Linear factor models in finance:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Elsevier
2005
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Elsevier finance
Quantitative finance series |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIV, 282 S. graph. Darst. |
| ISBN: | 0750660066 |
Internformat
MARC
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| 100 | 1 | |a Knight, John |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Linear factor models in finance |c John Knight and Stephen Satchell |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Amsterdam [u.a.] |b Elsevier |c 2005 | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
List of contributors xi
Introduction xv
1 Review of literature on multifactor asset pricing models 1
Mario Pitsillis
1.1 Theoretical reasons for existence of multiple factors 1
1.2 Empirical evidence of existence of multiple factors 5
1.3 Estimation of factor pricing models 5
Bibliography 9
2 Estimating UK factor models using the multivariate skew normal
distribution 12
C. /. Adcock
2.1 Introduction 12
2.2 The multivariate skew normal distribution and
some of its properties 14
2.3 Conditional distributions and factor models 17
2.4 Data model choice and estimation 19
2.5 Empirical study 19
2.5.1 Basic return statistics 19
2.5.2 Overall model fit 21
2.5.3 Comparison of parameter estimates 23
2.5.4 Skewness parameters 24
2.5.5 Tau and time varying conditional variance 25
2.6 Conclusions 27
Acknowledgement 27
References 27
3 Misspecification in the linear pricing model 30
Ka Man Lo
3.1 Introduction 30
3.2 Framework 31
3.2.1 Arbitrage Pricing Theory 31
3.2.2 Multivariate F test used in linear factor model 32
3.2.3 Average F test used in linear factor model 34
vi Contents
3.3 Distribution of the multivariate F test statistics
under misspecification 34
3.3.1 Exclusion of a set of factors from estimation 35
3.3.2 Time varying factor loadings 41
3.4 Simulation study 43
3.4.1 Design 43
3.4.2 Factors serially independent 45
3.4.3 Factors autocorrelated 48
3.4.4 Time varying factor loadings 49
3.4.5 Simulation results 50
3.5 Conclusion 57
Appendix: Proof of proposition 3.1 and proposition 3.2 59
4 Bayesian estimation of risk premia in an APT context 61
Theofanis Darsinos and Stephen E. Satchell
4.1 Introduction 61
4.2 The general APT framework 62
4.2.1 The excess return generating process (when factors are
traded portfolios) 62
4.2.2 The excess return generating process (when factors are
macroeconomic variables or non traded portfolios) 64
4.2.3 Obtaining the (Kxl) vector of risk premia A 65
4.3 Introducing a Bayesian framework using a Minnesota prior
(Litterman s prior) 66
4.3.1 Prior estimates of the risk premia 67
4.3.2 Posterior estimates of the risk premia 70
4.4 An empirical application 72
4.4.1 Data 73
4.4.2 Results 74
4.5 Conclusion 77
References 77
Appendix 80
5 Sharpe style analysis in the MSCI sector portfolios: a Monte Carlo
integration approach 83
George A. Christodoulakis
5.1 Introduction 83
5.2 Methodology 84
5.2.1 A Bayesian decision theoretic approach 85
5.2.2 Estimation by Monte Carlo integration 86
5.3 Style analysis in the MSCI sector portfolios 87
5.4 Conclusions 93
References 93
Contents vjj
6 Implication of the method of portfolio formation on asset
pricing tests 95
Ka Man Lo
6.1 Introduction 95
6.2 Models 97
6.2.1 Asset pricing frameworks 97
6.2.2 Specifications to be tested 98
6.3 Implementation 99
6.3.1 Multivariate F test 99
6.3.2 Average F test 100
6.3.3 Stochastic discount factor using GMM with Hansen and
Jagannathan distance 102
6.3.4 A look at the pricing errors under different tests 103
6.4 Variables construction and data sources 104
6.4.1 Data sources 104
6.4.2 Independent variables: excess market return, size return
factor and book to market return factor 105
6.4.3 Dependent variables: size sorted portfolios, beta sorted
portfolios and individual assets 109
6.5 Result and discussion 114
6.5.1 Formation of Wr 114
6.5.2 Model 1 115
6.5.3 Model 2 123
6.5.4 Model 3 133
6.6 Simulation 138
6.7 Conclusion and implication 146
References 148
7 The small noise arbitrage pricing theory and its welfare implications 150
Stephen E. Satchel]
7.1 Introduction 150
7.2 151
7.3 155
References 156
List of symbols 157
8 Risk attribution in a global country sector model 159
Alan Scowcroft and James Sefton
8.1 Introduction 159
8.2 Recent trends in the globalization of equity markets 161
8.2.1 Home bias 162
8.2.2 The rise and rise of the multinational corporation 165
8.2.3 Increases in market concentration 167
8.3 Modelling country and sector risk 170
8.4 The estimated country and sector indices 176
viii Contents
8.5 Stock and portfolio risk attribution 181
8.6 Conclusions 188
8.7 Further issues and applications 189
8.7.1 Accounting for currency risk 189
8.7.2 Additional applications for this research 190
References 190
Appendix A: A detailed description of the identifying restrictions 193
Appendix B: The optimization algorithm 197
Appendix C: Getting the hedge right 199
9 Predictability of fund of hedge fund returns using DynaPorte 202
Greg N. Gregoriou and Fabrice Rouah
9.1 Introduction 202
9.2 Literature review 203
9.3 Methodology and data 204
9.4 Empirical results 204
9.5 Discussion 205
9.6 Conclusion 207
References 207
10 Estimating a combined linear factor model 210
Alvin L. Stroyny
10.1 Introduction 210
10.2 A combined linear factor model 211
10.3 An extended model 213
10.4 Model estimation 214
10.5 Conditional maximization 216
10.6 Heterogeneous errors 217
10.7 Estimating the extended model 218
10.8 Discussion 220
10.9 Some simulation evidence 221
10.10 Model extensions 222
10.11 Conclusion 223
References 224
11 Attributing investment risk with a factor analytic model 226
Dr T. Wilding
11.1 Introduction 226
11.2 The case for factor analytic models 227
11.2.1 Types of linear factor model 227
11.2.2 Estimation issues 228
11.3 Attributing investment risk with a factor analytic model 229
11.3.1 Which attributes can we consider? 230
11.4 Valuation attributes 231
11.4.1 Which attributes should we consider? 231
Contents jx
11.4.2 Attributing risk with valuation attributes 236
11.5 Category attributes 237
11.5.1 Which categories should we consider? 239
11.5.2 Attributing risk with categories 240
11.6 Sensitivities to macroeconomic time series 241
11.6.1 Which time series should we consider? 241
11.6.2 Attributing risk with macroeconomic time series 241
11.7 Reporting risk relative marginals 242
11.7.1 Case study: Analysis of a UK portfolio 244
11.8 Conclusion 245
References 246
Appendix 247
12 Making covariance based portfolio risk models sensitive
to the rate at which markets reflect new information 249
Dan diBartolomeo and Sandy Warrick, CFA
12.1 Introduction 249
12.2 Review 250
12.3 Discussion 253
12.4 The model 254
12.5 A few examples 257
12.6 Conclusions 259
References 259
13 Decomposing factor exposure for equity portfolios 262
David Tien, Paul Pfleiderer, Robert Maxim and Terry Marsh
13.1 Introduction 262
13.2 Risk decomposition: cross sectional characteristics 264
13.3 Decomposition and misspecification in the cross sectional model:
a simple example 269
13.3.1 Industry classification projected onto factor exposures 269
13.3.2 Incorporating expected return information 270
13.4 Summary and discussion 273
References 274
Index 277
|
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| indexdate | 2024-07-09T20:10:11Z |
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| isbn | 0750660066 |
| language | English |
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| physical | XIV, 282 S. graph. Darst. |
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| series2 | Elsevier finance Quantitative finance series |
| spelling | Knight, John Verfasser aut Linear factor models in finance John Knight and Stephen Satchell 1. publ. Amsterdam [u.a.] Elsevier 2005 XIV, 282 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Elsevier finance Quantitative finance series Mathematisches Modell Finance Mathematical models Faktorenanalyse (DE-588)4016338-6 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzwirtschaft (DE-588)4017214-4 s Faktorenanalyse (DE-588)4016338-6 s DE-604 Satchell, Stephen Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013308930&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Knight, John Satchell, Stephen Linear factor models in finance Mathematisches Modell Finance Mathematical models Faktorenanalyse (DE-588)4016338-6 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
| subject_GND | (DE-588)4016338-6 (DE-588)4017214-4 (DE-588)4143413-4 |
| title | Linear factor models in finance |
| title_auth | Linear factor models in finance |
| title_exact_search | Linear factor models in finance |
| title_full | Linear factor models in finance John Knight and Stephen Satchell |
| title_fullStr | Linear factor models in finance John Knight and Stephen Satchell |
| title_full_unstemmed | Linear factor models in finance John Knight and Stephen Satchell |
| title_short | Linear factor models in finance |
| title_sort | linear factor models in finance |
| topic | Mathematisches Modell Finance Mathematical models Faktorenanalyse (DE-588)4016338-6 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
| topic_facet | Mathematisches Modell Finance Mathematical models Faktorenanalyse Finanzwirtschaft Aufsatzsammlung |
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