Results 61 to 70 of about 13,843 (175)
Deciphering equity style returns: An analysis of size and value anomalies in the Pakistani stock exchange. [PDF]
Heliyon, 2023 Kashif M +3 more
europepmc +1 more source
Structural Breaks in the Mexico's Integration into the World Stock Market [PDF]
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation ...
Jamel Jouini, Mohamed El Hedi Arouri
core
Herding behavior and government policy responses: Evidence from COVID-19 effect. [PDF]
Heliyon, 2023 Nouri-Goushki M, Hojaji SN.
europepmc +1 more source
Asset Pricing with Observable Stochastic Discount Factors. [PDF]
The stochastic discount factor model provides a general framework for pricing assets. By specifying the discount factor suitably it encompasses most of the theories currently in use, including CAPM and consumption CAPM.
Michael R Wickens, Peter N Smith
core
Stock profiling using time-frequency-varying systematic risk measure. [PDF]
Financ Innov, 2023 Mestre R.
europepmc +1 more source
Conditional CAPM Relationships in Standard and Accounting Risk Approaches
The North American Journal of Economics and Finance, 2023 Anna Rutkowska-Ziarko +2 more
openaire +1 more source
Factor investing: A stock selection methodology for the European equity market. [PDF]
Heliyon, 2021 Bermejo R +3 more
europepmc +1 more source
Model comparison using the Hansen-Jagannathan distance [PDF]
Although it is of interest to empirical researchers to test whether or not a particular asset-pricing model is true, a more useful task is to determine how wrong a model is and to compare the performance of competing asset-pricing models.
Cesare Robotti, Raymond Kan
core
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk [PDF]
We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting ...
Francis X. Diebold +3 more
core