Results 101 to 110 of about 68,268 (314)
Extreme‐weather risk and the cross‐section of stock returns
Journal of Risk and Insurance, EarlyView.Abstract We document an extreme‐weather risk premium in the cross‐section of stock returns. Between 1995 and 2019, stocks of domestic U.S. firms with the most negative sensitivity to aggregate storm losses earned an annual excess‐return spread of more than 6 percentage points relative to those with the most positive sensitivity, a difference not ...
Alexander Braun +2 more
wiley +1 more source
Tests of International CAPM with Time-Varying Covariances [PDF]
We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The "betas" in our CAPM vary over time from two sources -- the supplies
Anthony P. Rodrigues, Charles Engel
core
The development of a methodology for the evaluation of installed CAPM system’s effectiveness and efficiency [PDF]
, 1996 The objective of this work was to design, develop and evaluate an audit for a Computer Aided Production Management (CAPM) system. Such systems, despite their costs of purchase and implementation, find wide application in industry but there is still ...
Sitoh, Paul Jek
core
, 2016 The Capital Asset Pricing Model (CAPM) is among the earliest and most widely used security valuation models. Since its inception, CAPM has been criticized more than it has been appreciated. Although, it has been criticized both empirically and theoretically, it is still one of the most extensively used methods for the calculation of equity betas and ...
openaire +3 more sources
Partial Observability of Implied Volatility Matrices: Identification and Covolatilities Filtering
Mathematical Finance, EarlyView.ABSTRACT Whereas data on implied volatilities are available for a large number of assets, this is less frequently the case of implied covolatilities. We introduce a new approach based on static and dynamic Wishart models to solve this problem of missing data.
Christian Gouriéroux, Yang Lu
wiley +1 more source
A Theoretical Extension of the Consumption-based CAPM Model [PDF]
We extend the Consumption-based CAPM (C-CAPM) model for representative agents with different risk attitudes. We introduce the concept of expectation dependence and show that for a risk averse representative agent, it is the first-degree expectation ...
Georges Dionne, Jingyuan Li
core
Macroeconomic Sources of Foreign Exchange Risk in New EU Members [PDF]
, 2007 We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. The joint distribution of excess returns in the foreign exchange market and the observable macroeconomic factors is modeled using the stochastic ...
Kocenda, Evzen, Poghosyan, Tigran
core +1 more source
RAE: Revista de Administração de Empresas, 2010 Nas últimas décadas, o modelo Capital Asset Pricing Model (CAPM) tem despertado grande interesse por parte da comunidadecientífica. Apesar das críticas, o aprimoramento do CAPM estático deu origem a novos modelos dinâmicos que trazem maiorsegurança para ...
Paulo N. Figueiredo, Eduardo C. Miranda
doaj
Validity of Capital Assets Pricing Model (CAPM) (Empirical Evidences from Amman Stock Exchange)
, 2016 The purpose of this study is to test the validity of CAPM in Amman Stock Exchange (ASE) during the period (2010 – 2014), which was divided into three sub periods. We used monthly returns of 60 stocks of Jordanian companies listed in ASE.
Ahmad Alqisie, T. Alqurran
semanticscholar +1 more source
Assessing the relevance of sell‐side analyst recommendations
Review of Financial Economics, Volume 44, Issue 1, January 2026.Abstract This paper evaluates the informational value and alpha‐generating potential of sell‐side analyst recommendations. We explore this by employing a monthly portfolio‐sorted long‐short strategy based on consensus analyst recommendations. Our findings indicate that the long‐short equal‐weighted and value‐weighted portfolios yield significant excess
Ekene S. Aguegboh +2 more
wiley +1 more source