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摘要暂缺

预测系统性风险的调整方法AI 解读

Abstract This paper looks at the currently available beta adjustment techniques and suggests a multiple root‐linear model to adjust for the regression tendency of betas. Our empirical investigate on indicates that cross‐sectional betas are not normally distributed, but their distribution tends to normal after a square‐root transformation. The evidence from the Box‐Cox regression model and the multivariate normality observed among betas after the transformation, make the…

摘要暂缺

零贝塔收益最大似然估计量的几何结构AI 解读

ABSTRACT This paper explores geometric relations, in mean‐variance space, among the sample frontier, the maximum likelihood estimator, and two other estimators of the zerobeta return. It is also demonstrated that a partition of the portfolio space is determined by a family of parabolas; the zeros of each parabola are the maximum likelihood estimators associated with all portfolios on the parabola. This observation is the basis for an additional interpretation of the…

认股权证价格对股票价格变化的调整速度AI 解读

This article reports on work designed to measure the time required for a change in a stock's price to be fully reflected in the price of a warrant on that stock. The method employed to measure the adjustment speed is the bivariate transfer function technique of Box and Jenkins. An interesting aspect of the study is the use of trade-by-trade data for measuring stock and warrant returns. The evidence presented here suggests that warrant prices adjust quickly to changes in…

ARCH 模型的渐近理论：估计与检验AI 解读

In the context of a linear dynamic model with moving average errors, we consider a heteroscedastic model which represents an extension of the ARCH model introduced by Engle [4]. We discuss the properties of maximum likelihood and least squares estimates of the parameters of both the regression and ARCH equations, and also the properties of various tests of the model that are available. We do not assume that the errors are normally distributed.

指数族独立随机变量序列的变点检验与置信区域AI 解读

SUMMARY Maximum likelihood methods are used to test for a change in a sequence of independent exponential family random variables, with particular emphasis on the exponential distribution. The exact null and alternative distributions of the test statistics are found, and the power is compared with a test based on a linear trend statistic. Exact and approximate confidence regions for the change-point are based on the values accepted by a level x likelihood ratio test and a…

投资回报倍数服从对数正态分布时的多期预期收益率估计AI 解读

This article extends Blume's (1974) work on the estimation of multiperiod expected rates of return to the interesting case in which investment relatives are lognormally distributed. We derive the minimum variance unbiased estimator for the expected multiperiod investment relative and its variance. We also develop five other estimators, including an approximate minimum mean squared error estimator. Two empirical studies are made, one based on portfolios of New York Stock…

基于消费的跨期资本资产定价模型：商品期货价格检验AI 解读

ABSTRACT In this paper we extend the multigood futures pricing model of Grauer and Litzenberger [9] to a dynamic discrete time setting. We then test the model using data on futures prices for corn, wheat, and soybeans. The parameter estimates we obtain are similar to those obtained by other researchers using stock return data. The model itself is rejected and we offer some suggestions as to which assumption may be violated. We also give an interpretation to the…

资产价格结构与社会上无用或有用的信息AI 解读

ABSTRACT This paper relates the value of additional information to asset prices in a pure exchange setting. The price structure of interest revolves around a “pricing‐hypothesis”: the prices in an economy with less information are unbiased estimators of the prices that would obtain in a more informative economy. Two basic results are developed. First, if the incremental information is useless then the pricing‐hypothesis applies. Second, if the pricing hypothesis is assumed…

论有效市场假说AI 解读

Economic theorists have interpreted the "efficient markets hypothesis" to assert that equilibrium asset prices reveal all decision-relevant information in the market. This paper establishes conditions on investors' utility functions of future wealth which are necessary for the efficient markets hypothesis to be satisfied and be robust to slight perturbations of endowments and the joint distribution of current information and future asset values. The main result states that…

未来收益贴现下股票市场的最优停止AI 解读

In the random walk stock market model, a stock is purchased at price $x$ and is sold at time $t$ for the price $x + S_t$ where $S_t = \sum^t_0 X_i, X_i$ is the price change during the $i$th epoch, and $X_1, X_2, \cdots$ are i.i.d. random variables with $\mu = E(X_1) > 0$ and finite $\sigma^2 = E(X^2_1) - \mu^2 > 0$. Discounting the future by a factor of $\gamma$ per epoch, $0 < \gamma < 1$, a selling or stopping policy $t$ has expected payoff or utility $u(t) = E\{\gamma^t(x + S_t)\}$…

股票收益风险结构变化的贝叶斯稳健检测AI 解读

In this article we provide a statistical procedure for the analysis of stock market prices that is robust toward departures from the normal distribution assumption and that can detect and evaluate a shift of parameters at an unknown time point. The method is an adaptation of a Bayesian inferential procedure developed by Box and Tiao that allows data to deviate moderately from the normal distribution model. It is applied to a set of U.S. stock market prices for 1971–1974. In…

摘要暂缺

Markowitz 有效投资组合的估计AI 解读

Given a set of N assets a portfolio is determined by a set of weights xi, i = 1, 2, …, N; Σ N i=1 xi = 1 indicating the proportion of the value of the portfolio devoted to each asset. A Markowitz efficient portfolio is the vector of weights X m that minimizes the variance σ m 2 of the total return from the portfolio, subject to the condition that the portfolio mean premium return μ m has a certain value. The estimators for the N × 1 vector X m , the return premium μ m , and…

理性预期均衡：一般性存在与价格揭示的信息AI 解读

When traders come to a market with different information about the items to be traded, the resulting market prices may reveal to some traders information originally available only to others.The possibility for such inferences rests upon traders having "models" or "expectations" of how equilibrium prices are related to initial information.This relationship is endogenous, which motivates the term "rational expectations equilibrium."This paper shows that, in a particular model…

摘要暂缺

This paper analyzes three quarterly investment models for the detection of certain specifi- cation errors. The models are those of Anderson (1 and 2), Eisner (4), and Meyer-Glauber (10). The models are applied to thirteen manufacturing industries. A set of specification error tests developed by Ramsey (12, 13, and 14) are applied to the above models so as to detect the specification errors of omission of variables, incorrect functional form, simul- taneous equation problems,…

摘要暂缺

证券风险溢价的定量理论及其在利率期限结构中的应用AI 解读

Generalizing the Sharpe-Lintner capital asset pricing model, Dieffenbach [4] presents a model of securities markets in a private enterprise economy in a multiperiod competitive equilibrium with uncertainty. Risk premiums on securities depend on the covariances of holding period returns with the return on the market portfolio and with a multiperiod cost-of-living index. This paper develops a quantitative theory of that relationship suitable for empirical estimation and…

一种简单的稳健回归方法AI 解读

Estimates of the parameters of a linear model are usually obtained by the method of ordinary least-squares (OLS), which is sensitive to large values of the additive error term. By dividing the sample into nonoverlapping subsamples and computing the trimmed means of OLS subsample regression coefficients, we obtain a simple, consistent and asymptotically normal initial estimate of the coefficients, which protects the analyst from large values of ∈ i which are often hard to…

长期预期收益率的无偏估计量AI 解读

This article documents the biases in using sample arithmetic or geometric means of one-period returns to assess long-run expected rates of return. The formulas developed are applicable to other compound growth processes. For types of distributions of one-period returns likely to be encountered for bonds and stocks, numerical values for these biases are given. Four unbiased estimators of long-run expected rates of return are developed and their relative efficiency examined.

股票市场价格的稳定帕累托行为AI 解读

In this article we present some empirical evidence which indicates that attempts to represent the probability distribution of the rates of return on common stocks by a member of the stable Paretian family of distributions, with 1 < α < 2, may be misleading and in fact may not produce an adequate fit to observed rates of return. We offer an alternative probability model for describing rates of return based on the hypothesized phenomenon of a changing variance. We test the…

股票收益的分布AI 解读

A detailed examination is made of the distribution of stock returns following reports that the distribution is best described by the symmetric stable class of distributions. The distributions are shown to be “fat-tailed” relative to the normal distribution but a number of properties inconsistent with the stable hypothesis are noted. In particular, the standard deviation appears to be a well behaved measure of scale.