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Essays on Arbitrage Pricing Theory and Systemic Risk Modeling [PDF]

, 2015
Meriton Ibraimi
openalex   +1 more source

Price Discovery in Bitcoin ETF Market

Financial Review, EarlyView.
ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia, Bo Liu, Qian Li, Victor Song, Ke Xu   +4 more
wiley   +1 more source

Macroeconomic Variables as Common Pervasive Risk Factors and Empirical Content of the Arbitrage Pricing Theory in Pakistan

Lahore Journal of Economics
The Arbitrage Pricing Theory (APT) of Ross [1976] is one of the most important building blocks of modern asset pricing theory, and the prime alternative to the celebrated Capital Asset Pricing Model (CAPM) of Sharpe [1964], Lintner [1965], and others ...
Ali Ataullah
doaj  

Skew Premiums Around Earnings Announcements

Financial Review, EarlyView.
ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley   +1 more source

Optimal Stock Portfolio Analysis using Mean-Value at Risk (Mean-VaR) under Arbitrage Pricing Theory (APT)

International Journal of Business, Economics, and Social Development
Investing in Sharia-compliant stocks is one of the rapidly growing investment options, making it a potential choice for investors' portfolios. Therefore, investors need to understand how to select an optimal composition of stocks in their portfolio. This
Puspa Dwi Ayu Banowati, Betty Subartini, Sukono Sukono   +2 more
doaj   +1 more source

Testing for Contagion in International Financial Markets: To See More, Go Higher

Financial Review, EarlyView.
ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley   +1 more source

Cross-sectional Predictability of Indian Stock Returns: A Factor Analytical Approach

Copernican Journal of Finance & Accounting
This article's core objective is to analyze how firm characteristics collectively effect the risk-adjusted returns of Indian stocks. It aims to understand the simultaneous explanatory power of multiple variables that have shown to predict the cross ...
Sanjay Shanbhag, Kamran Quddus
doaj  

Uneven Product Diversification: Explaining the Lag of Agricultural Economies

International Economic Review, EarlyView.
ABSTRACT This paper documents that agricultural sectors diversify less than other manufacturing activities. A simple model shows that this difference can contribute to welfare divergence in a way that is qualitatively different to what results when uneven growth happens in the intensive margin.
Guzmán Ourens
wiley   +1 more source

Teoría de la asignación del precio por arbitraje aplicada al mercado accionario chileno

Lecturas de Economía, 2011
Arbitrage pricing theory states that the expected return of an asset portfolio is related to factors characterizing the economy and could be associated to macroeconomic variables.
Werner Kristjanpoller Rodríguez, Mauricio Morales Jure   +1 more
doaj  

Capital Asset Pricing Model (CAPM) 2.0: Account of Business and Financial Risk

Финансы: теория и практика
The famous Capital Asset Pricing Model (CAPM), widely used in practice, takes into account only the business risk associated with investments in a specific company [not the entire market (or industry)].
P. N. Brusov, T. V. Filatova, V. L. Kulik   +2 more
doaj   +1 more source