The stable long run CAPM and the cross section of expected returns:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Dt. Bundesbank
2002
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| Schriftenreihe: | Discussion paper / Economic Research Centre of the Deutsche Bundesbank
2002,5 |
| Schlagworte: | |
| Online-Zugang: | Volltext Inhaltsverzeichnis |
| Beschreibung: | Zsfassung in dt. Sprache |
| Beschreibung: | 37 S. graph. Darst. |
| ISBN: | 3935821026 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804129086247796736 |
|---|---|
| adam_text | Table of Contents
1 Introduction 1
2 Empirical evidence 3
2.1 Fat tails 3
2.2 A short summary of a stable Distributions 3
2.3 Common stochastic trends 4
2.4 The common stochastic trend and the efficient market hypothesis 5
3 The stable long run CAPM 8
3.1 The model 8
3.2 Econometric Estimation and Test of the SLCAPM 10
4 An empirical application 12
5 Empirical Performance 14
6 Conclusion 16
References 17
List of Tables and Figures
Table 1 Test for integration and co integration 21
Table 2 Test for causality 22
Table 3 Test of bivariate Symmetrie 23
Table 4 Estimates of short and long run Beta 24
Table 5 Test for bivariate symmetry 25
Table 6 Average returns and estimated market betas 26
Table 7 Empirical performance of the stable long run CAPM 27
Figure 1 Daily Prices, Returns and their empirical density of DAX 28
Figure 2 Monthly Returns and their empirical density of CRSP 29
Figure 2b Empirical density of the monthly returns of CRSP 29
Figure 3 Daily Price of SAP, Hoechst, Preussag and DAX 30
Figure 4 Sequential R2 of the conventional CAPM and the SLCAPM 31
|
| any_adam_object | 1 |
| author | Kurz-Kim, Jeong-Ryeol |
| author_facet | Kurz-Kim, Jeong-Ryeol |
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| author_sort | Kurz-Kim, Jeong-Ryeol |
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| ctrlnum | (OCoLC)50466469 (DE-599)BVBBV014204906 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV014204906 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:59:33Z |
| institution | BVB |
| isbn | 3935821026 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009737663 |
| oclc_num | 50466469 |
| open_access_boolean | 1 |
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| physical | 37 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Economic Research Centre of the Deutsche Bundesbank |
| spelling | Kurz-Kim, Jeong-Ryeol Verfasser aut The stable long run CAPM and the cross section of expected returns Jeong-Ryeol Kim long-run cross-section Frankfurt am Main Dt. Bundesbank 2002 37 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Economic Research Centre of the Deutsche Bundesbank 2002,5 Zsfassung in dt. Sprache Aktienrendite (DE-588)4126593-2 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Langfristige Analyse (DE-588)4200335-0 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Aktienrendite (DE-588)4126593-2 s Langfristige Analyse (DE-588)4200335-0 s DE-604 Economic Research Centre of the Deutsche Bundesbank Discussion paper 2002,5 (DE-604)BV013545109 2002,5 http://hdl.handle.net/10419/19562 Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009737663&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kurz-Kim, Jeong-Ryeol The stable long run CAPM and the cross section of expected returns Aktienrendite (DE-588)4126593-2 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Langfristige Analyse (DE-588)4200335-0 gnd |
| subject_GND | (DE-588)4126593-2 (DE-588)4121078-5 (DE-588)4200335-0 |
| title | The stable long run CAPM and the cross section of expected returns |
| title_alt | long-run cross-section |
| title_auth | The stable long run CAPM and the cross section of expected returns |
| title_exact_search | The stable long run CAPM and the cross section of expected returns |
| title_full | The stable long run CAPM and the cross section of expected returns Jeong-Ryeol Kim |
| title_fullStr | The stable long run CAPM and the cross section of expected returns Jeong-Ryeol Kim |
| title_full_unstemmed | The stable long run CAPM and the cross section of expected returns Jeong-Ryeol Kim |
| title_short | The stable long run CAPM and the cross section of expected returns |
| title_sort | the stable long run capm and the cross section of expected returns |
| topic | Aktienrendite (DE-588)4126593-2 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Langfristige Analyse (DE-588)4200335-0 gnd |
| topic_facet | Aktienrendite Capital-Asset-Pricing-Modell Langfristige Analyse |
| url | http://hdl.handle.net/10419/19562 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009737663&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV013545109 |
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