Results 101 to 110 of about 44,329 (240)
Strategic (Inconsistent) Disclosures and Sophisticated Investors: Evidence from Hedge Funds
Journal of Accounting Research, Volume 64, Issue 2, Page 923-978, May 2026.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 +2 more
wiley +1 more source
Modelo CAPM Condicional: Um Panorama Geral
Revista de Economia Mackenzie, 2007 Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions.
Elmo Tambosi Filho, Fabio Gallo Garcia
doaj
The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange [PDF]
This is an attempt to empirically investigate the risk and return relationship of individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan. The analysis is based on daily as well as monthly data of 49 companies and KSE
Attiya Y. Javid, Eatzaz Ahmad
core
X-CAPM REVISITED: THE INSTITUTIONAL EXTRAPOLATIVE CAPITAL ASSET PRICING MODEL (I-X-CAPM)
Eurasian Journal of Business and Management, 2018 This study constructs and tests a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other investors hold fully rational beliefs. The contribution of the present work is the inclusion of institutional investor bias.
Semen Son-Turan, Erdem Kilic
openaire +1 more source
Skew Premiums Around Earnings Announcements
Financial Review, Volume 61, Issue 2, Page 533-554, May 2026.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
Econometric testing of the CAPM: A granger causality analysis on the Turkish banking industry [PDF]
The CAPM suggests that stock returns are linearly dependent to the market returns. The only risk factor that an asset bears is the market risk which is captured by the asset's beta.
Bayraci, Selcuk
core +1 more source
CAPM Model Testing and Factor Analysis
Highlights in Business, Economics and Management, 2023 The relationship between the risk and return of stocks has always been a hot topic of research by scholars from various countries. This paper uses daily data from six stocks in the Chinese market from January 1, 2020 to December 31, 2021 to calculate individual stock returns and conduct CAPM testing.
openaire +1 more source
International Journal of Finance &Economics, Volume 31, Issue 2, Page 1780-1804, April 2026.ABSTRACT This paper studies herding and anti‐herding behaviour in three European stock markets before and during the Covid‐19 pandemic by employing both static and dynamic analysis. We examine four different questions related to herding behaviour: (i) Did herding behaviour increase during the pandemic? (ii) Does herding behaviour respond differently in
Dimitrios Asteriou +3 more
wiley +1 more source
Learning the CAPM through Bubbles [PDF]
Bubbles are generally considered the outcome of investor irrationality or informational asymmetry, both objectionable in efficient markets with rational investors.
Haim Kedar-Levy
core
International Journal of Finance &Economics, Volume 31, Issue 2, Page 2208-2228, April 2026.ABSTRACT This study investigates how ESG rating divergences and climate transition risks jointly influence portfolio performance. Using a newly constructed composite Environmental (E) score derived from principal component analysis (PCA) across three leading ESG providers (Eikon, RobecoSAM, Sustainalytics), we build industry‐adjusted portfolios for 389
Ahmed Bouteska +2 more
wiley +1 more source