Results 21 to 30 of about 245 (134)
Cogent Economics & Finance, 2020 This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and conditional alpha sub-samples in Vietnam stock market covering the period from January 2008 to December 2018.
Xuan Vinh Vo +2 more
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The Conditional CAPM and the Cross-Section of Expected Returns
The Journal of Finance, 1996 ABSTRACTMost empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value‐weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross‐section of average returns on stocks.
Jagannathan, R., Wang, ZY
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International Journal of Financial StudiesIn this paper, we propose a linear factor model that incorporates investor preferences toward sustainability to analyze indirect effects that climate concerns may have on asset prices.
Lucía Galicia-Sanguino +1 more
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Contagion and downside risk in the REIT market during the subprime mortgage crisis
International Journal of Strategic Property Management, 2015 This study empirically tests the contagion effects in stock and real estate investment trust (REIT) markets during the subprime mortgage crisis by using daily stock- and REIT-markets data from the following countries and international bodies: the United ...
Ming-Chi Chen +3 more
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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
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Investigating the volatility, upside risk, downside risk and Capital Asset Pricing Model: Evidences from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2010 Modern Portfolio Theories are based on Markowitz’s portfolio optimization model that involves the assumption of Mean Variance Behavior and therefore require the asymmetry and normality of returns.
Mohsen Sadeghi +2 more
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Revista Finanzas y Política Económica, 2015 RESUMEN La creación de fondos de inversión inmobiliaria en Colombia ha abierto posibilidades de diversificación de portafolio a agentes que deseen invertir en el sector inmobiliario sin tener que comprar y administrar finca raíz de forma directa.
Leonardo Santana Viloria
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Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach [PDF]
Journal of Risk and Financial Management, 2019 The conditional capital asset pricing model (CAPM) theory postulates that the systematic risk ( β ) of an asset or portfolio varies over time. Several dynamics are thus given to systematic risk in the literature. This article looks for the dynamic that seems to best explain the returns of the assets of the Regional Stock Exchange of West Africa ...
Mamadou Cisse +3 more
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