Carry trade e risco cambial : um conto de dois fatores [PDF]
, 2015 Retornos da estratégia de carry trade tem sido explicados usando-se funções de utilidade inseparáveis no tempo que permitem prêmios de risco voláteis. Tipicamente tais funções mimetizam as preferências de economia fechada que dependem de bens duráveis e ...
Ferreira, Alex Luiz, Moore, Michael J.
core +3 more sources
The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America [PDF]
Using the approach of Pettengill et al. (1995), we analyze the un-conditional versus conditional cross-sectional CAPM relationship between portfolio beta-risk and return in the Argentinean, Brazilian, Chilean, and Mexican stock markets.
Eduardo Sandoval, Rodrigo Saens
core
CAPM, rewards, and empirical asset pricing with coherent risk [PDF]
arXiv, 2006 The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third one: the extreme measure. The introduction of this measure provides a powerful tool for investigating the relation between the first two measures.
arxiv
LOS MODELOS MULTIFACTORIALES DE VALORACIÓN DE ACTIVOS: UN ANÁLISIS EMPÍRICO COMPARATIVO [PDF]
There are a lot of theoretical and empirical literature of models of price formation in securities markets, based on the relationship between the expected return on assets and different measures of its risk.
Belén Nieto
core
Estudo comparativo de efeitos de alavancagem no risco sistemático baseado no CAPM entre empresas do PSI 20 e IBEX 35 [PDF]
, 2014 Esta dissertação tem como principal objetivo estudar os efeitos de alavancagem no risco sistemático nas empresas não financeiras do PSI 20 e do IBEX 35. A metodologia utilizada é descritiva e analítica, utilizando-se a análise de correlação de Pearson e ...
Bonito, Miguel Filipe Rocha
core
Testing the Capital Asset Pricing Model (CAPM) on the Uganda Stock Exchange [PDF]
arXiv, 2010 This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th November 2009. Due to the absence of readily available Uganda Stock Exchange(USE) data, and the placement of daily
arxiv
MODELOS DE VALORACION DE ACTIVOS CONDICIONALES: UN PANORAMA COMPARATIVO CON DATOS ESPAÑOLES [PDF]
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 ...
Belén Nieto, Rosa Rodríguez
core
Efecto momentum y riesgo asimétrico en el mercado de valores español [PDF]
, 2005 Los beneficios de las estrategias de momentum continuan arrojando valores significativamente positivos en el mercado de valores español durante el periodo 1980-2004.
Brândao, Elísio (Coordinador) +3 more
core
Evaluación del desempeño de los Fondos Mutuos de Inversión en Colombia [PDF]
, 2017 El presente artículo pretende evaluar la gestión de los Fondos Mutuos de Inversión en Colombia en el periodo 2010-2015 mediante la aplicación de los índices de Sharpe, Treynor y Jensen, así como la aplicación del Test de GARCH para estimar la volatilidad
Mazo Arango, Diana Carolina +1 more
core
Condiciones de contorno globales para el operador de Dirac [PDF]
arXiv, 1996 Functional determinants for Dirac operators on manifolds with boundary are considered. Ellipticity of boundary value problems is discussed in terms of the Calderon projector. The functional determinant for a Dirac operator on a bidimensional disk, in the presence of an Abelian gauge field, subject to global boundary conditions of the type introduced ...
arxiv