Multiple Chains Markov Switching Vector Autoregression
Journal of Time Series Analysis, EarlyView.ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley +1 more source
Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM [PDF]
This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for the period of January 1995 to December 2006.
Md Isa, Abu Hassan +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
doaj +1 more source
Modeling Downside Risks for China's Security Markets: Does Greenness Make Bonds a Safer Haven?
Scottish Journal of Political Economy, EarlyView.ABSTRACT Motivated by its current defective governance regime and institutional characteristics of green finance, this study models Value‐at‐Risk and Expected Shortfall of security markets for China. We extend Patton et al.'s (2019) models by introducing four exogenous risk factors including China's climate policy uncertainty (CCPU).
Xiao‐Ming Li
wiley +1 more source
Residual Income Valuation and Stock Returns: Evidence From a Value‐to‐Price Investment Strategy*
Financial Review, Volume 61, Issue 4, Page 1257-1287, November 2026.ABSTRACT This paper contributes to the accounting and asset pricing anomalies literature by investigating the performance of value‐to‐price (V/P) strategies, and the relationship between V/P ratio and various risk proxies. If the V/P ratio successfully predicts future returns at stock level, we hypothesize that portfolios based on the V/P ratio ...
Ahmad Haboub +2 more
wiley +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
doaj +1 more source
Testing Conditional Asset Pricing Models: An Emerging Market Perspective [PDF]
The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset
Javed Iqbal +2 more
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Testando empiricamente o CAPM condicional dos retornos esperados de portfolios do mercado brasileiro, argentino e chileno [PDF]
, 2003 Tese (doutorado) - Universidade Federal de Santa Catarina, Centro Tecnológico. Programa de Pós-Graduação em Engenharia de Produção.Nas ultimas décadas o modelo CAPM tem despertado grande interesse por parte da comunidade científica.
Tambosi Filho, Elmo
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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
The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange [PDF]
This is an attempt to empirically investigate the risk and return relationship of individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan. The analysis is based on daily as well as monthly data of 49 companies and KSE
Attiya Y. Javid, Eatzaz Ahmad
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