Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets

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dc.contributor.authorMichaelides, Michaelen
dc.contributor.committeechairSpanos, Arisen
dc.contributor.committeememberAshley, Richard A.en
dc.contributor.committeememberKumar, Ramanen
dc.contributor.committeememberTsang, Kwok Pingen
dc.contributor.departmentEconomics, Scienceen
dc.date.accessioned2017-04-25T22:28:46Zen
dc.date.available2017-04-25T22:28:46Zen
dc.date.issued2017-04-25en
dc.description.abstractThe primary objective of this dissertation is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models, several departures are found and the original linear regression models are respecified. The respecification results in a family of heterogeneous Student's t models which are shown to account for all the statistical regularities in the data. This family of models provides an appropriate basis for revisiting the empirical adequacy of the CAPM and the Fama-French multi-factor models, as well as other models, such as alternative asset pricing models and risk evaluation models. Along the lines of providing a sound basis for reliable inference, the respecified models can serve as a coherent basis for selecting the relevant factors from the set of possible ones. The latter contributes to the enhancement of the substantive adequacy of the CAPM and the multi-factor models.en
dc.description.degreePh. D.en
dc.format.mediumETDen
dc.identifier.othervt_gsexam:10315en
dc.identifier.urihttp://hdl.handle.net/10919/77515en
dc.publisherVirginia Techen
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectCAPMen
dc.subjectFama-French three-factor modelen
dc.subjectFama-French five-factor modelen
dc.subjectfactor selectionen
dc.subjectt-heterogeneityen
dc.subjectGram-Schmidten
dc.subjectorthonormal polynomialsen
dc.subjectstatistical adequacyen
dc.subjectmisspecification testingen
dc.subjectStudent's ten
dc.subjectvolatility modelingen
dc.titleRevisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Marketsen
dc.typeDissertationen
thesis.degree.disciplineEconomicsen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.leveldoctoralen
thesis.degree.namePh. D.en

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