Results 21 to 30 of about 299,746 (223)
A wavelet approach of investing behaviors and their effects on risk exposures
Financial Innovation, 2021 Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues.
Roman Mestre
doaj +1 more source
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.
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
A note on the CAPM with endogenously consistent market returns [PDF]
arXiv, 2021 I demonstrate that with the market return determined by the equilibrium returns of the CAPM, expected returns of an asset are affected by the risks of all assets jointly. Another implication is that the range of feasible market returns will be limited and dependent on the distribution of weights in the market portfolio.
arxiv
Sustainable Portfolio Construction via Machine Learning: ESG, SDG and Sentiment
European Financial Management, EarlyView.ABSTRACT This study proposes portfolio construction strategies based on novel sentiment, ESG and SDG scores. We utilize natural language processing to establish a novel daily score system that mitigates concerns of different rating standards. The portfolios constructed are optimized via machine learning algorithms on a monthly basis using daily ...
Xin Feng +3 more
wiley +1 more source
Feasible Implied Correlation Matrices from Factor Structures [PDF]
arXiv, 2021 Forward-looking correlations are of interest in different financial applications, including factor-based asset pricing, forecasting stock-price movements or pricing index options. With a focus on non-FX markets, this paper defines necessary conditions for option implied correlation matrices to be mathematically and economically feasible and argues ...
arxiv
Persistence and Market Timing Ability of Cryptocurrency Funds
Financial Management, EarlyView.ABSTRACT Growth in cryptocurrency funds has followed the wider expansion of the cryptocurrency sector. In this paper, we study the performance persistence and market timing ability of cryptocurrency fund managers. We show that cryptocurrency funds produce remarkable levels of abnormal returns.
Thomas Conlon +2 more
wiley +1 more source