Results 61 to 70 of about 58,661 (262)
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
Forecasting Returns with a Hybrid Model: Neural Network Autoregressive Market Predictions and CAPM for Asset Valuation [PDF]
Mathematics and Modeling in FinanceAccurate forecasting of asset returns is essential for informed investment decisions and effective portfolio management. This paper explores a hybrid model that combines the Capital Asset Pricing Model (CAPM) with Neural Network Autoregressive (NNAR ...
Mohammad Zare
doaj +1 more source
An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient [PDF]
The benchmark CAPM linearly relates the expected returns on an arbitrary asset, an arbitrary benchmark portfolio, and an arbitrary MV frontier portfolio.
Ekern, Steinar
core
Exposure to Left‐Tail Risk, Risk Appetite, and Mutual Fund Flows
Financial Review, EarlyView.ABSTRACT Using a measure of aggregate tail risk, we show that a fund's sensitivity (exposure) to tail risk negatively affects the fund flows and the fund's performance. Further, a fund's tail risk sensitivity relates positively to the left‐tail risk measures of the fund.
Ali K. Malik
wiley +1 more source
Tzhoecoen, 2019 Este trabajo tiene como objetivo medir la eficiencia del Costo de Oportunidad de Capital (COK) comparando su estimación a partir del uso betas y retornos de empresas del MILA (ADRs), versus los retornos de los títulos en el mercado.
Wilson Idrogo Rengifo
doaj
Eesti Majanduspoliitilised Väitlused, 2012 Government often faces decisions, which concern choosing between projects carrying different risk level and timing of cash flows. For calculating government real estate investment discount rate, we can apply social opportunity cost approach and ...
Priit Sander, Oliver Lukason, Kaia Kask
doaj +1 more source
The stable long-run CAPM and the cross-section of expected returns [PDF]
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding
Kim, Jeong-Ryeol
core
PENERAPAN METODE CAPM SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM PADA PERUSAHAAN YANG LISTING DI BURSA EFEK JAKARTA [PDF]
, 2007 This research is a case study in shares listed on the Jakarta Stock Exchange between June 2006 under the title "Application of CAPM method as the basis for Investment Decision Making Companies Listing of Shares on the Jakarta Stock Exchange.
NOVAYANTI, EKA AURINA
core
Daily entry and exit triggers for open market repurchases
Journal of Financial Research, EarlyView.Abstract Using publicly available daily data, we analyse the daily decision repurchasing firms make to enter or exit the market during open market repurchase programs. Firms enter the market to repurchase after a stock price downturn and maintain their presence in the market while stock returns remain negative. The lower the preceding overnight return,
Christine Brown, Sean Pinder
wiley +1 more source
Learning the CAPM through Bubbles [PDF]
Bubbles are generally considered the outcome of investor irrationality or informational asymmetry, both objectionable in efficient markets with rational investors.
Haim Kedar-Levy
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