Vasco Vendrame's Outputs (5)

A conditional higher-moment CAPM (2023)
Journal Article

This paper investigates whether dynamic and moment extensions to the traditional CAPM can improve its empirical performance and offer some alternative explanation to the cross-section of average returns on portfolios of stocks double sorted on book-t... Read More about A conditional higher-moment CAPM.

Managerial optimism and investment decision in the UK (2021)
Journal Article

We investigate the impact of managerial optimism on investment decision sensitivity to cash flow. Optimists tend to overestimate returns and make overly optimistic cash flow forecasts, which leads to increased investment levels, as well as increased... Read More about Managerial optimism and investment decision in the UK.

A conditional regime switching CAPM (2017)
Journal Article

© 2017 Elsevier Inc. The standard Capital Asset Pricing Model (CAPM) is simple, intuitive, and grounded in sound economic theory. Yet, almost half a century's worth of empirical testing has so far failed to demonstrate its relevance. One major reason... Read More about A conditional regime switching CAPM.

Some extensions of the CAPM for individual assets (2016)
Journal Article

© 2016 Elsevier Inc. There is ample evidence that stock returns exhibit non-normal distributions with high skewness and excess kurtosis. Experimental evidence has shown that investors like positive skewness, dislike extreme losses and show high level... Read More about Some extensions of the CAPM for individual assets.

Some extensions of the conditional CAPM (2014)
Thesis

The objective of this thesis is to consider some extensions of the CAPM and to investigate whether such extensions can offer a better explanation for the US average equity returns. This thesis focuses on four main extensions: (i) time-varying factor... Read More about Some extensions of the conditional CAPM.