Essec\Faculty\Model\Contribution {#2190
  #_index: "academ_contributions"
  #_id: "2062"
  #_source: array:26 [
    "id" => "2062"
    "slug" => "misunderstanding-risk-and-return"
    "yearMonth" => "2011-12"
    "year" => "2011"
    "title" => "Misunderstanding Risk and Return"
    "description" => "LIOUI, A. et PONCET, P. (2011). Misunderstanding Risk and Return. <i>Finance</i>, 32(1), pp. 91-136."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "LIOUI A."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:4 [
      0 => "Facteurs de Fama-French"
      1 => "Modèle d'évaluation Intertemporel"
      2 => "Prime de taille"
      3 => "Prime de valeur"
    ]
    "updatedAt" => "2021-02-02 16:16:18"
    "publicationUrl" => "https://www.cairn.info/revue-finance-2011-2-page-91.htm"
    "publicationInfo" => array:3 [
      "pages" => "91-136"
      "volume" => "32"
      "number" => "1"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Campbell [1996] propose une méthodologie fondée sur un processus VAR(1) pour tester le MEDAF Intertemporel. Les innovations des prédicteurs des excès de rentabilité sont estimés et utilisés comme facteurs de risque dans un modèle d’évaluation. Nous montrons que sa procédure de triangularisation ne permet pas en fait d’identifier les prix du risque en coupe transversale associés aux prédicteurs, du fait que ces prix dépendent de la façon, arbitraire, d’ordonner les variables dans le VAR. De plus, puisque les facteurs sont orthogonaux entre eux et au portefeuille de marché, la comparaison avec d’autres modèles multi-facteurs pose de sérieux problèmes, notamment avec les facteurs HML et SMB de Fama et French."
      "en" => "Campbell (1996) [1996] proposed a methodology based on a VAR(1) process to test the Intertemporal CAPM. Innovations in predictors of portfolio returns are estimated and used as risk factors in an asset pricing model. We show that his triangularization procedure makes the cross-sectional prices of risk associated with the predictors non identifiable. This is because they depend on the arbitrary ordering of the variables in the VAR. Moreover, since the factors are orthogonal to the market and to one another, the comparison with alternative multi-factor models is problematic, e.g. with the Fama-French HML and SMB factors."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-20T01:22:02.000Z"
    "docTitle" => "Misunderstanding Risk and Return"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, LIOUI A."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, LIOUI A.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2011</span>"
    "keywordList" => "<a href="#">Facteurs de Fama-French</a>, <a href="#">Modèle d'évaluation Intertemporel</a>, <a href="#">Prime de taille</a>, <a href="#">Prime de valeur</a>"
    "docPreview" => "<b>Misunderstanding Risk and Return</b><br><span>2011-12 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://www.cairn.info/revue-finance-2011-2-page-91.htm" target="_blank">Misunderstanding Risk and Return</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.910406
  +"parent": null
}