Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing

By Michael J. Brennan, Ashley Wang, Yihong Xia. 2003

308 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/d9e936b1b1cd99cb62df9bb11ce7ca6ecd263814

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In Finance

1. Turan G. Bali
2. Pavel Savor
3. Mungo Wilson
4. Hui Guo
5. R. Savickas
6. P. Gray
7. Amit Goyal
8. Pietro Veronesi

In Strategy and Management

1. Pavel Savor
2. Mungo Wilson
3. Hui Guo
4. R. Savickas
5. Y. H. Tong
6. Ping-Sheng Koh
7. P. Gray
8. Tano Santos

Citations in the corpus

• Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? (2007, unknown): “Brennan et al. (2004) also recently use the Livingston survey to estimate an affine asset pricing model.”
• Asset Pricing: A Tale of Two Days (2014, methodology): “…which the SW model is based), the model of Campbell and Vuolteenaho (2004), as implemented empirically in that paper, the model of Brennan, Wang, and Xia (2004), and the Fama-French (1992) two-factor model, in which size and book-to-market are characteristics which proxy for the unknown true…”
• Average Idiosyncratic Volatility in G7 Countries (2004, result): “Recent authors, e.g., Campbell and Vuolteenaho (2004) Brennan, Wang, and Xia (2004), and Petkova (2006), argue that the shock to investment opportunities is also an important 19 factor model is consistent with existing economic theory and empirical evidence.”
• Empirical cross-sectional asset pricing: a survey (2011, background): “Brennan et al. (2010) find that the effect of illiquidity is primarily from the sell-side.”
• Testing Factor-Model Explanations of Market Anomalies (2012, background): “†Brennan et al. (2004) propose a model in which changes in the investment opportunity set are captured by the real interest rate and the maximum Sharpe ratio, both of which follow O-U processes.”
• Is Accruals Quality a Priced Risk Factor (2008, unknown): “…in their time-series regressions, Fama and French (p. 5) test whether their time-series asset pricing models are well-specified by testing whether the intercepts are jointly zero: “In these regressions, a well-specified asset-pricing model produces intercepts that are indistinguishable from 0.””
• A Skeptical Appraisal of Asset Pricing Tests (2010, unknown): “Hansen, Heaton, and Li, 2006), innovations in assorted state variables (Brennan, Wang, and Xia, 2004; Campbell and Vuolteenaho, 2004; Petkova, 2006), and liquidity risk (Pastor and Stambaugh, 2003; Acharya and Pedersen, 2005).”
• The intertemporal capital asset pricing model with dynamic conditional correlations (2010, result): “8 Our finding that the HML is a priced factor is consistent with the recent empirical evidence provided by Campbell and Vuolteenaho (2004), Brennan et al. (2004), and Petkova and Zhang (2005) as well as with the recent theoretical models of Gomes et al. (2003) and Zhang (2005).”
• tay's as good as cay (2005, background): “…and Schwert (1985)report that Israeli index bond prices do not fully reflect recent information about inflation until the official announcem 5 Brennan et al. (2004), Fama and French (1989), Keim and Stambaugh (1986), Perez-Quiros and Timmer mann (2000), andWhitelaw (1997)all show that the…”
• Accruals Quality, Information Risk and Cost of Capital: Evidence from Australia (2009, methodology): “For example, in testing the CAPM (Fama and MacBeth, 1973), the conditional CAPM (Brennan et al., 2004; and Petkova, 2006), and the two-beta model (Campbell and Vuolteenaho, 2004) 13 We sincerely thank Michael O’Brien for supplying these SIZE/BM portfolio returns. Details of the portfolio formation p”