A conditional asset-pricing model with the optimal orthogonal portfolio

Journal of Banking and Finance

Volumn 35, Issue 5, 2011, Pages 1027-1040

  Asgharian, Hossein ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

Factor pricing; Optimal orthogonal portfolio; Time varying risk premium

Indexed keywords

EID: 79952752965     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.09.017     Document Type: Article

References (32)

1. Asem E. Dividends and price momentum. Journal of Banking and Finance 2009, 33:486-494.
2. Asgharian H., Hansson B. Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach. Journal of Empirical Finance 2005, 12:556-575.
3. Campbell J.Y., Lo A.W., MacKinlay A.C. The Econometrics of Financial Markets 1997, Princeton University Press, Princeton.
4. Carhart M. On persistence of mutual fund performance. Journal of Finance 1997, 52:57-82.
5. Charoenrook, A., Conrad, J., 2005. Identifying risk-based factors. Discussion Paper, AFA 2006 Boston.
6. Chen S.S. Predicting the bear stock market: macroeconomic variables as leading indicators. Journal of Banking and Finance 2009, 33:211-223.
7. Chen N.F., Roll R., Ross S.A. Economic forces and the stock market. Journal of Business 1986, 59:383-403.
8. Cochrane J.H. A cross-sectional test of an investment-based asset pricing model. Journal of Political Economy 1996, 104:572-621.
9. Cochrane J.H. Asset Pricing 2001, Princeton University Press, Princeton.
10. Connor G., Korajczyk R. Performance measurement with the arbitrage pricing theory: a new framework for analysis. Journal of Financial Economics 1986, 15:373-394.
11. Dittmar R.F. Nonlinear pricing kernels, kurtosis preference, and the cross-section of equity returns. Journal of Finance 2002, 57:369-403.
12. Engle, R.F., Mistry, A., 2008. Priced risk and asymmetric volatility in the cross-section of skewness. Working Paper, Stern School of Business, New York University.
13. Fama E., French K. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics 1989, 25:23-49.
14. Fama E.F., French K.R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 1993, 33:3-56.
15. Fama E.F., MacBeth J.D. Risk, return and equilibrium: empirical tests. Journal of Political Economy 1973, 71:607-636.
16. Ferson W.E., Harvey C. Conditioning variables and the cross section of stock returns. Journal of Finance 1999, 54:1325-1360.
17. Ferson W.E., Siegel A.F., Xu P. Mimicking portfolios with conditioning information. Journal of Financial and Quantitative Analysis 2006, 41:607-635.
18. Gencay R., Selcuk F., Whitcher B. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 2001, Academic Press, San Diego.
19. Gibbons M.R., Ferson W.E. Testing asset pricing models with changing expectations and an unobservable market portfolio. Journal of Financial Economics 1985, 14:216-236.
20. Goffe W.L., Ferrier G.D., Rogers J. Global optimization of statistical functions with simulated annealing. Journal of Econometrics 1994, 60:65-99.
21. Hansen L.P., Jagannathan R. Assessing specification errors in stochastic discount factor models. Journal of Finance 1997, 52:557-590.
22. Hodrick R., Zhang X. Evaluating the specification errors of asset pricing models. Journal of Financial Economics 2001, 62:327-376.
23. Hunter D.M., Simon D.P. Are TIPS the " real" deal?: a conditional assessment of their role in a nominal portfolio. Journal of Banking and Finance 2005, 29:347-368.
24. Jagannathan R., Wang Z. The conditional CAPM and cross-section of expected returns. Journal of Finance 1996, 51:3-53.
25. Joyce M.A.S., Lildholdt P., Sorensen S. Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves. Journal of Banking and Finance 2010, 34:281-294.
26. Keim D., Stambaugh R. Predicting returns in the bond and stock markets. Journal of Financial Economics 1986, 17:357-390.
27. Lehmann B.N., Modest D. The empirical foundations of the arbitrage pricing theory. Journal of Financial Economics 1988, 21:213-254.
28. Litzenberger R., Ramaswamy K. The effect of personal taxes and dividends on capital asset prices. Journal of Financial Economics 1979, 7:163-195.
29. MacKinlay A.C. Multifactor models do not explain deviations from the CAPM. Journal of Financial Economics 1995, 38:3-28.
30. MacKinlay A.C., Pastor L. Asset pricing models: implications for expected returns and portfolio selection. Review of Financial Studies 2000, 13:883-916.
31. Nippani S., Smith S.D. The increasing default risk of US Treasury securities due to the financial crisis. Journal of Banking and Finance 2010, 34:2472-2480.
32. Ross S. Arbitrage theory of capital asset pricing. Journal of Economic Theory 1976, 13:341-360.