Results 21 to 30 of about 343,694 (202)
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
doaj
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
TIME VARYING BETA (DUAL BETA): CONDITIONAL MARKET TIMING CAPM
Manajemen dan Bisnis, 2012 Dual beta became a debate between researchers in finance especially investment and portfolio. This research test CAPM using dual beta predictions in conditional market timing. The research tested unconditional and conditional Beta, that showed linear and
Rachmat Sudarsono +3 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
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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.
openaire +1 more source
Beta Forecasting With Realized Beta Estimators and Machine Learning Algorithms
Journal of Forecasting, EarlyView.ABSTRACT This paper applies machine learning algorithms to the modeling of realized betas for the purposes of forecasting stock systematic risk. Higher levels of beta forecast accuracy are demonstrated, relative to other studies in the literature. These improvements are also highly significant, both statistically and economically.
Bao Doan +3 more
wiley +1 more source
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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Climate Risks and the Risk Premia of AI Stocks: Some Forecasting Experiments
Journal of Forecasting, EarlyView.ABSTRACT This study examines whether physical and transition climate‐risk measures predict the risk premia of AI‐related stocks, and whether incorporating these risks improves forecast performance relative to benchmark models. The findings suggest that global transition climate shocks lower the premia of AI stocks, while US climate policy increases ...
Afees A. Salisu, Abeeb O. Olaniran
wiley +1 more source