The time traveller’s CAPM

@article{French2017TheTT,
  title={The time traveller’s CAPM},
  author={J. French},
  journal={Investment Analysts Journal},
  year={2017},
  volume={46},
  pages={81 - 96}
}
  • J. French
  • Published 2017
  • Economics
  • Investment Analysts Journal
  • ABSTRACT This empirical study comprises six emerging market portfolios and five industry replicating portfolios from the USA, using data from 2005 to 2014. The purpose of this study is to test the ability of the ex-ante beta against the ex-post beta using six different generalised autoregressive conditional heteroscedasticity (GARCH) models and the machine learning artificial neural network (ANN) to construct the ex-ante models. Whereas most studies use GARCH models for ultra-short forecasts… CONTINUE READING
    6 Citations
    Macroeconomic Forces and Arbitrage Pricing Theory
    • 13
    Gotta CAPM' All: An Empirical Study on the Validity of the CAPM Against Four Unique Assets
    • Highly Influenced
    Property Funds and REITs in Thailand: A CAPM Investigation
    • 1
    Classification of radiographic lung pattern based on texture analysis and machine learning
    • PDF

    References

    SHOWING 1-10 OF 59 REFERENCES
    Forecasting time-varying daily betas: a new nonlinear approach
    • 4
    Nonlinear Time-Series Analysis of Stock Volatilities
    • 146
    • PDF
    Estimating Time-Varying Beta Coefficients: An Empirical Study of US and ASEAN Portfolios
    • 10
    Another Look at the Cross-section of Expected Stock Returns
    • 1,021
    • PDF
    Asset Pricing
    • 504
    • PDF
    Stock price prediction using neural networks: A project report
    • 150