KERNEL BASED ASSET PRICING
KERNEL BASED ASSET PRICING

Author(s): Péter Erdősi, Mihály Ormos, Dávid Zibriczky
Subject(s): Evaluation research, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: asset pricing; kernel regression; risk measures; semiparametric models;
Summary/Abstract: We test the nullhypothesis of linearity of the Capital Asset Pricing Model (CAPM), we aim to test whether or not there is a linear relationship between risk and return (security market line) and between the return of a given stock and the return of the market portfolio (characteristic line). On the other hand, we question the validity of linearity when we derive the market risk measure. If we can reject the linearity of the characteristic line, new risk measures are required to derive.

• Details
• Contents