Results 31 to 40 of about 245 (134)
REGE Revista de Gestão, 2007 Nas últimas décadas, o modelo CAPM tem despertado grande interesse na comunidade científica. Apesar das críticas, o aprimoramento do CAPM estático, que dá origem a novos modelos dinâmicos, traz maior segurança para o investidor ao longo do ciclo de ...
Elmo Tambosi Filho +2 more
doaj
Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM [PDF]
SSRN Electronic Journal, 2003 Abstract We amend the conditional CAPM to allow for unobservable long-run changes in risk factor loadings. In this environment, investors rationally “learn” the long-run level of factor loadings from the observation of realized returns. As a consequence of this assumption, we model conditional betas using the Kalman filter.
Adrian,Tobias, Franzoni, Francesco
openaire +4 more sources
Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence
Contemporary Economics, 2013 The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 ...
Radosław Kurach
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Back to the Future Betas: Empirical Asset Pricing of US and Southeast Asian Markets
International Journal of Financial Studies, 2016 The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta ...
Jordan French
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Market Varying Conditional Risk-Return Relationship [PDF]
Pakistan Journal of Applied Economics, 2015 Unlike previous studies conducted on Pakistan, this article attempts to test the validity of conditional relationship between beta and cross-sectional returns of individual securities listed in Karachi Stock Exchange (KSE), wherein the up and down market
Nida SHAH * +2 more
doaj
Return versus hype – Are Islamic metaverse companies more profitable than general ones – A Chinese stock analysis [PDF]
Türkiye İslam İktisadı DergisiThe metaverse, a virtual universe in which individuals and companies can interact, has become of paramount importance in China in recent years. While the metaverses are still in their infancy, there has been a growing interest and influx of capital into ...
Klemens Katterbauer +3 more
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Análise do "efeito tamanho" nos retornos das ações de empresas listadas na Bovespa
Revista Contabilidade & Finanças, 2006 Neste estudo, o desempenho das ações negociadas na Bovespa foi analisado entre 17 de março de 1998 e 3 de agosto de 2004. Primeiramente, foram feitos testes de estacionariedade para se verificar se as ações seguiram o modelo de passeio aleatório ...
Gustavo Amorim Antunes +2 more
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Return and Volatility Spillover Under Bearish and Bullish Market Conditions: The Case of the Stock Market and Its Competing Markets in Iran [PDF]
فصلنامه پژوهشهای اقتصادی ایرانGiven the interconnected nature of financial markets, understanding the relationships among them is essential for investors and traders in selecting optimal portfolios, and for policymakers in adopting appropriate monetary and financial policies.
Majid Aghaei, Amin Razinataj
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A Conditional Higher-Moment CAPM
International Review of Financial Analysis, 2022 Vasco Vendrame +2 more
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Investigating the sources of Black’s leverage effect in oil and gas stocks
Cogent Economics & Finance, 2017 The Black’s leverage effect hypothesis postulates that a negative stock return innovation increases the financial leverage of a firm since the value of equity decreases at a given level of debt, which, in turn, creates a higher equity return volatility ...
Muhammad Surajo Sanusi
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