Results 91 to 100 of about 55,979 (234)
Testing Multi-Factor Asset Pricing Models in the Visegrad Countries [PDF]
There is no consensus in the literature as to which model should be used to estimate stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the developed markets,
Borys, Magdalena Morgese Borys
core
The value of coskewness in evaluating mutual funds [PDF]
, 2008 Recent asset pricing studies demonstrate the relevance of incorporating the coskewness in Asset Pricing Models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums.
Moreno, David, Rodríguez, Rosa
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Strategic (Inconsistent) Disclosures and Sophisticated Investors: Evidence from Hedge Funds
Journal of Accounting Research, Volume 64, Issue 2, Page 923-978, May 2026.ABSTRACT Recent SEC regulations require that qualified hedge fund advisers provide their investors with narrative disclosures of their business and operations. We find that 40% of these disclosures omit or de‐emphasize information regarding advisers' operational and investment risks when compared to other sources of public information. Funds with such “
YICHANG LIU +2 more
wiley +1 more source
The mean-variance model from the inverse of the variance-covariance matrix [PDF]
In this paper we obtain the main results of the Markowitz mean-variance model from the inverse of the covariance matrix, following a shorter and mathematically rigorous path.
Jordi Esteve Comas +1 more
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Skew Premiums Around Earnings Announcements
Financial Review, Volume 61, Issue 2, Page 533-554, May 2026.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
The Validity of CAPM and ICAPM in the Istanbul Stock Exchange
Ekonomi, Politika & Finans Araştırmaları DergisiThis study aims to answer the following research question: Are the Capital Asset Pricing Model (CAPM) and International Capital Asset Pricing Model (ICAPM) valid in the Istanbul Stock Exchange (ISE)?
Gülşah Kulalı, Muhammad Muddasir
doaj +1 more source
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2018 Buçalışmada 2016 ve 2017 yıllarında Borsa İstanbul Pay Piyasasında bedelsizsermaye artımı yapmak için Sermaye Piyasası Kuruluna (SPK) başvuru yapanşirketlerin başvuru onaylarının hisse senedi getirileri üzerindeki etkilerinindeğerlendirilmesi ...
Abdullah Erol, Sinan Aytekin
doaj +1 more source
Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange [PDF]
This paper tests whether the conditional CAPM accurately prices assets utilizing data from the Istanbul Stock Exchange (ISE) over the time period from February 1997 to April 2008. In our empirical analysis, we closely follow the methodology introduced in
Atakan Yalcýn, Nuri Ersahin
core
Estimating Systematic Risk: Case For Borsa Istanbul
Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2014 The structure of the data set has a great impact on the estimation results. Especially the methods, which are affected by outliers like Ordinary Least Squares OLS , will lead to biased results.
Filiz Yeşilyurt +2 more
doaj
Explanation of Capital Asset pricing: Comparison between Models [PDF]
بررسیهای حسابداری و حسابرسی, 2010 In this paper, we will intend to introduce a new model of capital asset pricing model which is called Revised Capital Asset Pricing Model. First we calculate degree of economic leverage. We investigate five economical variables (Inflation rate, financial
Fraydon Rahnamay Roodposhti +1 more
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