Results 101 to 110 of about 13,953 (241)
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
Testing Conditional Factor Models [PDF]
Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single
Andrew Ang, Dennis Kristensen
core
Structural Breaks in the Mexico's Integration into the World Stock Market [PDF]
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation ...
Jamel Jouini, Mohamed El Hedi Arouri
core
Herding behavior and government policy responses: Evidence from COVID-19 effect. [PDF]
Heliyon, 2023 Nouri-Goushki M, Hojaji SN.
europepmc +1 more source
The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility [PDF]
We examine the relation between US stock market returns and the US business cycle for the period 1960 - 2003 using a new methodology that allows us to estimate a time-varying equity premium. We identify two channels in the transmission mechanism.
M R Wickens, P N Smith, S Sorensen
core
Stock profiling using time-frequency-varying systematic risk measure. [PDF]
Financ Innov, 2023 Mestre R.
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