Results 11 to 20 of about 200 (184)
Empirical Test of the Arbitrage Pricing Theory Based on the Downside Risk(D-APT) in the Tehran Stock Exchange [PDF]
پژوهشهای مدیریت عمومی, 2017 Extended Abstract Arbitrage pricing theory presented by Ross is based on theory of the absence of arbitrage opportunities in financial market and its main condition is the existence of a linear relationship between the actual return and a set of common ...
Moslem Moradzadeh +2 more
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Accounting and Market Risk Measures of Polish Energy Companies
Energies, 2022 Companies in the energy sector, due to their important role in the economy and the specificity of energy sources, are exposed to many types of risk, ranging from the risk associated with the company’s operations and the global economic and political ...
Anna Rutkowska-Ziarko, Lesław Markowski
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Mathematics, 2021 This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The
Adeel Nasir +4 more
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Symmetric and Asymmetric Market Betas and Downside Risk [PDF]
The Review of Financial Studies, 2019 Abstract Our paper explores whether a symmetric plain or an asymmetric down-beta is a better hedging measure (Roy 1952; Markowitz 1959). Unlike Ang, Chen, and Xing (2006) and Lettau, Maggiori, and Weber (2014), we find that the prevailing plain market beta is the better predictor, even for crashes.
Ivo Welch, Yaron Levi
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Downside CAPM: The case of South Africa
Journal of Economic and Financial Sciences, 2016 Beta and the capital asset pricing model have traditionally been the preferred measures of risk. However, there is growing literature against the use of the capital asset pricing model to determine the cost of equity in markets, such as emerging markets,
Kwasi Okyere-Boakye, Brandon O’Malley
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Light a lamp and look at the stock market
Financial Innovation, 2021 In this study, we investigate the impact of the light-a-lamp event that occurred in India during the COVID-19 lockdown. This event happened across the country, and millions of people participated in it.
Radeef Chundakkadan
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Risks, 2023 Amidst the global push for decarbonization, green hydrogen has gained recognition as a versatile and clean energy carrier, prompting the financial sector to introduce specialized investment instruments like Green Hydrogen Exchange-Traded Funds (ETFs ...
Cristiana Tudor
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An Assessment of Selected Mutual Funds in Iran Stock Market Using a Combined Method of TOPSIS, VIKOR and Similarity-Based Approach [PDF]
تحقیقات مالی, 2015 This paper seeks two goals concurrently, at one hand tries to assay the capability of TOPSIS, VIKOR and Similarity-Based Approach as multiple attribute decision making approaches in evaluating mutual funds in Iran Stock Exchange, and at the other hand in
Mohammad Reza Sadeghi Moghadam +2 more
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The development of downside accounting beta as a measure of risk [PDF]
Economics and Business Review, 2017 This paper develops a new method for measuring market risk called downside accounting beta (DAB). To test the validity of DAB the method is applied to the financial data for 14 food companies listed on the Warsaw Stock Exchange during a 6-year period.
Rutkowska-Ziarko, Anna, Pyke, Chris
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Borsa Istanbul Review, 2018 This study makes a comparative analysis of the explanatory power of CAPM and downside CAPM based risk measures for stock returns in Borsa Istanbul. 22 risk measures based on mean-variance and mean-semivariance approaches using global and local single ...
Mehmet Emin Yildiz, Yaman O. Erzurumlu
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