Repository logo
 
Publication

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

2021-02Journal article Open access
Simple item page
dc.contributor.authorNasir, Adeel
dc.contributor.authorKhan, Kanwal Iqbal
dc.contributor.authorMata, Mário Nuno
dc.contributor.authorMata, Pedro
dc.contributor.authorMartins, Jéssica Nunes
dc.date.accessioned2021-03-17T18:16:53Z
dc.date.available2021-03-17T18:16:53Z
dc.date.issued2021-02
dc.descriptionArtigo publicado em revista científica internacionalpt_PT
dc.description.abstractThis 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationNasir, 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/math9040394pt_PT
dc.identifier.doidoi.org/10.3390/math9040394pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.21/13106
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherMDPIpt_PT
dc.relation.ispartofseries;394
dc.relation.publisherversionhttps://www.mdpi.com/2227-7390/9/4/394pt_PT
dc.subjectValue at riskpt_PT
dc.subjectExpected shortfallpt_PT
dc.subjectCAPMpt_PT
dc.subjectFama and Frenchpt_PT
dc.subjectVaRpt_PT
dc.subjectAsset pricingpt_PT
dc.subjectRisk and returnpt_PT
dc.subjectRisk managementpt_PT
dc.subjectMathematical modellingpt_PT
dc.titleOptimisation of time-varying asset pricing models with penetration of value at risk and expected shortfallpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage38pt_PT
oaire.citation.startPage1pt_PT
oaire.citation.titleMathematicspt_PT
oaire.citation.volume9pt_PT
person.familyNameNasir
person.familyNameMata
person.familyNameMata
person.givenNameAdeel
person.givenNameMário Nuno
person.givenNamePedro
person.identifier1403614
person.identifier.ciencia-idFA13-1761-4192
person.identifier.orcid0000-0002-8346-696X
person.identifier.orcid0000-0003-1765-4273
person.identifier.orcid0000-0001-8465-9539
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication4ddccc68-3b05-49ec-bc1d-5a893ce2b754
relation.isAuthorOfPublicationbf484e05-ab4d-4efa-9ccb-ff8a74e0f6a9
relation.isAuthorOfPublicationd297cc6d-ae10-4764-ac8b-5913bda0a3c4
relation.isAuthorOfPublication.latestForDiscoveryd297cc6d-ae10-4764-ac8b-5913bda0a3c4

Files

Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
mathematics-09-00394-v2.pdf
Size:
10.34 MB
Format:
Adobe Portable Document Format
Download

Collections

ISCAL - Artigos