Results 11 to 20 of about 245 (134)
Open issues in testing liquidity in frontier financial markets: The case of Serbia [PDF]
Ekonomski Anali, 2010 This paper examines the impact of illiquidity and liquidity risk on expected asset returns in the Serbian stock market. For this market we estimate the conditional Liquidity-adjusted Capital Asset Pricing Model (LCAPM) of Acharya and Pedersen (2005).
Minović Jelena Z., Živković Boško R.
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International Journal of Financial Studies, 2017 In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables.
André Ricardo de Pinho Ronzani +2 more
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Financial Management in Practice: Analysis of Brazilian Survey Data
RAC: Revista de Administração Contemporânea, 2021 Objective: this article replicates in Brazil a survey — previously applied in North America and Europe — to inquire CFOs about the cost of capital, capital budgeting, and capital structure. Method: we rigorously translated and validated the questionnaire
Cristiane Benetti +2 more
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Assessing Discount Rate for a Project Financed Entirely with Equity Capital [PDF]
Theoretical and Applied Economics, 2007 Estimating discount rate for an investment project is one of the most challenging tasks incapital budgeting. In this paper we discuss different kind of models for cost of equity capital proposed infinance literature (static CAPM, conditional CAPM, APT ...
Nicoleta Vintila
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The Risk and Return Relations: New Evidence from Pakistani Stock Market
Journal of Accounting and Finance in Emerging Economies, 2021 In this study, we try to answer several empirical questions related to testing of asset pricing models in Pakistan. First, we test the assumptions of capital asset pricing model (CAPM) using cross-sectional regression methodology of Fama and MacBeth (FMB)
Syed Hamid Ali Shah +3 more
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Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold
Mathematics, 2021 This paper introduces a new methodology to estimate time-varying alphas and betas in conditional factor models, which allows substantial flexibility in a time-varying framework. To circumvent problems associated with the previous approaches, we introduce
Mehmet Balcilar +2 more
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Conditional pricing model with heteroscedasticity: Evaluation of Brazilian funds [PDF]
RAE: Revista de Administração de Empresas, 2019 Empirical studies have revealed that the conditional Capital Asset Pricing Model (CAPM) has a higher explanatory power than its unconditional version, particularly for the model in state-space form where the beta is estimated using Kalman filter.
Leandro Santos da Costa +3 more
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RACE: Revista de Administração, Contabilidade e Economia, 2016 This paper aims to analyze both the volatility patterns and performance of the sectorial indexes of Bovespa’s main stocks and to investigate the temporal structure of the conditional correlation between these, from January 04, 2011 to November 19, 2013 ...
Cássio Nóbrega Besarria +6 more
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Further evidence on the validity of CAPM: The Warsaw Stock Exchange application
Journal of Economics and Management, 2020 Aim/purpose – The purpose of the research is to verify the Capital Asset Pricing Model (CAPM) in the Polish capital market based on a conventional and downside risk approach.
Markowski Lesław
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Emerging Markets and the Conditional CAPM
, 2019 Emerging Market equity returns have proved challenging to model using conventional statistical tools. In this paper we use the conditional capital asset pricing model (CCAPM) together with an explicit expectations structure to arrive at a framework which can be easily estimated.
Ahmed, M. F., Satchell, S.
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