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Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process [PDF]
مجله دانش حسابداری, 2014 Unanticipated components of macroeconomic variables have important role in testing of Arbitrage Pricing Theory, because generating techniques may lead to false interference based on statistical significance.
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Borsa Istanbul Review, 2019 This paper studies the dynamics of the impact of currency fluctuation on Indian stock market by assessing the pricing of exchange rate risk during the period 2005–2016, specifically before and after financial crises.
Smita Mahapatra, Saumitra N. Bhaduri
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The Relationship Between Interest Rates and Agricultural Commodity Price Dynamics
Agribusiness, EarlyView.ABSTRACT The U.S. Federal Reserve has undertaken several interest rate interventions in the past decade. This study explores the relationship between U.S. corn and soybean prices and Federal Reserve monetary policy interventions, in the short and long run.
Zhining Sun, Ani L. Katchova
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Carbon futures contract design and theoretical pricing in China’s National Carbon Market
Energy and Climate ManagementThe hedging, intertemporal arbitrage, and price discovery functions of carbon futures can help alleviate the problems of insufficient liquidity, limited trading volume, and high price volatility in the spot trading of carbon allowances in China’s ...
Yuanyuan Zhang, Yuyan Weng
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The Laws of Motion of the Broker Call Rate in the United States
International Journal of Financial Studies, 2019 In this paper, which is the third installment of the author’s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin ...
Alex Garivaltis
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The Bitter Taste of Brazil's Temporary Import Ban on Robusta Coffee
Agribusiness, EarlyView.ABSTRACT Brazil, a leading Robusta coffee producer and exporter, faced a significant drought in 2016–2017, which drastically reduced production and depleted stocks. Consequently, Brazil temporarily permitted the import of one million 60‐kg bags of Robusta coffee in the spring 2017. An import ban was imposed shortly afterward due to lobbying by domestic
Hanifi Otgun +2 more
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How to Test the Arbitrage Pricing Theory (APT) [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2007 As a response to critiques about the capital asset pricing model (CAPM), Ross (1976) proposed Arbitrage Pricing Theory (APT) as an alternative model with fewer assumptions, and use of multi risk factors affecting assets prices instead of one.
Ghassem Mohsseni Demneh
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Agribusiness, EarlyView.ABSTRACT This study examines food price inflation rate convergence among EU27 Member States from 2005 to 2024, focusing on structural breaks, external shocks, and regional disparities. Using panel unit root tests and club convergence analysis, the findings reveal no overall convergence but identify multiple convergence clubs.
Tibor Bareith, Imre Fertő
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Jurnal Aplikasi Manajemen, 2020 This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches.
Irni Yunita +2 more
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Does a Specialized Niche Market Vegetable Processor Enjoy Bargaining Power?
Agribusiness, EarlyView.ABSTRACT Agribusiness companies may achieve competitive advantage through specialization within niche markets. One such niche is the fresh‐cut fruit and vegetable market, which has been steadily growing in Germany. This study examines whether the specialization of a German fresh‐cut producer grants it with market power within this niche market.
Nikolas Bublik +3 more
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