Results 61 to 70 of about 55,979 (234)
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.
Jonathan Lewellen, Stefan Nagel
core
Residual Income Valuation and Stock Returns: Evidence From a Value‐to‐Price Investment Strategy*
Financial Review, EarlyView.ABSTRACT This paper contributes to the accounting and asset pricing anomalies literature by investigating the performance of value‐to‐price (V/P) strategies, and the relationship between V/P ratio and various risk proxies. If the V/P ratio successfully predicts future returns at stock level, we hypothesize that portfolios based on the V/P ratio ...
Ahmad Haboub +2 more
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
Portfolio Selection with Monotone Mean-Variance Preferences [PDF]
We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not ...
Aldo Rustichini +3 more
core
FOMC Meetings, Monetary Policy Uncertainty, and Mutual Fund Alpha
Financial Markets, Institutions &Instruments, EarlyView.ABSTRACT We examine the ability of mutual fund managers to generate a positive alpha in a consistent manner around the uncertainty‐generating Federal Open Market Committee (FOMC) meetings. The consistency of active equity mutual funds in generating a positive alpha over the successive FOMC announcements is positively related to future fund flows.
Ali K. Malik, Gonul Colak
wiley +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
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
Firm Value and the mis-use of the CAPM for valuation and decision making [PDF]
This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV.
Magni, Carlo Alberto
core +1 more source
Household portfolio allocation and stock market beliefs: Evidence from Japanese households
Journal of Financial Research, EarlyView.Abstract We analyze data from the Keio Household Panel Survey (KHPS) to investigate how individuals' beliefs about financial markets influence current and planned asset holdings. Our results reveal statistically and economically significant relations between specific beliefs and both present asset allocations and accumulation.
Raslan Alzuabi, Daniel Gray
wiley +1 more source