Static force characteristic of annular gaps -- Experimental and simulation results [PDF]
, 2021 We discuss the static force characteristic of annular gaps resulting from an axial flow component. So far there is a severe lack of understanding of the flow inside the annulus. First, the state-of-the-art modelling approaches to describe the flow inside the annulus are recapped and discussed.
arxiv +1 more source
Evaluación del desempeño condicional de carteras colectivas con inversión en acciones locales administradas por sociedades colombianas entre enero de 2011 y agosto de 2013 [PDF]
, 2014 El presente texto corresponde al desarrollo del trabajo de grado en el marco de la Maestría en Administración Financiera de la Universidad EAFIT -- En el mismo se identifica el desempeño diez carteras colectivas con inversión en acciones locales ...
Astaiza Gómez, José Gabriel
core
Modelos de valoración de activos condicionales: un panorama comparativo con datos españoles [PDF]
, 2004 Este trabajo trata de profundizar en el papel de la información del momento económico cuando ésta se incorpora a los modelos de valoración de activos. Para ello, en primer lugar, se hace una descripción de la teoría de valoración de activos que engloba ...
Nieto, Belén, Rodríguez López, Rosa
core +1 more source
Downside Risk analysis applied to Hedge Funds universe [PDF]
Physica 382 (2007) 213-218, 2006 Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics.
arxiv +1 more source
Non-parametric and semi-parametric asset pricing [PDF]
Economic Modelling 28:(3) pp. 1150-1162, 2017 We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and the alpha, are biased and inconsistent.
arxiv +1 more source
A non-parametric test of the conditional capm for the Mexican economy
Estudios Económicos, 2006 Se han sugerido muchos modelos para describir cómo los inversionistas valúan flujos de efectivo riesgosos. El más usado es el Modelo de Valuación de Activos de Capital (CAPM por sus siglas en inglés) de Sharpe-Lintner-Black.
Jorge H . del Castillo-Spíndola
doaj
Impact of Cross-Listing Chinese Stock Returns. A and N Shares Rate of Return Comparison [PDF]
, 2017 The paper examines the Chinese market reaction to the ADR issue by comparing returns and their stochastic variances of the Chinese firms cross-listed in the U.S. stock market. First, It was implemented capital asset pricing model (CAPM) to determine expected returns A and N shares.
arxiv +1 more source
O efeito do risco de informação assimétrica sobre o retorno de ações negociadas na BM&FBOVESPA [PDF]
, 2017 Este estudo buscou analisar a assimetria informacional no mercado de ações brasileiro e sua relação com os retornos requeridos de portfólios por meio da métrica volume-synchronized probability of informed trading. Para isso, o estudo utilizou dados reais
Amaral, Hudson Fernandes +2 more
core +2 more sources
Risk-Free Rate in the Covid-19 Pandemic: Application Mistakes and Conclusions for Traders [PDF]
arXiv, 2021 This short paper is intended to demonstrate a crucial omission made by traders in setting the risk-free interest rate, especially in times of crisis: instead of increasing the risk-free rate, traders undercut it en masse on the contrary. This results in incorrect investment and financial decisions, especially those involving CAPM models, option pricing
arxiv
RAE: Revista de Administração de Empresas, 2010 Nas últimas décadas, o modelo Capital Asset Pricing Model (CAPM) tem despertado grande interesse por parte da comunidadecientífica. Apesar das críticas, o aprimoramento do CAPM estático deu origem a novos modelos dinâmicos que trazem maiorsegurança para ...
Paulo N. Figueiredo, Eduardo C. Miranda
doaj