Temat: Asset pricing models

Skocz do pozycji: 1.

Tytuł:: Liquidity and solvency of a company and the rate of return – an analysis of the Warsaw Stock Exchange
Autorzy:: Zalewska, Justyna
Nehrebecka, Natalia
Tematy:: liquidity
solvency
asset pricing models
CAPM
portfolio analysis; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Powiązania:: https://bibliotekanauki.pl/articles/1356652.pdf Link otwiera się w nowym oknie
Opis:: The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity and solvency on the rates of return on the shares of companies listed on the Warsaw Stock Exchange. In the context of developing countries, the relationship between liquidity and solvency on the one hand and the return on equity on the other is still not clear. Poland is the most economically developed country in Central and Eastern Europe. A thorough analysis is necessary to take appropriate action and introduce adequate regulations in the country, as well as to create the foundation for researching other economies in this region. In addition, this article includes new estimators that have not yet been taken into account but that may affect the rates of return, which will contribute to the literature on the subject and to the development of knowledge on the volatility of returns on shares. In the study, we have calculated the time-varying beta coefficients of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency ratios, which were computed using the CAPM, Fama–French and Carhart models. The empirical study described in the article focuses on companies listed on the Warsaw Stock Exchange in the period from 1 January 1999 to 30 June 2013. Regressions were estimated by the least-squares method and by quantile regression. Based on the results, it was found that listed companies at risk of bankruptcy are able to meet their short-term liabilities. Liquidity and solvency measured by financial ratios significantly affect the sensitivity of the rate of return on shares to the risk factors expressed in the CAPM, Fama––French and Carhart models.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Applying exogenous variables and regime switching to multi-factor models on equity indices
Autorzy:: Sakowski, Paweł
Ślepaczuk, Robert
Wywiał, Mateusz
Tematy:: asset pricing models
equity risk premia
market price of risk
emerging and developed equity indices; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Powiązania:: https://bibliotekanauki.pl/articles/59125002.pdf Link otwiera się w nowym oknie
Opis:: This article aims to extend the evaluation of classic multi-factor models of Carhart (1997) and to expand analysis performed in Sakowski, Ślepaczuk and Wywiał (2015). We test several modifications of these models to take into account different dynamics of equity excess returns between emerging and developed equity indices. Proposed extensions include volatility regime switching mechanism and three new risk factors. Additionally, we introduce common- and country-specific variables in order to control for global risk. Instead of individual stocks, we use weekly data of 81 world investable equity indices in the period of 2000−2015. We find substantial differences between results for classical models on single stocks and models evaluated for equity indices. Moreover, we observe solid discrepancies between results for developed and emerging markets. Introducing new risk factors and additional variables increase explanatory power of models.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Can we invest on the basis of equity risk premia and risk factors from multi-factor models ?
Autorzy:: Pawel, Sakowski
Robert, Ślepaczuk
Mateusz, Wywiał
Tematy:: investment algorithms
multi-factor models
Markov switching model
asset pricing models
equity risk premia
risk factors
Markowitz model; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Poznaniu
Powiązania:: https://bibliotekanauki.pl/articles/943112.pdf Link otwiera się w nowym oknie
Opis:: We examine two investment algorithms built on the weekly data of world equity indices for emerging and developed countries in the period 2000-2015. We create seven risk factors using additional data about market capitalization, book value, country GDP and betas of equity indices. The first strategy utilizes the theoretical value of equity risk premium from the seven-factor Markov-switching model with exogenous variables. We compare theoretical with the realized equity risk premium for a given index to undertake the buy/sell decisions. The second algorithm works only on eight risk factors and applies them as input variables to Markowitz models with alternative optimization criteria. Finally we note that the impact of risk factors on the final results of investment strategy is much more important than the selection of a particular econometric model in order to correctly evaluate the equity risk premium.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Non-standard errors in the cryptocurrency world
Autorzy:: Fieberg, Christian
Poddig, Thorsten
Günther, Steffen
Zaremba, Adam
Wydawca:: Elsevier
Cytata wydawnicza:: Fieberg, C., Günther, S., Poddig, T., & Zaremba, A. (2024). Non-standard errors in the cryptocurrency world. International Review of Financial Analysis, 92, 103106. https://doi.org/10.1016/j.irfa.2024.103106
Opis:: National Science Center of Poland, Grant No. 2021/41/B/HS4/02443
Motivated by recent findings from the equity market, we investigate non-standard errors in cryptocurrency research. We examine ten prevalent decisions related to data sources, sample preparation, and portfolio construction, generating 20,736 research designs for 43 sorting variables. Our findings reveal remarkable variation in portfolio performance tied to seemingly trivial choices. The non-standard errors in cryptocurrency studies not only surpass those in the stock market but also clearly exceed standard errors—though varying considerably across coin characteristics. Notwithstanding the above, the most prominent cryptocurrency factors, such as size and momentum, remain consistently robust across numerous specifications. Lastly, we find that reducing the influence of the smallest coins effectively decreases the non-standard errors.
Dostawca treści:: Repozytorium Centrum Otwartej Nauki

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Skocz do pozycji: 5.

Tytuł:: CROSS-SECTIONAL RETURNS FROM DIVERSE PORTFOLIO OF EQUITY INDICES WITH RISK PREMIA EMBEDDED
Autorzy:: Sakowski, Paweł
Ślepaczuk, Robert
Wywiał, Mateusz
Tematy:: cross-sectional models
asset pricing models
equity risk premium
equity indices
new risk factors
sensitivity analysis
book to market
momentum
market price of risk
emerging and developed equity indices; Pokaż więcej
Wydawca:: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Powiązania:: https://bibliotekanauki.pl/articles/453405.pdf Link otwiera się w nowym oknie
Opis:: The main purpose of this article is to extend evaluation of classic Fama-French and Carhart model for global equity indices. We intend to check the robustness of models results when used for a wide set of equity indices instead of single stocks for the given country. Such modification enables us to estimate equity risk premium for a single country. However, it requires several amendments to the proposed methodology for single stocks. Our empirical evidence reveals important differences between the conventional models estimated on single stocks, either international or US-only, and models incorporating whole markets. Our novel approach shows that the divergence between indices of the developed countries and those of emerging markets is still persistent. Additionally, research on weekly data for equity indices presents rationale for explanation of equity risk premia differences between variously sorted portfolios.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: Do multi-factor models produce robustresults? Econometric and diagnostic issues in equity risk premia study
Analiza diagnostyczna wieloczynnikowych modeli oszacowań premii za ryzyko akcyjne
Autorzy:: Sakowski, Paweł
Ślepaczuk, Robert
Wywiał, Mateusz
Tematy:: Asset pricing models
Autocorrelation
Collinearity
Diagnostics
Econometric
Equity risk premia
General Methods of Moments (GMM)
Heteroscedasticity
Maximum Likelihood Estimation (MLE)
Multi-factor models
Normality
Ordinary Least Squares (OLS)
Outliers
Autokorelacja
Diagnostyka modeli
Heteroskedastyczność
Metoda najmniejszych kwadratów
Metoda największej wiarygodności
Modele wieloczynnikowe
Modele wyceny aktywów
Obserwacje odstające
Premia za ryzyko akcyjne
Uogólniona metoda momentów
Współliniowość; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Powiązania:: https://bibliotekanauki.pl/articles/585858.pdf Link otwiera się w nowym oknie
Opis:: In recent decades numerous studies verified empirical validity of the CAPM model. Many of them showed that CAPM alone is not able to explain cross-sectional variation of stock returns. Researchers revealed various risk factors which explained outperformance of given groups of stocks or proposed modifications to existing multi-factor models. Surprisingly, we hardly find any discussion in financial literature about potential drawbacks of applying standard OLS method to estimate parameters of such models. Yet, the question of robustness of OLS results to invalid assumptions shouldn't be ignored. This article aims to address diagnostic and econometric issues which can influence results of a time-series multifactor model. Based on the preliminary results of a five-factor model for 81 emerging and developed equity indices [Sakowski, Ślepaczuk and Wywiał, 2016a] obtained with OLS we check the robustness of these results to popular violations of OLS assumptions. We find autocorrelation of error term, heteroscedasticity and ARCH effects for most of 81 regressions and apply an AR-GARCH model using MLE to remove them. We also identify outliers and diagnose collinearity problems. Additionally, we apply GMM to avoid strong assumption of IID error term. Finally, we present comparison of parameters estimates and Rsquared values obtained by three different methods of estimation: OLS, MLE and GMM. We find that results do not differ substantially between these three methods and allow to draw the same conclusions from the investigated five-factor model.
W ostatnich latach liczne prace podejmowały temat empirycznej weryfikacji skuteczności modelu CAPM. Ich autorzy zaproponowali co najmniej kilka czynników ryzyka, które są w stanie wyjaśnić zróżnicowanie przekrojowe zwrotów rozmaitych aktywów finansowych. Zaproponowano także liczne modyfikacje istniejących modeli wieloczynnikowych. W bogatej literaturze rzadko jednak spotykamy dyskusję na temat konsekwencji stosowania standardowej Metody Najmniejszych Kwadratów do oszacowania parametrów tych modeli. Pytanie o odporność oszacowań wieloczynnikowych modeli wyceny aktywów finansowych uzyskanych za pomocą MNK na niespełnienie założeń nie powinno być jednak ignorowane. Celem niniejszego artykułu jest analiza diagnostyczna wyników oszacowań modelu pięcioczynnikowego dla 81 indeksów giełdowych [Sakowski, Ślepaczuk i Wywiał, 2016a]. Weryfikacja założeń modelu wskazuje na obecność autokorelacji i heteroskedastyczności czynnika losowego, a także występowanie efektów ARCH. Analiza obejmuje także identyfikację obserwacji wpływowych oraz weryfikację obecności współliniowości wśród czynników. W końcowej części prezentujemy porównanie oszacowań uzyskanych za pomocą Metody Najmniejszych Kwadratów, Metody Największej Wiarygodności oraz Uogólnionej Metody Momentów. Wszystkie trzy metody dają bardzo zbliżone oszacowania i pozwalają wyciągnąć ten sam zestaw wniosków dla analizowanego modelu pięcioczynnikowego.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 7.

Tytuł:: Pricing the common stocks in emerging markets: The role of economic policy uncertainty
Autorzy:: Arkol, Orbay
Azimli, Asil
Tematy:: asset pricing
emerging markets
factor models
policy uncertainty
cross-section of returns
equity anomalies
the five-factor model; Pokaż więcej
Wydawca:: Fundacja Naukowa Instytut Współczesnych Finansów
Powiązania:: https://bibliotekanauki.pl/articles/55993824.pdf Link otwiera się w nowym oknie
Opis:: We examine the role of news-based policy uncertainty measures in capturing the cross-section of average stock returns in emerging markets. After controlling for the five established risk factors of Fama and French (FF), we find that policy uncertainty factors are redundant in capturing the average returns of portfolios constructed by considering well-known firm characteristics (size, book-to-market ratio, profitability, and investment). The pricing performance of the five factors model, both statistically and economically, does not improve with the addition of policy uncertainty factors. We argue that the news-based factors' information content is contained in FF risk factors. Our results are robust to additional test statistics and various policy uncertainty factors.
Dostawca treści:: Biblioteka Nauki

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