 风险资本支持收购中的桥梁建设

AFA 2009 San Francisco Meetings (Archive) Pub Date : 2009-02-01 DOI: 10.2139/ssrn.1102504

Paul A. Gompers, Yuhai Xuan

引用次数: 50

Informed Trading Before Analyst Downgrades: Evidence from Short Sellers 分析师下调评级前的知情交易:来自卖空者的证据

AFA 2009 San Francisco Meetings (Archive) Pub Date : 2008-10-17 DOI: 10.2139/ssrn.1108162

Stephen E. Christophe, Michael G. Ferri, Jim Hsieh

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引用次数: 391

What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns? 个人期权波动率的假笑告诉我们关于未来股票回报的什么?

AFA 2009 San Francisco Meetings (Archive) Pub Date : 2008-08-14 DOI: 10.2139/ssrn.1107464

Xiaoyan Zhang, R. Zhao, Yuhang Xing

引用次数: 525

Unique Factors 独特的因素

AFA 2009 San Francisco Meetings (Archive) Pub Date : 2008-03-01 DOI: 10.2139/ssrn.972229

Yiyu Shen, Yexiao Xu

{"title":"Unique Factors","authors":"Yiyu Shen, Yexiao Xu","doi":"10.2139/ssrn.972229","DOIUrl":"https://doi.org/10.2139/ssrn.972229","url":null,"abstract":"It is well known that 70% of individual stocks' returns are classified as idiosyncratic returns under a conventional asset pricing model. In this study, we raise an important question as to whether majority return variations are truly influenced by idiosyncratic risks that at most affect several stocks from an empirical perspective. In other words, we explore a possible middle ground between common risk factors that influence almost all stocks and idiosyncratic risks by proposing unique factors that may only affect certain groups of stocks. In particular, we present a simple iterative approach both to extract unique factors from individual stock returns and to group stocks simultaneously. Comparing with industry groupings, this approach not only allows for a parsimonious group structure but also ensures that unique factors are indeed unique to individual groups. With the deterioration in the explanatory power of common factors such as the Fama and French factors in recent years, we find that unique factors not only are pervasive within their groups but also have played an increasingly important role in explaining individual stock returns over the past forty years. As an example, a multifactor model with two common factors and two unique factors not only provides a 10% extra explanatory power over other popular models but also outperforms the Fama and French model in out-of-sample tests. Therefore, the simple structure of unique factor model may hold the key to improve the performance of an asset pricing model in general.","PeriodicalId":355236,"journal":{"name":"AFA 2009 San Francisco Meetings (Archive)","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124568617","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

The CAPM with Endogenous Beliefs 具有内生信念的CAPM

AFA 2009 San Francisco Meetings (Archive) Pub Date : 2008-03-01 DOI: 10.2139/ssrn.1102263

H. Adriaens, B. Donkers, B. Melenberg

引用次数: 0