Fundamental determinants of national equity market returns: a perspective on conditional asset pricing

Article Abstract:

The relationship between predetermined attributes of common stocks, such as earnings and cash-flow and future returns, was analyzed through the use of an empirical framework. The analysis revealed a link between cross-sectional explanatory power of the lagged attributes and two-factor model's risk and mispricing effects. The significance of risk and mispricing effects was also established based on an analysis of 21 national equity markets.

Models, Management, Pricing, Assets (Accounting)

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Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage model

Article Abstract:

A recalibration of and updating of asset pricing models used in the elimination of risk management implications on time-consistency is presented.

United States, Arbitrage

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Factor based index tracking

Article Abstract:

Development of factor models, for index tracking in stock markets through cointegration of unit roots, is described.

Italy, Usage, Stocks, Mathematical models, Stock prices, Volatility

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