Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall

Detalhes bibliográficos
Autor(a) principal: Nasir, Adeel
Data de Publicação: 2021
Outros Autores: Khan, Kanwal Iqbal, Mata, Mário Nuno, Mata, Pedro, Martins, Jéssica Nunes
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.21/13106
Resumo: Artigo publicado em revista científica internacional
id RCAP_fc7a275dcfb3c153a870d00bb891527c
oai_identifier_str oai:repositorio.ipl.pt:10400.21/13106
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfallValue at riskExpected shortfallCAPMFama and FrenchVaRAsset pricingRisk and returnRisk managementMathematical modellingArtigo publicado em revista científica internacionalThis study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus low VaR and ES portfolios as a systematic risk factor in one factor, three-factor, and five-factor asset pricing model. Furthermore, the study introduced the six-factor model, deploying VaR and ES as the idiosyncratic risk factor. The theoretical and empirical alteration of traditional asset pricing models is the study’s contributions. This study reported a strong positive relationship of traditional market beta, value at risk, and expected shortfall. Market beta pertains its superiority in estimating the time-varying stock returns. Furthermore, value at risk and expected shortfall strengthen the effects of traditional beta impact on stock returns, signifying the proposed six-factor asset pricing model. Investment and profitability factors are redundant in conventional asset pricing models.MDPIRCIPLNasir, AdeelKhan, Kanwal IqbalMata, Mário NunoMata, PedroMartins, Jéssica Nunes2021-03-17T18:16:53Z2021-022021-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.21/13106engNasir, A., Khan, K. I., Mata, M. N., Mata, P. N. & Martins, J. N. (2021). Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall. Mathematics 9 (394). https://doi.org/10.3390/math9040394doi.org/10.3390/math9040394info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-08-03T10:07:17Zoai:repositorio.ipl.pt:10400.21/13106Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:21:06.881891Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall
title Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall
spellingShingle Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall
Nasir, Adeel
Value at risk
Expected shortfall
CAPM
Fama and French
VaR
Asset pricing
Risk and return
Risk management
Mathematical modelling
title_short Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall
title_full Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall
title_fullStr Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall
title_full_unstemmed Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall
title_sort Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall
author Nasir, Adeel
author_facet Nasir, Adeel
Khan, Kanwal Iqbal
Mata, Mário Nuno
Mata, Pedro
Martins, Jéssica Nunes
author_role author
author2 Khan, Kanwal Iqbal
Mata, Mário Nuno
Mata, Pedro
Martins, Jéssica Nunes
author2_role author
author
author
author
dc.contributor.none.fl_str_mv RCIPL
dc.contributor.author.fl_str_mv Nasir, Adeel
Khan, Kanwal Iqbal
Mata, Mário Nuno
Mata, Pedro
Martins, Jéssica Nunes
dc.subject.por.fl_str_mv Value at risk
Expected shortfall
CAPM
Fama and French
VaR
Asset pricing
Risk and return
Risk management
Mathematical modelling
topic Value at risk
Expected shortfall
CAPM
Fama and French
VaR
Asset pricing
Risk and return
Risk management
Mathematical modelling
description Artigo publicado em revista científica internacional
publishDate 2021
dc.date.none.fl_str_mv 2021-03-17T18:16:53Z
2021-02
2021-02-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.21/13106
url http://hdl.handle.net/10400.21/13106
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Nasir, A., Khan, K. I., Mata, M. N., Mata, P. N. & Martins, J. N. (2021). Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfall. Mathematics 9 (394). https://doi.org/10.3390/math9040394
doi.org/10.3390/math9040394
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv MDPI
publisher.none.fl_str_mv MDPI
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799133482173071360

Registros relacionados