Makale detayı · 2022
Asset Pricing in a Multifactor Setting
- Yıl
- 2022
- ISSN
2214-8469- Tür
- article
Veri kaynağı ayrımı
- YÖKSİS YÖKSİS makale kaydı
- OpenAlex OpenAlex zenginleştirmesi (özet, atıf, konular)
Özet
İngilizce (OpenAlex)
We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as time varying. In addition to allowing time-varying market risk premiums, our methodology can be extended to allow for time-varying systematic risk. Our approach offers a fairly simple way to estimate expected excess returns in a multifactor setting without the use of sorting methodologies. Our critique of multifactor models is mainly due to the fact that if at least one asset in the market portfolio is sensitive to a priced factor, then the market portfolio should also be sensitive to this factor.
Konular
- Financial Markets and Investment Strategies
- Stochastic processes and financial applications
- Credit Risk and Financial Regulations
Birincil konu Financial Markets and Investment Strategies