Vitaly Kaganov - Academia.edu (original) (raw)

Papers by Vitaly Kaganov

Research Papers in Economics and Finance, 2017

The most common model for asset pricing (CAPM) is problematic and does not match the reality. In ... more The most common model for asset pricing (CAPM) is problematic and does not match the reality. In this article, I introduce a theoretical framework for a new model which aims at avoiding the problems of CAPM and keeping its advantages, therefore allowing universality of asset pricing. The model is built on the economic principles, using a budget constraint and a Risk Appetite (RA) function. It is based on the micro-economic decision model, involving an expected value and dividing a stock price to objective and subjective prices. As a result, rational based individuals, just like individuals with non-rational factors, may use the model to calculate a future price stock in exactly the same way.

Emerging Markets Finance and Trade, Oct 15, 2018

We evaluate and compare the performance of four popular factor pricing models: the capital asset ... more We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model (Sharpe 1964), the Fama and French (1993) three-factor model, Carhart's (1997) four-factor model, and the five-factor model of Fama and French (2015). We aim to establish which of these models is most applicable in the Polish stock market. To do so, we employ a battery of tests-cross-sectional regressions, examination of one-way and two-way sorted portfolios, tests of monotonic relationships, and factor redundancy tests-and apply them to a sample of more than 1100 stocks for the years 2000-2018. The results indicate that the four-factor model outperforms the other models; it has the greatest explanatory power for crosssectional returns and is therefore well-suited for asset pricing in Poland.

Social Science Research Network, 2020

Emerging Markets Finance and Trade

ABSTRACT We evaluate and compare the performance of four popular factor pricing models: the capit... more ABSTRACT We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model, the Fama and French three-factor model, Carhart’s four-factor model, and the five-factor model of Fama and French. We aim to establish which of these models is most applicable in the Polish stock market. To do so, we employ a battery of tests—cross-sectional regressions, examination of one-way and two-way sorted portfolios, tests of monotonic relationships, and factor redundancy tests—and apply them to a sample of more than 1100 stocks for the years 2000–2018. The results indicate that the four-factor model outperforms the other models; it has the greatest explanatory ability for cross-sectional returns and is therefore well-suited for asset pricing in Poland.

Research Papers in Economics and Finance

The most common model for asset pricing (CAPM) is problematic and does not match the reality. In ... more The most common model for asset pricing (CAPM) is problematic and does not match the reality. In this article, I introduce a theoretical framework for a new model which aims at avoiding the problems of CAPM and keeping its advantages, therefore allowing universality of asset pricing. The model is built on the economic principles, using a budget constraint and a Risk Appetite (RA) function. It is based on the micro-economic decision model, involving an expected value and dividing a stock price to objective and subjective prices. As a result, rational based individuals, just like individuals with non-rational factors, may use the model to calculate a future price stock in exactly the same way.

Research Papers in Economics and Finance

The most common model for asset pricing (CAPM) is problematic and does not match the reality. In ... more The most common model for asset pricing (CAPM) is problematic and does not match the reality. In this article, I introduce a theoretical framework for a new model which aims at avoiding the problems of CAPM and keeping its advantages, therefore allowing universality of asset pricing. The model is built on the economic principles, using a budget constraint and a Risk Appetite (RA) function. It is based on the micro-economic decision model, involving an expected value and dividing a stock price to objective and subjective prices. As a result, rational based individuals, just like individuals with non-rational factors, may use the model to calculate a future price stock in exactly the same way.

Drafts by Vitaly Kaganov

In the following theoretical article, I propose a microeconomic consumption-saving model in attem... more In the following theoretical article, I propose a microeconomic consumption-saving model in attempt to integrate classical and behavioral economic approaches in order to obtain optimal solution for a consumer choice problem. Here I make a connection to the mental accounting and transaction utility, yet have kept the formal classical approach. This is due to a significant amount of empirical evidences, supporting existed economic theories. Additionally, I propose a demand function, derived from the consequences of the consumption-saving model and introduce a multi-period mode. This model can be a sufficient platform for a unified fundamental microeconomic theory of a consumer choice.

Research Papers in Economics and Finance, 2017

The most common model for asset pricing (CAPM) is problematic and does not match the reality. In ... more The most common model for asset pricing (CAPM) is problematic and does not match the reality. In this article, I introduce a theoretical framework for a new model which aims at avoiding the problems of CAPM and keeping its advantages, therefore allowing universality of asset pricing. The model is built on the economic principles, using a budget constraint and a Risk Appetite (RA) function. It is based on the micro-economic decision model, involving an expected value and dividing a stock price to objective and subjective prices. As a result, rational based individuals, just like individuals with non-rational factors, may use the model to calculate a future price stock in exactly the same way.

Emerging Markets Finance and Trade, Oct 15, 2018

We evaluate and compare the performance of four popular factor pricing models: the capital asset ... more We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model (Sharpe 1964), the Fama and French (1993) three-factor model, Carhart's (1997) four-factor model, and the five-factor model of Fama and French (2015). We aim to establish which of these models is most applicable in the Polish stock market. To do so, we employ a battery of tests-cross-sectional regressions, examination of one-way and two-way sorted portfolios, tests of monotonic relationships, and factor redundancy tests-and apply them to a sample of more than 1100 stocks for the years 2000-2018. The results indicate that the four-factor model outperforms the other models; it has the greatest explanatory power for crosssectional returns and is therefore well-suited for asset pricing in Poland.

Social Science Research Network, 2020

Emerging Markets Finance and Trade

ABSTRACT We evaluate and compare the performance of four popular factor pricing models: the capit... more ABSTRACT We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model, the Fama and French three-factor model, Carhart’s four-factor model, and the five-factor model of Fama and French. We aim to establish which of these models is most applicable in the Polish stock market. To do so, we employ a battery of tests—cross-sectional regressions, examination of one-way and two-way sorted portfolios, tests of monotonic relationships, and factor redundancy tests—and apply them to a sample of more than 1100 stocks for the years 2000–2018. The results indicate that the four-factor model outperforms the other models; it has the greatest explanatory ability for cross-sectional returns and is therefore well-suited for asset pricing in Poland.

Research Papers in Economics and Finance

The most common model for asset pricing (CAPM) is problematic and does not match the reality. In ... more The most common model for asset pricing (CAPM) is problematic and does not match the reality. In this article, I introduce a theoretical framework for a new model which aims at avoiding the problems of CAPM and keeping its advantages, therefore allowing universality of asset pricing. The model is built on the economic principles, using a budget constraint and a Risk Appetite (RA) function. It is based on the micro-economic decision model, involving an expected value and dividing a stock price to objective and subjective prices. As a result, rational based individuals, just like individuals with non-rational factors, may use the model to calculate a future price stock in exactly the same way.

Research Papers in Economics and Finance

The most common model for asset pricing (CAPM) is problematic and does not match the reality. In ... more The most common model for asset pricing (CAPM) is problematic and does not match the reality. In this article, I introduce a theoretical framework for a new model which aims at avoiding the problems of CAPM and keeping its advantages, therefore allowing universality of asset pricing. The model is built on the economic principles, using a budget constraint and a Risk Appetite (RA) function. It is based on the micro-economic decision model, involving an expected value and dividing a stock price to objective and subjective prices. As a result, rational based individuals, just like individuals with non-rational factors, may use the model to calculate a future price stock in exactly the same way.

In the following theoretical article, I propose a microeconomic consumption-saving model in attem... more In the following theoretical article, I propose a microeconomic consumption-saving model in attempt to integrate classical and behavioral economic approaches in order to obtain optimal solution for a consumer choice problem. Here I make a connection to the mental accounting and transaction utility, yet have kept the formal classical approach. This is due to a significant amount of empirical evidences, supporting existed economic theories. Additionally, I propose a demand function, derived from the consequences of the consumption-saving model and introduce a multi-period mode. This model can be a sufficient platform for a unified fundamental microeconomic theory of a consumer choice.