Results 71 to 80 of about 68,268 (314)

Autoregression Vector Prediction on Banking Stock Return using CAPM Model Approach and Multi-Factor APT (IJCIET)

, 2018
This study aims to predict banking stock returns in Indonesia. The problem under study is the difficulty of determining banking stock returns. This study uses the VAR approach by comparing CAPM and APT.
A. Siahaan, Rusiadi
semanticscholar   +1 more source

Regions, cities and finance: the role of capital shocks and banking reforms in shaping the UK geography of prosperity

Fiscal Studies, EarlyView.
Abstract This paper examines the role played by financial markets and, in particular, changes in the price of and access to capital, along with institutional changes in the financial system, in shaping UK regional growth fortunes. This issue has been largely overlooked in debates on UK regional productivity disparities, but new data are now shedding ...
Michiel N. Daams, Colin Mayer, Philip McCann   +2 more
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  

Strategic (Inconsistent) Disclosures and Sophisticated Investors: Evidence from Hedge Funds

Journal of Accounting Research, EarlyView.
ABSTRACT Recent SEC regulations require that qualified hedge fund advisers provide their investors with narrative disclosures of their business and operations. We find that 40% of these disclosures omit or de‐emphasize information regarding advisers' operational and investment risks when compared to other sources of public information. Funds with such “
YICHANG LIU, JOSHUA MADSEN, FRANK S. ZHOU   +2 more
wiley   +1 more source

Multifactor Risk Models and Heterotic CAPM [PDF]

, 2016
We give a complete algorithm and source code for constructing general multifactor risk models (for equities) via any combination of style factors, principal components (betas) and/or industry factors.
Zurab Kakushadze, Willie Yu
semanticscholar   +1 more source

Green Loans and Firm Performance: Evidence on Signalling and Impact Investing Effects

European Financial Management, EarlyView.
ABSTRACT Green loans, costlier than sustainable bonds, are mainly used by smaller firms. This study examines 439 green loans issued to 299 nonfinancial firms during 2016–2023, assessing whether they signal environmental commitment or generate impact. Findings support both Signalling and Impact Investing theories.
Bao Trung Hoang, Nadia Benbouzid, Sushanta Mallick, Aleksandar Stojanovic   +3 more
wiley   +1 more source

Costo de capital bajo riesgos asimétricos en el mercado de valores mexicano

Economía Teoría y Práctica, 2008
El siguiente artículo tiene como fin calcular el costo de financiamiento de las empresas al momento de captar recursos de la Bolsa Mexicana de Valores, costo al que también se denomina costo de capital o tasa de rendimiento mínimo aceptable.
M. Rodríguez, K. Cortez, H. García
doaj  

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, Fauzias Mat Nor, Izani Ibrahim   +2 more
doaj   +1 more source

The Role of Intangible Investment in Predicting Stock Returns: Six Decades of Evidence

Financial Management, EarlyView.
ABSTRACT Using an intangible intensity factor that is orthogonal to the Fama–French factors, we compare the role of intangible investment in predicting stock returns over the periods 1963–1992 and 1993–2022. For 1963–1992, intangible investment is weak in predicting stock returns, but for 1993–2022, the predictive power of intangible investment becomes
Lin Li
wiley   +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