Non-parametric and semi-parametric asset pricing

被引：10

作者：

Erdos, Peter ^{[1
]}

Ormos, Mihaly ^{[1
]}

Zibriczky, David ^{[2
]}

机构：

[1] Budapest Univ Technol & Econ, Dept Finance, H-1111 Budapest, Hungary

[2] Budapest Univ Technol & Econ, Dept Comp Sci & Informat Theory, H-1111 Budapest, Hungary

来源：

ECONOMIC MODELLING | 2011年 / 28卷 / 03期

关键词：

Asset pricing; Kernel regression; Risk measures; Semi-parametric models; Non-parametric models; CROSS-SECTION; MARKET VALUE; ARBITRAGE; RISK; RETURNS; PREDICTABILITY; PORTFOLIOS; SELECTION; EARNINGS; STOCKS;

D O I：

10.1016/j.econmod.2010.12.008

中图分类号：

F [经济];

学科分类号：

02 ;

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. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：1150 / 1162

页数：13

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