Download PDF by Jianping Mei, Prof. Hsien-Hsing Liao, Hsien-Hsing Liao: Asset Pricing

By Jianping Mei, Prof. Hsien-Hsing Liao, Hsien-Hsing Liao

ISBN-10: 9810245637

ISBN-13: 9789810245634

Actual property finance is a fast-developing sector the place best caliber learn is in nice call for. within the US, the true property marketplace is worthy approximately US$4 trillion, and the REITs industry approximately US$200 billion; tens of millions of actual property execs are operating in this sector. The marketplace in another country will be significantly higher, in particular in Asia.

Given the quickly growing to be actual property securities undefined, this publication fills an incredible hole in present actual property learn and educating. it truly is a terrific reference for funding execs as good as senior MBA and PhD scholars.

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5) if a subset of this vector is included in the information set. Similarly, if the test using the full set of the market information does not reject the K-factor model, then the test using a subset of the market information should not reject the model either. An elaboration of this robustness issue is given in Campbell (1987) and Ferson (1989). 10 This is a significant improvement over the existing methodology which generally assumes constant risk premiums. This assumption is in contrast to a large body of evidence on time-varying risk premiums, which has been documented extensively by Campbell (1987), Fama (1990), Fama and French (1989), Ferson et al.

1) in order to obtain the ex ante risk premiums on various asset portfolios. Outof-sample ex ante excess return forecasts are formed using 10-year rolling GMM regressions with the forecasting variables. For any time period t, we estimate Eq. 1) using data from t — 1 to t — 120. Then the regression is used to form an excess return forecast, Et[ei^+\), using Xpt. The excess return forecasts (expected excess return) are calculated for the time period of February 1981-April 1989. A passive buy-and-hold portfolio together with two active portfolios are constructed based on this return forecast: a Long (+) portfolio, and a Long (+) and Short (—) portfolio.

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Asset Pricing by Jianping Mei, Prof. Hsien-Hsing Liao, Hsien-Hsing Liao


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