Всего статей в данном разделе : 5
Опубликовано на портале: 21-06-2006Qing Li, Maria Vassalou, Yuhang Xing AFA 2002 Atlanta Meetings. 2001.
In this paper we present a simple model where asset returns are functions of multiple investment growth rates. The model is tested for its ability to price the 25 Fama-French portfolios using the Generalized Methods of Moments (GMM) methodology, as well as Fama-MacBeth cross-sectional regressions. Comparisons on the basis of several metrics with other models, such as the CAPM, the Fama-French (1993) model and Cochrane's (1996) model, reveal that it consistently outperforms the CAPM and Cochrane's model. It also outperforms the Fama-French model in several tests. Our model can explain a significantly larger proportion of the cross-sectional variation in the 25 Fama-French portfolios than the Fama-French model does. Specification tests in the context of GMM and the Fama-MacBeth regressions show that in the presence of the investment growth factors included in our model, the size and book-to-market characteristics lose their ability to explain asset returns. Our model is successful in pricing size- and book-to-market- sorted portfolios, although it includes exclusively macroeconomic variables as factors.
Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach [статья]
Опубликовано на портале: 21-06-2006Tom Engsted, Enno Mammen, Carsten Tanggaard EFMA 2001 Lugano Meetings. 2001.
We investigate the C-CAPM and the equity premium puzzle using asset returns and consumption data from the US and Denmark In contrast to previous studies the investigation is carried out with both short and long investment horizons In addition, we introduce a Markovian bootstrap approach to calculate the finite-sample distributions of thevarious test statistics used mong otherthings,our approach allows testing the hypothesis of no pricing errors based on the Hansen and Jagannathan (1997) specification error measure, which is not possible based on asymptotic approximations The analysis shows that there are large differences between US and Danish asset markets, and also to some extent differences depending on the length of the investment horizon In addition, with a long investment horizon, the asymptotic and bootstrap estimated distributions often differ markedly We also find that although the Hansen-Jagannathan specification error measure points to large pricing errors, when we account properly (using the bootstrap approach) for sampling error, there is no evidence against the C-CAPM with CRR utility in neither the US nor Danish data However, the bootstrap based tests of a zero-mean risk-adjusted equity premium clearly reject the model on US data
The Economic Costs of the Iraq War: An Appraisal Three Years After the Beginning of the Conflict [статья]
Опубликовано на портале: 28-10-2007Joseph E. Stiglitz, Linda Bilmes NBER Working Papers. 2006. No. 12054.
This paper attempts to provide a more complete reckoning of the costs of the Iraq War, using standard economic and accounting/ budgetary frameworks. As of December 30, 2005, total spending for combat and support operations in Iraq is $251bn, and the CBO's estimates put the projected total direct costs at around $500bn. These figures, however, greatly underestimate the War's true costs. The authors estimate a range of present and future costs, by including expenditures not in the $500bn CBO projection, such as lifetime healthcare and disability payments to returning veterans, replenishment of military hardware, and increased recruitment costs. They then make adjustments to reflect the social costs of the resources deployed, (e.g. reserve pay is less than the opportunity wage and disability pay is less than forgone earnings). Finally, they estimate the effects of the war on the overall performance of the economy. Even taking a conservative approach and assuming all US troops return by 2010, the authors believe the true costs exceed a trillion dollars. Using the CBO's projection of maintaining troops in Iraq through 2015, the true costs may exceed $2 trillion. In either case, the cost is much larger than the administration's original estimate of $50-$60bn. The costs estimated do not include those borne by other countries, either directly (military expenditures) or indirectly (the increased price of oil). Most importantly, they have not included the costs to Iraq, either in terms of destruction of infrastructure or the loss of lives. These would all clearly raise the costs significantly.
Опубликовано на портале: 20-06-2006Jan Bartholdy, Paula Peare Working Paper Series (SSRN). 2001.
When estimation of beta is based on the Capital Asset Pricing Model the standard recommendation is to use five years of monthly data and a value-weighted index. Given the importance of the beta estimate obtained for financial decisions, such as those involved in portfolio management, capital budgeting, and performance evaluation, there is surprisingly little research evidence in support of this recommendation. The objective of this paper is to address this shortcoming. For this purpose the relative efficiency of beta estimates which result from using different data frequencies, time periods, and indexes is examined. It is found that five years of monthly data and an equal-weighted index, as opposed to the commonly recommended value-weighted index, provides the most efficient estimate.
Инвестиционные стратегии [статья]
Опубликовано на портале: 16-08-2006Андрей Валерьевич Лукашов
Статья представляет собой лекцию руководителя департамента финансов и инвестиций компании «Форум-консалтинг», Лукашова А. В. В статье рассматриваются инвестиционные стратегии в различные периоды бизнес-цикла, общая (глобальная) стратегия инвестиций, инвестиции в специализированные финансовые инструменты.