Results 71 to 80 of about 299,746 (223)
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
core +1 more source
Macroeconomic Sources of Foreign Exchange Risk in New EU Members [PDF]
, 2007 We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. The joint distribution of excess returns in the foreign exchange market and the observable macroeconomic factors is modeled using the stochastic ...
Kocenda, Evzen, Poghosyan, Tigran
core +1 more source
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
Impact of Cross-Listing Chinese Stock Returns. A and N Shares Rate of Return Comparison [PDF]
, 2017 The paper examines the Chinese market reaction to the ADR issue by comparing returns and their stochastic variances of the Chinese firms cross-listed in the U.S. stock market. First, It was implemented capital asset pricing model (CAPM) to determine expected returns A and N shares.
arxiv +1 more source
Business Strategy and the Environment, Volume 34, Issue 1, Page 778-787, January 2025.Abstract Assets' returns can be efficiently clustered in regimes, that are suitably defined non‐overlapping intervals creating a partition of the real numbers. This paper explores the relationship between the transition probabilities from one regime to another in assets' returns and the assets' MSCI Environmental, Social and Governance (ESG) scores. We
Roy Cerqueti +2 more
wiley +1 more source
Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM [PDF]
This paper explores the theoretical and empirical implications of time-varying and unobservable beta. Investors infer factor loadings from the history of returns via the Kalman filter. Due to learning, the history of beta matters.
Adrian, Tobias, Franzoni, Francesco
core
Conditional CAPM: Time-varying Betas in the Brazilian Market
Revista Brasileira de Finanças, 2014 The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter.
Frances Fischberg Blank +3 more
doaj
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
A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for Nasdaq? [PDF]
arXiv, 2000 In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytical results that show that, whenever
arxiv
Abacus, Volume 60, Issue 4, Page 892-934, December 2024.Since November 2012, short sellers have been required to disclose all their significant short positions against European firms. While this regulation was primarily implemented to have implications for financial markets, I explore its negative externalities on shorted firms.
Alexandre Madelaine
wiley +1 more source