DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Jinyong | ko |
dc.date.accessioned | 2013-03-11T07:40:08Z | - |
dc.date.available | 2013-03-11T07:40:08Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2009-10 | - |
dc.identifier.citation | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.38, pp.695 - 722 | - |
dc.identifier.issn | 2041-9945 | - |
dc.identifier.uri | http://hdl.handle.net/10203/98678 | - |
dc.description.abstract | Two different methods are used to evaluate the performance of the consumption-based asset pricing models to explain the cross-section of expected stock returns in conditional moments: one is to scale the returns, and the other is to model time-varying factor loadings, using instrument variables. Maximum correlation portfolios are constructed to directly impose restrictions on the time-series intercepts, especially in a model whose factors are not returns. The empirical results are as follow: the consumption-based models perform no better than the standard CAPM; adding the return on human capital as an additional risk factor does not help explain the cross-section; and the Fama-French three-factor model shows the best ability to lower the pricing error. | - |
dc.language | English | - |
dc.publisher | KOREAN SECURITIES ASSOC | - |
dc.subject | ASSET-PRICING ANOMALIES | - |
dc.subject | EXPECTED STOCK RETURNS | - |
dc.subject | RISK PREMIA | - |
dc.subject | CONSUMPTION | - |
dc.subject | CAPM | - |
dc.subject | EFFICIENCY | - |
dc.subject | VARIABLES | - |
dc.subject | MODELS | - |
dc.subject | WEALTH | - |
dc.subject | BONDS | - |
dc.title | Cross-Sectional Tests of Multifactor CCAPMs using Conditional Moments and Time-Series Restrictions | - |
dc.type | Article | - |
dc.identifier.wosid | 000271440300002 | - |
dc.identifier.scopusid | 2-s2.0-83855160707 | - |
dc.type.rims | ART | - |
dc.citation.volume | 38 | - |
dc.citation.beginningpage | 695 | - |
dc.citation.endingpage | 722 | - |
dc.citation.publicationname | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.identifier.doi | 10.1111/j.2041-6156.2009.tb00027.x | - |
dc.contributor.localauthor | Kim, Jinyong | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Multifactor CCAPM | - |
dc.subject.keywordAuthor | Cross-sectional Test | - |
dc.subject.keywordAuthor | Conditional Moment | - |
dc.subject.keywordAuthor | Time-series Restriction | - |
dc.subject.keywordAuthor | Maximum Correlation Portfolio | - |
dc.subject.keywordPlus | ASSET-PRICING ANOMALIES | - |
dc.subject.keywordPlus | EXPECTED STOCK RETURNS | - |
dc.subject.keywordPlus | RISK PREMIA | - |
dc.subject.keywordPlus | CONSUMPTION | - |
dc.subject.keywordPlus | CAPM | - |
dc.subject.keywordPlus | EFFICIENCY | - |
dc.subject.keywordPlus | VARIABLES | - |
dc.subject.keywordPlus | MODELS | - |
dc.subject.keywordPlus | WEALTH | - |
dc.subject.keywordPlus | BONDS | - |
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