发帖
雷达卡
英文标题：
《Non-parametric and semi-parametric asset pricing》
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作者：
Peter Erdos, Mihaly Ormos, David Zibriczky
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最新提交年份：
2017
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英文摘要：
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and the alpha, are biased and inconsistent. We deduce semi-parametric measures which are non-constant under extreme market conditions in a single factor setting; on the other hand, they are not significantly different from the linear estimates of the Fama-French three-factor model. If we extend the single factor model with the Fama-French factors, the simple linear model is able to explain the US stock returns correctly.
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中文摘要：
我们发现，CAPM无法解释小企业效应，即使其非参数形式允许定价函数中存在时变风险和非线性。此外，CAPM的线性可能会被拒绝，因此广泛使用的风险和绩效度量，β和α，是有偏差和不一致的。我们推导了在单因素条件下极端市场条件下非常数的半参数测度；另一方面，它们与Fama-French三因素模型的线性估计值没有显著差异。如果我们用Fama-French因子扩展单因子模型，简单线性模型能够正确解释美国股票收益率。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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