Testing Conditional Asset Pricing Models: An Emerging Market Perspective [PDF]
The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset
Don U.A. Galagedera +2 more
core
Deciphering equity style returns: An analysis of size and value anomalies in the Pakistani stock exchange. [PDF]
Heliyon, 2023 Kashif M +3 more
europepmc +1 more source
International CAPM with Regime Switching GARCH Parameters [PDF]
This paper tests a conditional version of Adler and Dumas'(1983) International CAPM with regime switching GARCH parameters. As benchmark the same model is estimated without state dependent parameters. The switching representation is found to react faster
Lorenzo CAPPIELLO, Tom A. Fearnley
core
CAPM MODEL AND MODERN PORTFOLIO THEORY . [PDF]
International Journal of Social Science and Economic Research, 2021 openaire +1 more source
Stock market reaction to US interest rate hike: evidence from an emerging market. [PDF]
Heliyon, 2023 Kim J.
europepmc +1 more source
Time-varying risk premia and the cross section of stock returns [PDF]
This paper develops and estimates a heteroskedastic variant of Campbell’s (1993) ICAPM, in which risk factors include a stock market return and variables forecasting stock market returns or variance.
Hui Guo
core
Taking Home Bias Seriously: Absolute and Relative Measures Explaining Consumption Risk-Sharing [PDF]
Recent empirical work has shown that ongoing international financial integration facilitates cross-country consumption risk-sharing. While these studies typically employ absolutemeasures to account for a country''s integration in international capital ...
Holinski Nils +2 more
core +1 more source
Implementation of the CAPM Model in Equity Price Determination in the Republic of Srpska
Acta Economica, 2013 CAPM (Capital Assets Pricing Model) has been developed by William Shape, John Lintner and Jan Mossion in the early 1960s, on foundations of earlier works of Harry Markowiz and the model it self is in the core of economics’ theory and modern finance ...
Драган Јањић
doaj
Fractal dimension analysis of stock prices of selected resulting companies after mergers and acquisitions. [PDF]
Eur Phys J Spec Top, 2023 Verma SK, Kumar S.
europepmc +1 more source
Establishment of an experimental pig model for the induction of a <i>Staphylococcus hyicus</i> skin infection. [PDF]
Vet Med (Praha)Matiaskova K +7 more
europepmc +1 more source