Results 61 to 70 of about 13,953 (241)
Are CSR incidents truly bad news?
Journal of Financial Research, EarlyView.Abstract We revisit whether disclosures of negative Corporate Social Responsibility (CSR) incidents adversely affect firms' stock prices. While univariate tests reveal significant negative abnormal returns around incident announcements, the effect disappears once firm characteristics, industry, and time‐fixed effects are controlled for.
Chen Chen +2 more
wiley +1 more source
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
doaj +1 more source
Institutional Investor Attention
The Journal of Finance, EarlyView.ABSTRACT Using data on Internet news reading, we measure fund‐level attention to both aggregate and firm‐specific news and relate it to fund portfolio allocation decisions. In the time series, we find that funds shift attention toward macroeconomic news during periods of high aggregate volatility.
ALAN KWAN, YUKUN LIU, BEN MATTHIES
wiley +1 more source
Size and liquidity effects in Nigeria: an industrial sector study [PDF]
, 2013 This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria ...
Hearn, Bruce
core +1 more source
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
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
doaj +1 more source
Extreme‐weather risk and the cross‐section of stock returns
Journal of Risk and Insurance, EarlyView.Abstract We document an extreme‐weather risk premium in the cross‐section of stock returns. Between 1995 and 2019, stocks of domestic U.S. firms with the most negative sensitivity to aggregate storm losses earned an annual excess‐return spread of more than 6 percentage points relative to those with the most positive sensitivity, a difference not ...
Alexander Braun +2 more
wiley +1 more source
How do the time-varying risk prices behave in Japan? An investigation with a multivariate GARCH-CAPM approach [PDF]
, 2008 This paper examines the pricing of month-by-month time-varying risks on the Japanese stock market over the period from 1981 to 2004. Using the multivariate GARCH model, we tested the conditional version of the Sharpe-Lintner-Mossin CAPM.
Tsuji, Chikashi
core +1 more source
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