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The value of a hospitality firm is often believed to be dependent on the market price of the properties they own. However, the core business of a hospitality firm is the production of products and services. Since the real estate assets are depreciated throughout their useful life, short-term covariance of firm value with real estate prices seems implausible. Using a two-factor model, the current study examined the real estate exposure of US hospitality firms through daily stock return data from 2005 to 2009. Results indicate that the majority (88%) of the hospitality firms were exposed to real estate risk at some point during the sample period, while the second-stage analysis of real estate betas suggests that exposure is conditional on the financial status of the hospitality firm. Implications and suggestions for future research are presented with the findings of the study. 相似文献
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田大伟 《西安财经学院学报》2006,19(5):40-45
本文以BIRR模型为参照,筛选出适用于中国股市的宏观因子套利定价模型中的宏观风险因子。先将33个备选因子分成先行、一致和滞后三类,用稳健回归方法确定先行或滞后因子的阶数,再用稳健回归和逐步回归相结合的方法进行宏观因子的初步筛选;接着用向量自回归模型最终确定出适用于中国股市的4个宏观因子:能源生产总量、外商直接投资额、7日银行同业拆借利率和全国居民消费价格总指数。最后对筛选出的因子在中国股市的应用进行了探讨。 相似文献
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Cornelis A. Los 《Journal of Banking & Finance》1999,23(12):1997
Science progresses by improving its measurement apparatus. This holds true in finance too. The new methodology of “complete identification”, using simple algebraic geometry, throws new light on Galton's Error in finance and economics and the resulting misinformation of investors. Mutual funds conventionally advertise their relative systematic market risk, or “betas”, to potential investors based on incomplete measurement by unidirectional bivariate projections: they commit Galton's Error by under-representing their systematic risk. Consequently, far too many mutual funds are marketed as “defensive” and too few as “aggressive”. Using the new methodology it is found that, out of a total of 3217 mutual funds, 2047 funds (63.7%) claimed to be defensive based on the current industry standard methodology, but only 608 (18.9%) actually are. This under-representation of systematic risk leads to inefficiencies in the capital allocation process, since biased betas lead to mispricing of mutual funds. Complete bivariate projections produce a correct representation of the epistemic uncertainty inherent in the bivariate measurement of relative market risk and provide a new CAPM taxonomy. Our conclusions have also serious consequences for the proper “bench-marking” and recent regulatory proposals for the mutual funds industry. Extension of the new methodology to multivariate systematic risk measurement by Asset Pricing Theory (APT) is suggested. 相似文献
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Share Prices and Macroeconomic Factors 总被引:1,自引:0,他引:1
Nicolaas Groenewold Patricia Fraser 《Journal of Business Finance & Accounting》1997,24(9&10):1367-1383
The APT with macroeconomic factors put forward by Chen, Roll and Ross (1986) was tested using monthly Australian sectoral share-price indexes for 1980–1994. The inflation rate was found to be consistently priced. The significance of other factors was found to depend on the choice of sample period and estimation method. The model was compared to both an APT with artificial factors and the CAPM. Both versions of the APT were found to clearly out-perform the CAPM but neither version of the APT was clearly superior to the other in terms of both within- and out-of-sample explanatory power. 相似文献
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We study a financial market containing an infinite number ofassets, where each asset price is driven by an idiosyncraticrandom source as well as by a systematic noise term. Introducing"asymptotic assets" which correspond to certain infinitely welldiversified portfolios we study absence of (asymptotic) arbitrage,and in this context we obtain continuous time extensions ofatemporal APT results. We also study completeness and derivativepricing, showing that the possibility of forming infinitelywell diversified portfolios has the property of completing themarket. It also turns out that models where the all risk isof diffusion type are qualitatively quite different from modelswhere one risk is of diffusion type and the other is of Poissontype. We also present a simple martingale based theory for absenceof asymptotic arbitrage. JEL Classification: G12, G13, 相似文献
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Assistant Professor of Finance Yusif Simaan Professor of Finance Cheng-Few Lee 《Review of Quantitative Finance and Accounting》1992,2(4):391-408
We utilize the joint elliptical distribution to model a multi-factor return generating process and derive an equilibrium multi-beta capital asset pricing model (CAPM) in which the market portfolio and a set of nonelliptical factors are sufficient to price all financial assets. Most important, it is shown that the market portfolio, while generally nonelliptical, can proxy all elliptical factors and hence: including elliptical factors in addition to the market portfolio in the pricing equation contribute nothing to asset pricing. While the representative investor prices the exposure of aggregate wealth to various nonelliptical systematic risk factors, individual securities are priced in accordance to their contributions to different aspects of the risk of aggregate wealth. The present model collapses to the Sharpe-Lintner CAPM when either the market investor is neutral to nonelliptical risk factors or when all risk factors follow a joint spherical distribution. When residuals cancel out of the market portfolio, the present model collapses to Conner (1984) pricing model. 相似文献
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This article finds strong seasonal behavior in the innovations for three Canadian macroeconomic variables (industrial production, unexpected inflation and GDP). An APT model is estimated as a restricted nonlinear multivariate regression system using seven macroeconomic variables, various residual market factor (RMF) proxies, and the returns on fifty size related portfolios of equities that traded on the Toronto Stock Exchange (TSE). As in Chen, Roll and Ross (1986), five macrofactors (lagged industrial production, lagged GDP, term structure, unexpected inflation, and risk premium) have significantly priced risk premia. The risk premia are insignificant for RMF based on two value weighted indices, and marginally significant (0.10 level) for the RMF based on an equally weighted index, which is somewhat consistent with McElroy and Burmeister (1988) and Brown and Otsuki (1989). The significance of the RMF risk premium appears not to be robust to whether portfolios or individual securities are used in the estimations. The significance of the estimated risk premia for the macrofactors also appear not to be robust to the number of portfolios (equations) used in the estimations. Unlike the risk premia estimates for the RMF, those for the other macrofactors are generally unaffected by the inclusion of a January dummy. This implies that the January seasonal remains a market phenomenon that requires further study. 相似文献
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主要运用套利定价理论和建立因素模型研究我国股票回报率及相关因素,为股市的分析提供一个新的工具.通过验证发现:股票价格、市盈率、成交量、流通市值分别在检验的总时间段内不同时期表现出了对股票回报率的显著影响. 相似文献