Three essays on the estimation of asset pricing models

Detalhes bibliográficos
Autor(a) principal: Brandão, Diego Gusmão
Data de Publicação: 2016
Tipo de documento: Tese
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/17994
Resumo: The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA preferences when the economy is characterized by rare disasters. In the second article, we develop and test a methodology to assess misspeci fied asset pricing models by taking into account the smallest probability distortion necessary to assign correct prices. In the final paper, we estimate an approximate long run risks model using Brazilian data.
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spelling Brandão, Diego GusmãoEscolas::EPGEIssler, João VictorMedeiros, Marcelo CunhaMendes, Eduardo FonsecaMaia, Marcelo VerdiniCosta, Carlos Eugênio Ellery Lustosa daAlmeida, Caio Ibsen Rodrigues de2017-03-03T12:50:29Z2017-03-03T12:50:29Z2016-09-23BRANDÃO, Diego Gusmão. Three essays on the estimation of asset pricing models. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2017.https://hdl.handle.net/10438/17994The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA preferences when the economy is characterized by rare disasters. In the second article, we develop and test a methodology to assess misspeci fied asset pricing models by taking into account the smallest probability distortion necessary to assign correct prices. In the final paper, we estimate an approximate long run risks model using Brazilian data.Esta tese consiste em três artigos sobre a estimação de modelos de apreçamento de ativos. No primeiro artigo, analisamos as propriedades de amostra pequena dos estimadores da classe Generalized Empirical Likelihood para o coeficiente de aversão ao risco de preferências CRRA quando a economia é suscetível a desastres. No segundo artigo, apresentamos e testamos uma metodologia de avaliação de modelos de apreçamento mal especificados que leva em conta a menor distorção de probabilidade necessária sobre a medida real para que modelo aprece corretamente ativos. No terceiro artigo, estimamos uma versão aproximada do modelo de riscos de longo prazo utilizando dados brasileiros.engMisspecified modelsLong run risksDisaster modelsEconomiaModelo de precificação de ativosRisco (Economia)Catástrofes naturais - Aspectos econômicosThree essays on the estimation of asset pricing modelsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTTese - Versao final - Diego Brandao.pdf.txtTese - Versao final - Diego Brandao.pdf.txtExtracted texttext/plain118643https://repositorio.fgv.br/bitstreams/c1d38092-35ea-47f6-9170-aad26b2c0360/download0a725c2de54b3694f89a22b9ec42ee0cMD54ORIGINALTese - Versao final - Diego Brandao.pdfTese - Versao final - Diego 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dc.title.eng.fl_str_mv Three essays on the estimation of asset pricing models
title Three essays on the estimation of asset pricing models
spellingShingle Three essays on the estimation of asset pricing models
Brandão, Diego Gusmão
Misspecified models
Long run risks
Disaster models
Economia
Modelo de precificação de ativos
Risco (Economia)
Catástrofes naturais - Aspectos econômicos
title_short Three essays on the estimation of asset pricing models
title_full Three essays on the estimation of asset pricing models
title_fullStr Three essays on the estimation of asset pricing models
title_full_unstemmed Three essays on the estimation of asset pricing models
title_sort Three essays on the estimation of asset pricing models
author Brandão, Diego Gusmão
author_facet Brandão, Diego Gusmão
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.member.none.fl_str_mv Issler, João Victor
Medeiros, Marcelo Cunha
Mendes, Eduardo Fonseca
Maia, Marcelo Verdini
Costa, Carlos Eugênio Ellery Lustosa da
dc.contributor.author.fl_str_mv Brandão, Diego Gusmão
dc.contributor.advisor1.fl_str_mv Almeida, Caio Ibsen Rodrigues de
contributor_str_mv Almeida, Caio Ibsen Rodrigues de
dc.subject.eng.fl_str_mv Misspecified models
Long run risks
Disaster models
topic Misspecified models
Long run risks
Disaster models
Economia
Modelo de precificação de ativos
Risco (Economia)
Catástrofes naturais - Aspectos econômicos
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Modelo de precificação de ativos
Risco (Economia)
Catástrofes naturais - Aspectos econômicos
description The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA preferences when the economy is characterized by rare disasters. In the second article, we develop and test a methodology to assess misspeci fied asset pricing models by taking into account the smallest probability distortion necessary to assign correct prices. In the final paper, we estimate an approximate long run risks model using Brazilian data.
publishDate 2016
dc.date.issued.fl_str_mv 2016-09-23
dc.date.accessioned.fl_str_mv 2017-03-03T12:50:29Z
dc.date.available.fl_str_mv 2017-03-03T12:50:29Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/doctoralThesis
format doctoralThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv BRANDÃO, Diego Gusmão. Three essays on the estimation of asset pricing models. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2017.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/17994
identifier_str_mv BRANDÃO, Diego Gusmão. Three essays on the estimation of asset pricing models. Tese (Doutorado em Economia) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2017.
url https://hdl.handle.net/10438/17994
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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