Results 81 to 90 of about 44,329 (240)
Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures [PDF]
In this paper, we develop a new model that explicitly considers two endogenous consumption items and investigates its applicability to consumption-capital asset pricing model (C-CAPM) by testing it with various sets of instruments.
Atsushi Maki, Kenji Wada
core
Household portfolio allocation and stock market beliefs: Evidence from Japanese households
Journal of Financial Research, EarlyView.Abstract We analyze data from the Keio Household Panel Survey (KHPS) to investigate how individuals' beliefs about financial markets influence current and planned asset holdings. Our results reveal statistically and economically significant relations between specific beliefs and both present asset allocations and accumulation.
Raslan Alzuabi, Daniel Gray
wiley +1 more source
Cash-Flow Risk, Discount Risk, and the Value Premium [PDF]
A habit persistence, general equilibrium model with multiple assets matches both the time series properties of the market portfolio and the cross-sectional predictability of returns on price sorted portfolios, the value premium. Consistent with empirical
Pietro Veronesi, Tano Santos
core
, 2022 Objective: The objective of this research is to verify the applicability of the local CAPM, Local Adjusted CAPM and Hybrid Adjusted CAPM models to the Brazilian market from the analysis of their respective premises and, in addition, to verify the existence of significant statistical differences between the models. Methodology: For the chosen indicators,
Paiva Martins Teixeira, Vandliny +2 more
openaire +1 more source
Are CSR incidents truly bad news?
Journal of Financial Research, EarlyView.Abstract We revisit whether disclosures of negative Corporate Social Responsibility (CSR) incidents adversely affect firms' stock prices. While univariate tests reveal significant negative abnormal returns around incident announcements, the effect disappears once firm characteristics, industry, and time‐fixed effects are controlled for.
Chen Chen +2 more
wiley +1 more source
PRAGMATICS OF USING A MODIFIED CAPM MODEL FOR ESTIMATING COST OF EQUITY ON EMERGING MARKETS
Baltic Journal of Economic Studies, 2016 The aim of the work is to forming pragmatic recommendations for the development and implementation the modified CAPM model in the process of estimating the equity value on emerging markets.
Vitaliy Semenyuk
doaj
A look at the actual cost of capital of US firms
Cogent Economics & Finance, 2016 The capital asset pricing model (CAPM) receives both criticism and widespread adoption by practitioners and academics as the weighted average cost of capital (WACC) equity component.
David J. Moore
doaj +1 more source
COVID-19 crisis as a systematic risk: an empirical study in the egyptian stock market [PDF]
Revista de Studii Financiare, 2020 This paper examines the ability of beta (β) to measure the systematic risks posed by the COVID-19 crisis and analyzes the impact of the COVID-19 crisis on stock returns for a sample of 50 stocks, grouped on the basis of size and value in the Egyptian ...
Mustafa Hussein Abd-Alla
doaj
Beta lives - some statistical perspectives on the capital asset pricing model [PDF]
, 1999 This note summarizes some technical issues relevant to the use of the idea of excess return in empirical modelling. We cover the case where the aim is to construct a measure of expected return on an asset and a model of the CAPM type is used.
Adcock, C.J., Clark, E.A.
core +1 more source
Multiple Chains Markov Switching Vector Autoregression
Journal of Time Series Analysis, EarlyView.ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley +1 more source