# Questions tagged [asset-pricing]

The tag has no usage guidance.

248 questions
Filter by
Sorted by
Tagged with
40 views

### Double sort portfolios

I am studiying the impact of two variables A and B on stocks returns. When I sort the stocks individually, I find that the long-short portfolios returns obtained for A and B exhibit high correlation. ...
15 views

I have a few questions regarding details about FF3F model. In the equation like following, $$E(R_P)-r_f = \alpha +\beta_M[E(R_M)-r_f] + \beta_SSMB + \beta_V HML$$ Are SMB and HML factors are ...
43 views

### How the spread portfolio t-test is calculated?

within my master thesis I am calculating the Pastor and Stambaugh (2003) liquidity factor (https://static1.squarespace.com/static/5e6033a4ea02d801f37e15bb/t/5f629437c9d51c5d00ad3ff3/1600295992687/...
77 views

### Matrix with two columns - ESG Momentum Strategy

Background: I am conducting some research on equity returns on portfolios sorted on ESG Scores from Asset4. Specifically, I am trying to test if trading on long-short ESG momentum portfolios yields ...
78 views

### Breaking points of Fama French portfolios

My question is about the size breakpoint of Fama French portfolios. Anyone knows why in US market data they used the median as a size breakpoint to construct the six portfolios, but when they used the ...
39 views

### Local Evaluation Date in QuantLib

I am trying to construct a price history for swaps in QuantLib, i.e. to have a timeseries of daily prices for a given swap. I have my rates data on each day, but what I'm struggling with is the ...
53 views

### Manual Computation of Python QuantLib's NPV for Pricing of a Forward Rate Agreement

Following the question that I have asked on this link and response obtained, I have managed to price a 3x6 FRA using QuantLib Python, using the following codes: ...
110 views

### Variance of Random Walk with Drift

For Gaussian random variables $\xi_t$ with mean $\mu_t$ and standard deviation $\sigma$, consider the random walk with initial condition $P_0=100$, such that \begin{equation} P_t=P_{t-1}(1+\xi_t). \...
194 views

73 views

### Stocks with same volatility but different drifts

In the book Quant Job Interview Questions & Answers, in section 2, question 2.4 says suppose two assets in a Black-Scholes world have the same volatility but different drifts. How will the price ...
535 views

### What are industry fixed effects?

I have come across the term "industry fixed effects" in some papers in relation to cross sectional regressions in asset pricing. I know what "fixed" regression models are, but not ...
95 views

### How is CAPM used to price an asset once it has been used to derive the assets expected return?

As I understand it (correct me if I'm wrong) the theoretical price of an asset should be the present value of all future cash-flows that it is expected to yield, discounted at the risk-free rate. I am ...
47 views

### Question on the details of certain parameters in Sharpe Ratio [closed]

I'm puzzled about certain parameters in calculating the annualized Sharpe Ratio using monthly return data. Average excess return: Does this mean the arithmetic average of all the monthly excess ...
334 views

### Cashflow Risk vs Discount Risk

Studying asset pricing, I often hear the terms cashflow risk and discount risk but I'm not sure what they mean? The Campbell/Shiller (1988) decomposition includes cashflows (future dividends) and ...