Global risk premia on international stock and bond markets:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | German |
| Published: |
Wiesbaden
Gabler
1997
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIII, 306 S. graph. Darst. |
| ISBN: | 3824464977 |
Staff View
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| adam_text | XI
Summary of contents
1 Introduction 1
1.1 New challenges in portfolio management 2
1.2 Focus of the study 4
1.3 Structure of the study 7
2 The structure of beta pricing models 9
2.1 Fundamental valuation model 12
2.2 Single beta pricing in the mean variance framework 18
2.3 Arbitrage Pricing Theory 23
2.4 Conditional valuation models 56
2.5 Summing up the main streams 70
3 Beta pricing in an international environment 73
3.1 Basic facts on valuation in an international setting 75
3.2 Utility based equilibrium models 79
3.3 International Arbitrage Pricing Theory 93
3.4 Summing up the main streams 100
4 Empirical design 103
4.1 Beta pricing models in empirical finance 104
4.2 Strategies of model specification 113
4.3 Procedere 125
5 Characteristics of the input data 127
5.1 Cross section of international asset returns 128
5.2 Specification of explanatory variables 150
XII Summary of contents
6 Global factors affecting the returns on international markets 169
6.1 Estimation of factor models 170
6.2 Unconditional pricing of global risks 190
6.3 Summary of major findings in this chapter 216
7 Exploring the time variation of expected returns
on international markets 219
7.1 Predictable variation in international asset returns 221
7.2 Predictable variation in asset returns and beta pricing 234
7.3 Estimation of time varying risk premia 242
7.4 Analysis of the time evolution of global factor rewards 257
7.5 Summary of major findings in this chapter 280
8 On contributions and practical implications of this study 287
XIII
Contents
List of tables XXI
List of figures XXIII
1 Introduction 1
1.1 New challenges in portfolio management 2
1.2 Focus of the study 4
1.3 Structure of the study 7
2 The structure of beta pricing models 9
2.1 Fundamental valuation model 12
2.1.1 Model setting 12
2.1.2 Optimal portfolio selection 14
2.1.3 Pricing kernel 15
2.2 Single beta pricing in the mean variance framework 18
2.2.1 Derivation of the Capital Asset Pricing Model 18
2.2.2 On the deficiencies of the CAPM 21
2.3 Arbitrage Pricing Theory 2?
2.3.1 Factor models 25
2.3.2 Pricing in the framework of a strict factor model 27
2.3.2.1 Ross Arbitrage Pricing Theory 28
XIV Contents
2.3.2.2 Existence of a pricing bound 30
2.3.2.3 Interpreting the ^. coefficients in the
pricing restriction 38
2.3.3 Pricing in the framework of an approximate factor model 41
2.3.3.1 Conditions for the existence of a pricing bound 41
2.3.3.2 Transforming factor structures 43
2.3.4 Pricing in a finite capital market 44
2.3.4.1 Foundations of an equilibrium APT
and exact pricing 45
2.3.4.2 Explicit pricing bound 46
23.4.3 Obstacles and benefits of the equilibrium setting 48
2.3.5 Reflections on the empirical testability of the APT 49
2.3.5.1 Empirical formulation of the APT and
Shanken s critique 50
2.3.5.2 Standpoints on: Is the APT testable? 52
2.3.6 Summing up the main results 54
2.4 Conditional valuation models 56
2.4.1 Dynamic state variable pricing 57
2.4.1.1 Intertemporal Capital Asset Pricing Model 58
2.4.1.2 Discussion and extensions of the ICAPM 61
2.4.2 Intertemporal Arbitrage Pricing Theory 63
2.4.2.1 Equilibrium IAPT 63
2.4.2.2 Arbitrage motivated IAPT 66
2.4.3 On the theoretical grounds for time varying risk premia 68
2.5 Summing up the main streams 70
3 Beta pricing in an international environment 73
3.1 Basic facts on valuation in an international setting 75
3.1.1 Purchasing power relationships 75
3.1.2 On the core problem of international asset pricing 77
XV
3.2 Utility based equilibrium models 79
3.2.1 International Capital Asset Pricing Model 80
3.2.1.1 Portfolio separation and IntCAPM in real terms 80
3.2.1.2 IntCAPM in nominal terms 82
3.2.2 Models accounting for PPP deviations 84
3.2.2.1 Solnik Sercu International Asset Pricing Model 85
3.2.2.2 General models accounting for domestic inflation 88
3.3 International Arbitrage Pricing Theory 93
3.3.1 Pricing condition with exchange risk adjustment 94
3.3.2 The Solnik pricing condition 97
3.4 Summing up the main streams 100
4 Empirical design 103
4.1 Beta pricing models in empirical finance 104
4.1.1 Exploring the risk return trade off on national markets 104
4.1.1.1 Tests of unconditional beta pricing models 104
4.1.1.2 Tests of conditional beta pricing models 107
4.1.2 Exploring the risk return trade off on international markets 109
4.1.2.1 Tests of international versions of
standard beta pricing models 109
4.1.2.2 Tests of multi beta pricing models
using global economic factors 111
4.2 Strategies of model specification 113
4.2.1 General considerations 113
4.2.1.1 Modeling of risk and return 113
4.2.1.2 Assumptions on market integration 115
4.2.2 Global factor model 116
4.2.2.1 Representation of the return generating process 117
4.2.2.2 Unconditional pricing restiction 118
4.2.2.3 Conditional pricing restriction 119
XVI Contents
4.2.2.4 Determination of factor innovations 123
4.3 Procedere 125
5 Characteristics of the input data 127
5.1 Cross section of international asset returns 128
5.1.1 Market coverage and composition of indices 128
5.1.2 Time series characteristics 130
5.1.2.1 Stock market returns 133
5.1.2.2 Bond market returns 134
5.1.2.3 Analysis of the distribution of international
market returns 135
5.1.3 Correlation structure 138
5.1.3.1 Long term market interdependence 140
5.1.3.2 Stability of market interdependence 142
5.2 Specification of explanatory variables 150
5.2.1 Global risk factors 150
5.2.1.1 General construction principles 150
5.2.1.2 Data sources, some statistics and
theoretical motivation 151
5.2.2 Global instruments 158
5.2.2.1 General construction principles 158
5.2.2.2 Data sources, some statistics and
theoretical motivation 159
5.2.2.3 Time evolution of the global instruments 163
6 Global factors affecting the returns on international markets 169
6.1 Estimation of factor models 170
6.1.1 Model specification 170
6.1.2 Risk exposure of international markets estimation results 171
XVII
6.1.2.1 Global risk exposure of the stock markets 175
6.1.2.2 Global risk exposure of the bond markets 178
6.1.2.3 Diagnostics explanatory power
of the factor model 180
6.1.2.4 Diagnostics sensitivity to outliers
in the data series 182
6.1.3 Testing the global factors cross sectional influence 183
6.1.3.1 Hypotheses on the cross section of factor betas 183
6.1.3.2 Factors with a potential for pricing
on stock markets 185
6.1.3.3 Factors with a potential for pricing
on bond markets 188
6.1.3.4 Synthesis 189
6.2 Unconditional pricing of global risks 190
6.2.1 Empirical specification of the beta pricing model 190
6.2.2 System estimation results long term relationships 192
6.2.2.1 Pricing of global risks in the stock markets 192
6.2.2.2 Pricing of global risks in the bond markets 198
6.2.2.3 Summary of major results 201
6.2.3 Diagnostics on the pricing of global risks 201
6.2.3.1 Sub period analysis stock markets 202
6.2.3.2 Sub period analysis bond markets 205
6.2.3.3 Sub period analysis mean pricing errors 207
6.2.3.4 Using mimicking portfolios for the
global factors 211
6.3 Summary of major findings in this chapter 216
7 Exploring the time variation of expected returns
on international markets 219
7.1 Predictable variation in international asset returns 221
7.1.1 Simple rational expectations model 221
7.1.2 Global information and expected returns 223
XVIII Contents
7.1.2.1 Determinants of expected returns
on stock markets 223
7.1.2.2 Determinants of expected returns
on bond markets 225
7.1.3 A notion on common variation in predictable
asset returns 230
7.2 Predictable variation in asset returns and beta pricing 234
7.2.1 GMM specification test for conditional
beta pricing restrictions 234
7.2.2 Test results for versions of conditional
beta pricing models 237
7.2.2.1 Evidence for stock markets 239
7.2.2.2 Evidence for bond markets 239
7.2.3 Major findings and evidence in earlier studies 240
7.3 Estimation of time varying risk premia 242
7.3.1 Empirical specification of a conditional
beta pricing model 242
7.3.2 System estimation results 245
7.3.2.1 Factor betas in the conditional 3 factor model 248
7.3.2.2 Determinants of risk premia in
stock market returns 248
7.3.2.3 Determinants of risk premia in
bond market returns 251
7.3.2.4 Goodness of fit of the model 255
7.4 Analysis of the time evolution of global factor rewards 257
7.4.1 Graphic representation of time varying risk premia 258
7.4.2 Properties of the risk premium time series 260
7.4.2.1 Descriptive statistics 260
7.4.2.2 Testing the time stationarity of global
risk premia 262
7.4.3 Common variation of global risk premia
across asset classes 267
7.4.3.1 Time evolution and correlations 267
XIX
7.4.3.2 Reflections on the common variation of
global risk premia 270
7.4.4 Time evolution of global risk premia and the
business cycle 272
7.4.4.1 Business cycle patterns in global risk premia 273
7.4.4.2 Business cycle patterns in expected excess
returns 274
7.5 Summary of major findings in this chapter 280
8 On contributions and practical implications of this study 287
Bibliography 291
XXI
List of tables
2.1 Relationships between beta pricing models 11
5.1 Summary statistics for market excess returns 131
5.2 Analysis of the distribution of market returns 137
5.3 Correlations of international stock and bond market excess returns 139
5.4 Mean correlation across international markets 145
5.5 Test of the time stability of international market correlations 147
5.6 Statistics for the predetermined global risk factors 152
5.7 Statistics for the global instruments 160
5.8 Test of the stationarity of the global instruments 167
6.1 Regressions of stock and bond market excess returns on the
predetermined global risk factors 172
6.2 Explanatory power of the factor models 181
6.3 Testing the global factors cross sectional influence 186
6.4 Unconditional pricing test stock markets 195
6.5 Unconditional pricing test bond markets 198
6.6 Risk premia on the stock markets sub period analysis 203
6.7 Risk premia on the bond markets sub period analysis 206
6.8 Mean pricing error (MPE) for international asset returns
sub period analysis 210
6.9 Risk premia on the basis of factor portfolios 3 factor model 215
7.1 Regressions of stock and bond market excess returns on
on predetermined global instruments 227
7.2 GMM test of conditional beta pricing restrictions 238
7.3 Estimation of the conditional 3 factor pricing model
stock markets 246
7.4 Estimation of the conditional 3 factor pricing model
bond markets ^52
XXII List of tables
7.5 Statistics for the time series of global factor risk premia 262
7.6 Test of the stationarity of global factor risk premia 266
7.7 Correlations between the levels of global factor risk premia 268
XXIII
List of figures
5.1 Performance of the world markets 130
5.2 Time evolution of international market correlations 143
5.3 Time evolution of global instruments 164
7.1 Common variation in predictable stock market returns 230
7.2 Common variation in predictable returns on selected stock markets 231
7.3 Common variation in predictable bond market returns 232
7.4 Common variation in predictable returns on selected bond markets 233
7.5 Time evolution of global risk premia in international stock
and bond returns 259
7.6 Time evolution of global risk premia on different markets 275
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| id | DE-604.BV011311731 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:07:36Z |
| institution | BVB |
| isbn | 3824464977 |
| language | German |
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| publisher | Gabler |
| record_format | marc |
| spelling | Oertmann, Peter Verfasser aut Global risk premia on international stock and bond markets vorgelegt von Peter Oertmann Wiesbaden Gabler 1997 XXIII, 306 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 1996 Geschichte gnd rswk-swf Effectenhandel gtt Risicoanalyse gtt Risikoprämie (DE-588)4178227-6 gnd rswk-swf Internationaler Kapitalmarkt (DE-588)4027402-0 gnd rswk-swf Betafaktor (DE-588)4336383-0 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Internationaler Aktienmarkt (DE-588)4257200-9 gnd rswk-swf Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Proefschriften (vorm) gtt Internationaler Kapitalmarkt (DE-588)4027402-0 s Risikoprämie (DE-588)4178227-6 s DE-604 Internationaler Aktienmarkt (DE-588)4257200-9 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Arbitrage-Pricing-Theorie (DE-588)4112584-8 s Betafaktor (DE-588)4336383-0 s Geschichte z DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007598817&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Oertmann, Peter Global risk premia on international stock and bond markets Effectenhandel gtt Risicoanalyse gtt Risikoprämie (DE-588)4178227-6 gnd Internationaler Kapitalmarkt (DE-588)4027402-0 gnd Betafaktor (DE-588)4336383-0 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Internationaler Aktienmarkt (DE-588)4257200-9 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd |
| subject_GND | (DE-588)4178227-6 (DE-588)4027402-0 (DE-588)4336383-0 (DE-588)4121078-5 (DE-588)4257200-9 (DE-588)4112584-8 (DE-588)4113937-9 |
| title | Global risk premia on international stock and bond markets |
| title_auth | Global risk premia on international stock and bond markets |
| title_exact_search | Global risk premia on international stock and bond markets |
| title_full | Global risk premia on international stock and bond markets vorgelegt von Peter Oertmann |
| title_fullStr | Global risk premia on international stock and bond markets vorgelegt von Peter Oertmann |
| title_full_unstemmed | Global risk premia on international stock and bond markets vorgelegt von Peter Oertmann |
| title_short | Global risk premia on international stock and bond markets |
| title_sort | global risk premia on international stock and bond markets |
| topic | Effectenhandel gtt Risicoanalyse gtt Risikoprämie (DE-588)4178227-6 gnd Internationaler Kapitalmarkt (DE-588)4027402-0 gnd Betafaktor (DE-588)4336383-0 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Internationaler Aktienmarkt (DE-588)4257200-9 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd |
| topic_facet | Effectenhandel Risicoanalyse Risikoprämie Internationaler Kapitalmarkt Betafaktor Capital-Asset-Pricing-Modell Internationaler Aktienmarkt Arbitrage-Pricing-Theorie Hochschulschrift Proefschriften (vorm) |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007598817&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT oertmannpeter globalriskpremiaoninternationalstockandbondmarkets |