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Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
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Year: 1999 Publisher: Cambridge, Mass. National Bureau of Economic Research

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Multifactor Models Do Not Explain Deviations from the CAPM
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Year: 1994 Publisher: Cambridge, Mass. National Bureau of Economic Research

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Book
Multifactor models do not explain deviations from the CAPM
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Year: 1994 Publisher: Cambridge, Mass. National Bureau of Economic Research

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Prices


Digital
Maximizing predictability in the stock and bond markets
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Year: 1995 Publisher: Cambridge, Mass. National Bureau of Economic Research

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Digital
A Non-Random Walk Down Wall Street
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ISBN: 9781400829095 9780691092560 Year: 2011 Publisher: Princeton, N.J. Princeton University Press

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Economics


Book
The Econometrics of Financial Markets
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ISBN: 9781400830213 Year: 2012 Publisher: Princeton, NJ

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Digital
Econometric models of limit-order executions
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Year: 1997 Publisher: Cambridge, Mass. National Bureau of Economic Research

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An ordered probit analysis of transaction stock prices
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Year: 1991 Publisher: Cambridge, Mass. National Bureau of Economic Research

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Book
Asset Pricing Models : Implications for Expected Returns and Portfolio Selection
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Year: 1999 Publisher: Cambridge, Mass. National Bureau of Economic Research

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Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of this link leads to expected return estimates that are more precise and more stable over time than unrestricted estimates. Optimal portfolio weights that incorporate the link when no factors are observable are proportional to expected return estimates, effectively using an identity matrix as a covariance matrix. The resulting portfolios perform well both in simulations and in out-of-sample comparisons.

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Book
Multifactor Models Do Not Explain Deviations from the CAPM
Authors: ---
Year: 1994 Publisher: Cambridge, Mass. National Bureau of Economic Research

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A number of studies have presented evidence rejecting the validity of the Capital Asset Pricing Model (CAPM). This evidence has spawned research into possible explanations. These explanations can be divided into two main categories - the risk based alternatives and the nonrisk based alternatives. The risk based category includes multifactor asset pricing models developed under the assumptions of investor rationality and perfect capital markets. The nonrisk based category includes biases introduced in the empirical methodology, the existence of market frictions, or explanations arising from the presence of irrational investors. The distinction between the two categories is important for asset pricing applications such as estimation of the cost of capital. This paper proposes to distinguish between the two categories using ex ante analysis. A framework is developed showing that ex ante one should expect that CAPM deviations due to missing risk factors will be very difficult to statistically detect. In contrast, deviations resulting from nonrisk based sources will be easy to detect. Examination of empirical results leads to the conclusion that the risk based alternatives is not the whole story for the CAPM deviations. The implication of this conclusion is that the adoption of empirically developed multifactor asset pricing models may be premature.

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