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
doaj +1 more source
, 2011 This work investigates the ability of the conditional CAPM to explain anomalous returns related to momentum, size and book-to-market effects using Lewellen and Nagel’s (2006) methodology in the Brazilian stock market.
Frederico Valle e Flister +2 more
semanticscholar +1 more source
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
doaj +1 more source
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
doaj +1 more source
A Conditional Higher-Moment CAPM
International Review of Financial Analysis, 2022 Vasco Vendrame +2 more
openaire +1 more source
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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Conditional Relationship Between Beta and Return in the US Stock Market
Expert Journal of Business and Management, 2016 According to the CAPM, risk is measured by the beta, and the relation between required expected return and beta is linear. This paper examines the conditional relationship between beta and return in the US stock market.
Bing XIAO
doaj
Black–Litterman Portfolio Optimization with Dynamic CAPM via ABC-MCMC
MathematicsThe present research proposes a methodology for portfolio construction that integrates the Black–Litterman model with expected returns generated through simulations under dynamic Capital Asset Pricing Model (CAPM) with conditional betas, estimated via ...
Sebastián Flández +4 more
doaj +1 more source
A non-parametric test of the conditional capm for the Mexican economy
Estudios Económicos, 2006 Se han sugerido muchos modelos para describir cómo los inversionistas valúan flujos de efectivo riesgosos. El más usado es el Modelo de Valuación de Activos de Capital (CAPM por sus siglas en inglés) de Sharpe-Lintner-Black.
Jorge H . del Castillo-Spíndola
doaj
Portfolio Efficiency Tests with Conditioning Information-Comparing GMM and GEL Estimators. [PDF]
Entropy (Basel), 2022 Vigo-Pereira C, Laurini M.
europepmc +1 more source