Results 71 to 80 of about 58,661 (262)
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
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 +1 more source
Multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference [PDF]
, 2011 Copyright @ 2011 University of BirminghamHere a multifactor model of UK stock returns is developed, replac- ingHere a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on
Hunter, J, Wu, F
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Are CSR incidents truly bad news?
Journal of Financial Research, EarlyView.Abstract We revisit whether disclosures of negative Corporate Social Responsibility (CSR) incidents adversely affect firms' stock prices. While univariate tests reveal significant negative abnormal returns around incident announcements, the effect disappears once firm characteristics, industry, and time‐fixed effects are controlled for.
Chen Chen +2 more
wiley +1 more source
REGE Revista de Gestão, 2007 Nas últimas décadas, o modelo CAPM tem despertado grande interesse na comunidade científica. Apesar das críticas, o aprimoramento do CAPM estático, que dá origem a novos modelos dinâmicos, traz maior segurança para o investidor ao longo do ciclo de ...
Elmo Tambosi Filho +2 more
doaj
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
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Abstractions of stochastic hybrid systems [PDF]
, 2005 Many control systems have large, infinite state space that can not be easily abstracted. One method to analyse and verify these systems is reachability analysis. It is frequently used for air traffic control and power plants.
Bujorianu, L.M. +2 more
core +2 more sources
Institutional Investor Attention
The Journal of Finance, EarlyView.ABSTRACT Using data on Internet news reading, we measure fund‐level attention to both aggregate and firm‐specific news and relate it to fund portfolio allocation decisions. In the time series, we find that funds shift attention toward macroeconomic news during periods of high aggregate volatility.
ALAN KWAN, YUKUN LIU, BEN MATTHIES
wiley +1 more source
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
Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange [PDF]
This paper tests whether the conditional CAPM accurately prices assets utilizing data from the Istanbul Stock Exchange (ISE) over the time period from February 1997 to April 2008. In our empirical analysis, we closely follow the methodology introduced in
Atakan Yalcýn, Nuri Ersahin
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