Results 121 to 130 of about 26,515 (333)

Consumption in Asset Returns

The Journal of Finance, EarlyView.
ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large
SVETLANA BRYZGALOVA, JIANTAO HUANG, CHRISTIAN JULLIARD   +2 more
wiley   +1 more source

A Framework for CAPM with Heterogenous Beliefs [PDF]

We introduce heterogeneous beliefs in to the mean-variance framework of the standard CAPM, in contrast to the standard approach which assumes homogeneous beliefs.
Roberto Dieci, Xue-Zhong He, Carl Chiarella   +2 more
core  

The empirical examination of the usability of the CAPM and the APT models with selected stocks of the BUX index

, 2020
A dolgozatomban empirikus vizsgálatokkal kíséreltem meg a CAPM és az APT modellek használhatóságának vizsgálatát a BUX index választott részvényeinek segítségével.
Szathmári, Dániel
core  

Cash Heterogeneity and the Payout Channel of Monetary Policy

The Journal of Finance, EarlyView.
ABSTRACT This paper provides novel empirical evidence that cash‐rich firms have higher equity payouts and higher stock prices in response to expansionary monetary policy surprises. Stock prices rise despite weak cash‐flow, investment, and credit responses to monetary policy.
ALTAN PAZARBAŞI
wiley   +1 more source

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, Hakan Aygören, M.ensar Yeşilyurt   +2 more
doaj  

The Debt‐Equity Spread

The Journal of Finance, EarlyView.
ABSTRACT We propose a measure of the valuation gap between debt and equity—debt‐equity spread (DES)—based on the difference between actual and equity‐implied credit spreads. DES predicts cross‐sectional stock and bond returns in opposite directions.
HUI CHEN, ZHIYAO CHEN, JUN LI
wiley   +1 more source

Testing CAPM model and creating optimal portfolios

, 2013
A dolgozatom központi témája a Markowitz-i portfolió elmélet és az ezen alapuló tőkepiaci árazási modell mélyebb megismerése és gyakorlati alkalmazásának tesztelése.
Göblyös, Anna Edina
core  

Multiple Chains Markov Switching Vector Autoregression

Journal of Time Series Analysis, EarlyView.
ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley   +1 more source

CAPM tests and alternative factor portfolio composition: getting the alphas right. [PDF]

We show that the results of a CAPM test are quite sensitive to the details of the test design. Especially crucial are the aspects related to the weight one gives to small, low-reputation stocks when constructing both the factor portfolios and the test or
De Moor, Lieven, Sercu, Piet
core   +2 more sources

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, Zahra Amirhosseini   +1 more
doaj