Results 61 to 70 of about 15,156 (192)
Mean-drawdown risk behavior: drawdown risk and capital asset pricing
Journal of Business Economics and Management, 2013 We develop an alternative approach based on mean-drawdown risk behavior versus the mean-variance behavior. We develop two risk measures as the maximum draw down risk and average drawdown risk to estimate two new betas and then propose two CAPM-like ...
Mohammad Reza Tavakoli Baghdadabad +2 more
doaj +1 more source
Decoding Information Flow in Fund Families: Evolution, Drivers and Impacts
European Financial Management, EarlyView.ABSTRACT This paper proposes a new measure of information sharing within fund families inferred from trading activity and examines its evolution and managerial drivers. The findings reveal a declining trend in internal information exchange over time, with higher information flow in families characterized by greater managerial interaction.
Ruth Gimeno +3 more
wiley +1 more source
This article describes the academic debate about the usefulness of the capital asset pricing model (the CAPM) developed by Sharpe and Lintner. First the article describes the data the model is meant to explain—the historical average returns for various ...
Ellen R. McGrattan, Ravi Jagnnathan
core
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
A U‐Shaped Flow–Performance Sensitivity Across the Globe
European Financial Management, EarlyView.ABSTRACT Using a worldwide sample of equity mutual funds, we document a new stylized fact: the flow‐performance sensitivity (FPS) is greater for both bottom and top performance, compared to the middle. This “U‐shaped” FPS is especially strong in down markets, for small/mid‐cap funds, and in the latest decade. These results hold over quarterly or yearly
Markus Broman, Kelley Bergsma Lovelace
wiley +1 more source
The Conditional CAPM does not Explain Asset-Pricing Anamolies [PDF]
Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM.
Stefan Nagel, Jonathan Lewellen
core
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
Risk Perceptions and Corporate Financing Behavior
Financial Management, EarlyView.ABSTRACT Using a recently developed measure of financial market risk perceptions, we show that risk perceptions affect firm‐level corporate financing behavior. Firms tend to adjust their capital structures to cater to investors' appetite for risk. When perceived risks are low, firms tend to choose more leveraged capital structures to take advantage of ...
Youngmin Choi +2 more
wiley +1 more source
Project valuation and investment decisions: CAPM versus arbitrage [PDF]
This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM-based valuation violates ...
Magni, Carlo Alberto
core
The Impact of Macro Variables and Alternative Assets on Stock Price Movement in Iran: An ARDL Model [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2007 This paper uses a quarterly data to study the effect of the main economic variables on the stock price index in Iran over the period 1993:3–2003:2. An autoregressive distributed lag (ARDL) approach to cointegration analysis is used to study both short ...
Karim Eslamloueyan, Hashem Zare
doaj