William Rentz

• Doctor of Philosophy in Financial Economics
• Professor at University of Ottawa

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We investigate conditional specifications of the five-factor Fama-French (FF) model, augmented with traditional illiquidity measures. The motivation for this time-varying methodology is that the traditional static approach of the FF model may be misspecified, especially for the endogenous illiquidity measures. We focus on the time-varying nature of...

Distribution électronique Cairn.info pour Presses universitaires de Grenoble. © Presses universitaires de Grenoble. Tous droits réservés pour tous pays. La reproduction ou représentation de cet article, notamment par photocopie, n'est autorisée que dans les limites des conditions générales d'utilisation du site ou, le cas échéant, des conditions gé...

The Fama-French (FF) five-factor model is cast into a dynamic setting to capture the impact of illiquidity over the phases of the business cycle on the returns of the passive FF twelve sector portfolios. We use two dynamic approaches, Kalman filtering and a recursive/rolling robust instrumental variables (IV) algorithm cast into a GMM framework, to...

The Fama-French (FF) five-factor model is cast into a dynamic setting to capture the impact of illiquidity over the phases of the business cycle on the returns of the passive FF twelve sector portfolios. We use two dynamic approaches, Kalman filtering and a recursive/rolling robust instrumental variables (IV) algorithm cast into a GMM framework, to...

Illiquidity is well known in the literature to be an important risk factor to consider in financial models of return. However, there is not much consensus on which measure should be used as a proxy for illiquidity. Our contributions mainly focus on the Pástor-Stambaugh measure in the context of the Fama-French three factor and more recently on the...

The capital asset pricing model (CAPM), Fama-French (FF), and Pástor-Stambaugh (PS) factor models are examined using a new dynamic rolling regression version of the generalized method of moments (GMM) method. This rolling regression framework not only allows us to investigate phases of the business cycle, but also permits regression estimates to va...

Fama and French (FF, 2015) propose a new five-factor asset pricing model that adds profitability and investment patterns to the market, size and value variables used in FF (1992). Our purpose is to investigate this new model using an improved generalized method of moments (GMM)-based robust instrumental variables technique in a fixed-effects panel...

Fama and French (FF, 2015) propose a five-factor asset pricing model that captures size, value, profitability and investment patterns. The primary purpose here is to further investigate this new model using an improved GMM-based robust instrumental variables technique. A further purpose is to explore the relationship among the FF factors and the Pá...

This article uses a parsimonious and robust instrumental variables technique to minimize the specification errors in the Pástor-Stambaugh (PS) empirical model. In particular, we use an improvement of Hansen's generalized method of moments (GMM) that uses higher moments that are robust instruments. We also propose a robustness test for these instrum...

Initially an investor has the choice of two risky assets, writing a European put option or buying the underlying share. Under broad conditions a risk averse investor will be subjectively better off writing the put. When homogeneous expectations are invoked, an upper bound for the put premium is obtained. A numerical example using the lognormal dens...

Suppose an investor is faced with two assets with stochastic rates of return such that in an either-or choice situation the investor can express a preference over the marginal probability distributions of the rates of returns of the assets. If the investor is able to form a portfolio containing both assets, does the fact that he can express a prefe...

The purpose of the paper is to develop a microeconomic theory of a non-life insurance firm in order to derive the profit maximizing price for its intangible product. It is shown that the economic theory of the insurance firm resembles both the theory of the production firm and the theory of the financial intermediary. Moreover, the profit maximizin...