Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/104240
Title: A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction
Authors: Bao, Te
Diks, Cees
Li, Hao
Keywords: DRNTU::Social sciences::Economic development
CAPM
Non-Gaussian Distribution
Issue Date: 2017
Source: Bao, T., Diks, C., & Li, H. (2018). A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. Economic Modelling, 68, 611-621. doi:10.1016/j.econmod.2017.03.035
Series/Report no.: Economic Modelling
Abstract: We estimate the CAPM model on European stock market data, allowing for asymmetric and fat-tailed return distributions using independent and identically asymmetric power distributed (IIAPD) innovations. The results indicate that the generalized CAPM with IIAPD errors has desirable properties. It is substantially less likely to be rejected than the traditional CAPM with normally distributed errors and, moreover, backtests show that portfolios constructed using IIAPD errors outperform the portfolio constructed with normally distributed errors in terms of commonly-used performance measures.
URI: https://hdl.handle.net/10356/104240
http://hdl.handle.net/10220/48608
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2017.03.035
Rights: © 2017 Elsevier B.V. All rights reserved. This paper was published in Economic Modelling and is made available with permission of Elsevier B.V.
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:SSS Journal Articles

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