Asset Pricing Models and Financial Market Anomalies

By Doron Avramov, Tarun Chordia. 2006

496 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/eb38c509d8131432fb24d96c614e517c357ea4c8

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Citations in the corpus

Investor Sentiment as Conditioning Information in Asset Pricing (2009, unknown): “Instead, our goal is to understand whether asset-pricing anomalies might exert impacts on risk-adjuste returns – the parts of stock returns left unexplained by pricing models – as in Avramov and Chordia (2006) and Bauer, Cosemans, and Schotman (2008).”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “Avramov and Chordia (2006) (AC) use individual securities and model the loadings as varying with size, book/market and macroeconomic variables such as the credit and default spread.”
Size, value, and momentum in international stock returns (2012, unknown): “Avramov and Chordia (2006) likewise find that the four-factor model fails to absorb all the momentum in U.S. average stock returns. This paper examines international stock returns, with two goals. The first is to detail the size, value, and momentum patterns in average returns for developed markets.”
A diagnostic criterion for approximate factor structure (2016, methodology): “To end up with a linear regression model, we assume that: (i) the vector of factor loadings bt (γ) is a linear function of lagged instruments Zt−1 (Shanken (1990), Ferson and Harvey (1991)) and Zt−1 (γ) (Avramov and Chordia (2006)); (ii) the vector of risk premia λt is a linear function of lagged in”
Do Mutual Funds Time the Market? Evidence from Portfolio Holdings (2007, unknown): “To obtain stock betas conditional on firm characteristics and macroeconomic variables, we follow Avramov and Chordia (2006) and estimate the following model using monthly observations:”
Time-Varying Liquidity and Momentum Profits (2016, unknown): “Avramov and Chordia (2006) use returns on individual securities in a conditional beta asset-pricing setup to show new insights on the validity of various pricing models to account for market anomalies.”
Interest rate risk and bank equity valuations (2012, unknown): “Among these studies, Bae [1990], Kwan [1991], Akella and Greenbaum [1992], and Lumpkin and O’Brien [1997] also analyzed how the reaction of bank stock returns to interest rate changes varies with the extent to which banks engage in maturity transformation.”
Hedge Funds, Managerial Skill, and Macroeconomic Variables (2011, background): “For each investor type, the mean and variance of the predictive distribution obey analytic reduced form expressions and are displayed in Avramov and Wermers (2006). Such expected utility maximization is a version of the general Bayesian control problem pioneered by Zellner and Chetty (1965) and has ”
Credit Ratings and the Cross-Section of Stock Returns (2009, unknown): “See also Avramov and Chordia (2006).”