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

2021Journal article Open access
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dc.contributor.authorNasir, Adeel
dc.contributor.authorKhan, Kanwal Iqbal
dc.contributor.authorMata, Mário Nuno
dc.contributor.authorMata, Pedro Neves
dc.contributor.authorMartins, Jéssica Nunes
dc.date.accessioned2021-03-30T09:02:26Z
dc.date.available2021-03-30T09:02:26Z
dc.date.issued2021
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(4), doi:10.3390/math9040394pt_PT
dc.identifier.doi10.3390/math9040394pt_PT
dc.identifier.issn2227-7390
dc.identifier.urihttp://hdl.handle.net/10400.15/3439
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherMDPIpt_PT
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.issue4pt_PT
oaire.citation.titleMathematicspt_PT
oaire.citation.volume9pt_PT
person.familyNameMata
person.givenNameMário Nuno
person.identifier1403614
person.identifier.ciencia-idFA13-1761-4192
person.identifier.orcid0000-0003-1765-4273
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationda64bac4-a291-4dce-a167-d33ef827bce3
relation.isAuthorOfPublication.latestForDiscoveryda64bac4-a291-4dce-a167-d33ef827bce3

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