Now showing items 1-10 of 10

    • Assessing misspecified asset pricing models with empirical likelihood estimators 

      Almeida, Caio Ibsen Rodrigues de; Garcia, René
      2012-10
      Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum ...
    • Economic implications of nonlinear pricing kernels 

      Almeida, Caio Ibsen Rodrigues de; Garcia, René
      2017-10
      Based on a family of discrepancy functions, we derive nonparametric stochastic discount factor bounds that naturally generalize variance, entropy, and higher-moment bounds. These bounds are especially useful to identify ...
    • Generalized disappointment aversion, long-run volatility risk, and asset prices 

      Bonomo, Marco Antônio Cesar; Garcia, René; Meddahi, Nour; Tédongap, Roméo
      2011
      We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability ...
    • The macroeconomic effects of infrequent information with adjustment costs 

      Bonomo, Marco Antônio Cesar; Garcia, René
      2000-05-01
      We extend the macroeconomic literature on Sstype rules by introducing infrequent information in a kinked ad justment cost model. We first show that optimal individual decision rules are both state-and -time dependent. We ...
    • Nonparametric assessment of hedge fund performance 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym; Garcia, René
      2018-04-23
      We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing ...
    • Nonparametric tail risk, stock returns, and the macroeconomy 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Garcia, René; Vicente, José
      2016
      This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ...
    • Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Garcia, René; Vicente, José
      2017
      The discussions focus on different aspects of the paper and are quite complementary. Dobrev and Schaumburg look closely at our implementation choices and analyse the sensitivity of the measure to these choices. Camponovo, ...
    • Tests of conditional asset pricing models in the brazilian stock market 

      Bonomo, Marco Antônio Cesar; Garcia, René
      1999-07
      In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT modeI by using the difference ...
    • Time - and state-dependent pricing: a unified framework 

      Bonomo, Marco Antônio Cesar; Carvalho, Carlos Viana de; Garcia, René
      2011-05
      Apresentação do palestrante Marco Bonomo - Insper no contexto do evento "Advances in Macroeconomics". Mais informações em: http://eventosepge.fgv.br/pt/evento/105/epge-promove-encontro-internacional-para-debater-os-avanc ...