Results 51 to 60 of about 13,953 (241)

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, Abozar Asoroosh, Mohammad Javad Farhanian   +2 more
doaj  

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, Hsiu-Jung Tsai, Tien-Foo Sing, Chih-Yuan Yang   +3 more
doaj   +1 more source

Skew Premiums Around Earnings Announcements

Financial Review, EarlyView.
ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley   +1 more source

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, Mamadou Konte, Mohamed Toure, Smael Assani   +3 more
openaire   +2 more sources

Testing for Contagion in International Financial Markets: To See More, Go Higher

Financial Review, EarlyView.
ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley   +1 more source

A statistical inference method for the stochastic reachability analysis. [PDF]

, 2005
The main contribution of this paper is the characterization of reachability problem associated to stochastic hybrid systems in terms of imprecise probabilities. This provides the connection between reachability problem and Bayesian statistics.
Bujorianu, L.M.
core   +3 more sources

Exposure to Left‐Tail Risk, Risk Appetite, and Mutual Fund Flows

Financial Review, EarlyView.
ABSTRACT Using a measure of aggregate tail risk, we show that a fund's sensitivity (exposure) to tail risk negatively affects the fund flows and the fund's performance. Further, a fund's tail risk sensitivity relates positively to the left‐tail risk measures of the fund.
Ali K. Malik
wiley   +1 more source

Self-Consistent Asset Pricing Models [PDF]

, 2006
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain.
Alexander, Axtell, Bai, Black, Blume, Blume, Bodie, Bos, Broomhead, Chan, Collins, Connor, D. Sornette, Fama, Fama, Fama, Fama, Fama, Fang, Figlewski, Hakansson, Harvey, Hwang, Jolliffe, Krauss, Lee, Li, Lim, Malevergne, Malevergne, Michaud, Ohlson, Pliska, Roll, Roll, Rubinstein, Samuelson, Satchell, Sharpe, Simmonds, Vautard, Y. Malevergne   +41 more
core   +2 more sources

Daily entry and exit triggers for open market repurchases

Journal of Financial Research, EarlyView.
Abstract Using publicly available daily data, we analyse the daily decision repurchasing firms make to enter or exit the market during open market repurchase programs. Firms enter the market to repurchase after a stock price downturn and maintain their presence in the market while stock returns remain negative. The lower the preceding overnight return,
Christine Brown, Sean Pinder
wiley   +1 more source

Household portfolio allocation and stock market beliefs: Evidence from Japanese households

Journal of Financial Research, EarlyView.
Abstract We analyze data from the Keio Household Panel Survey (KHPS) to investigate how individuals' beliefs about financial markets influence current and planned asset holdings. Our results reveal statistically and economically significant relations between specific beliefs and both present asset allocations and accumulation.
Raslan Alzuabi, Daniel Gray
wiley   +1 more source