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Recursos bibliográficos en papel y digitales -
- libros, artículos de revistas,
ponencias de eventos, etc. -
» Resultado:
5 registros
| Registro 1 de 5 |
| Autor: |
Jagannathan, Ravi - Wang, Zhenyu - |
| Título: |
An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression |
| Fuente: |
Journal of Finance. v.53, n.4. American Finance Association |
| Páginas: |
pp. 1285-1309 |
| Año: |
Aug. 1998 |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 2 de 5 |
| Autor: |
Jagannathan, Ravi - Wang, Zhenyu - |
| Título: |
A Note on the Asymptotic Covariance in Fama-MacBeth Regressions |
| Fuente: |
Journal of Finance. v.53, n.2. American Finance Association |
| Páginas: |
pp. 799-801 |
| Año: |
Apr. 1998 |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 3 de 5 |
| Autor: |
Frank, Murray - Jagannathan, Ravi - |
| Título: |
Why Do Stock Prices Drop by Less Than the Value of the Dividend? Evidence from a Country without Taxes |
| Fuente: |
Journal of Financial Economics. v.47, n.2. Elsevier Science |
| Páginas: |
pp. 161-88 |
| Año: |
Feb. 1998 |
| Resumen: |
It is well documented that stock prices on ex-dividend days drop by less than the value of the dividend, on average. This has commonly been attributed to the effect of tax clienteles. The authors examine data from the Hong Kong stock market, where neither dividends nor capital gains are taxed. As in the United States, the average stock price drop is less than the value of the dividend; specifically, the average dividend for the period 1980-93 is HK$0.12 and the average price drop is HK$0.06. The authors are able to account for this both theoretically and empirically through market microstructure arguments. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 4 de 5 |
| Autor: |
Hansen, Lars-Peter - Jagannathan, Ravi - |
| Título: |
Assessing Specification Errors in Stochastic Discount Factor Models |
| Fuente: |
Journal of Finance. v.52, n.2. American Finance Association |
| Páginas: |
pp. 557-90 |
| Año: |
June 1997 |
| Resumen: |
In this article, the authors develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on chi square statistics associated with null hypotheses that models are correct, the authors’ measures of model performance do not reward variability of discount factor proxies. One of their measures is designed to exploit fully the implications of arbitrage-free pricing of derivative claims. The authors demonstrate empirically the usefulness of their methods in assessing some alternative stochastic factor models that have been proposed in asset pricing literature. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 5 de 5 |
| Autor: |
Jagannathan, Ravi - Wang, Zhenyu - |
| Título: |
The Conditional CAPM and the Cross-Section of Expected Returns |
| Fuente: |
Journal of Finance. v.51, n.1. American Finance Association |
| Páginas: |
pp. 3-53 |
| Año: |
Mar. 1996 |
| Resumen: |
Most empirical studies of the static capital asset pricing model (CAPM) assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross-section of average returns on stocks. The authors assume that the CAPM holds in a conditional sense, i.e., betas and the market risk premium vary over time. They include the return on human capital when measuring the return on aggregate wealth. The authors’ specification performs well in explaining the cross-section of average returns. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
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