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Multifractality in Asset Returns: Theory and Evidence [PDF]

Review of Economics and Statistics, 2002
This paper investigates the multifractal model of asset returns (MMAR), a class of continuous-time processes that incorporate the thick tails and volatility persistence exhibited by many financial time series. The simplest version of the MMAR compounds a Brownian motion with a multifractal time-deformation.
Laurent Calvet, Adlai Fisher
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Returns to scale and asset prices

Journal of Business Finance & Accounting, 2019
AbstractThe q‐theory of investment is proposed to explain firm growth effects, where previous papers identify a negative effect of firm growth, including asset growth, real investment and net share issuance, on future stock returns. This paper uses returns to scale from the production function to test the dynamic q‐theory, which predicts that the firm ...
Chan, Konan, Chen, Hung-Kun, Wang, Yanzhi   +2 more
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PENGARUH CAPITAL ADEQUACY RATIO, NON PERFORMING LOAN, LOAN TO DEPOSIT RATIO, NET INTEREST MARGIN, DAN BOPO TERHADAP RETURN ON ASSETS PADA PERUSAHAN PERBANKAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2020-2022

International Workshop on Engineering Multi-Agent Systems
Profitabilitas yang penting bagi bank adalah Return On Assets (ROA), return on assets melihat sejauh mana investasi yang telah ditanamkan mampu memberikan pengembalian keuntungan sesuai dengan yang diharapkan dan investasi tersebut sebenarnya sama dengan
S. Putu, Andina Pryanti, Gusti Ngurah, Bagus Gunadi, Agus Wahyudi, Salasa Gama   +5 more
semanticscholar   +1 more source

THE EFFECT OF GREEN INVESTMENT AND RETURN ON ASSETS ON FIRM VALUE (Study on Banks Listed in the SRI-Kehati Index for the period 2019 to 2024)

The International Conference on Sustainable Economics Management and Accounting Proceeding
Company value is very important for companies that have gone public because high company value encourages the desire for business. The step taken to increase the value of the company is for the company to contribute to society and the environment.
Hastin Tri Utami, Dewi Susilowati, Kiky Sri Rejeki   +2 more
semanticscholar   +1 more source

Equilibrium Correlations of Asset Price and Return [PDF]

The Journal of Real Estate Finance and Economics, 2007
Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets.
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Likelihood Evidence on the Asset Returns Puzzle [PDF]

The Review of Economic Studies, 2005
Summary: Standard equilibrium models are unable to replicate the average return on equity and the risk-free rate during 1889--1978, the well-known asset returns puzzle. The present paper, motivated by the excess of outliers in the data, proposes a normal-scale mixture stochastic process for output that is compatible with leptokurtosis.
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A Multifractal Model of Asset Returns [PDF]

, 1997
This paper presents the multifractal model of asset returns ("MMAR"), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot's past research that are now well-known in finance.
Laurent Calvet, Adlai Fisher, Benoit Mandelbrot   +2 more
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PENGARUH GOOD CORPORATE GOVERNANCE DAN RETURN ON ASSET TERHADAP NILAI PERUSAHAAN

International Symposium on Computer Modeling, Measurement and Evaluation
The purpose of this study was to determine the effect of the implementation of good corporate governance, return on assets on the value of companies in the consumer goods industry sector listed on the IDX 2019-2022 (Quarterly).
Ade Marina, Nor Norisanti, Sopyan Saori
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Inflation and Asset Returns in a Monetary Economy

The Journal of Finance, 1992
ABSTRACTPostwar U.S. data are characterized by negative correlations between real equity returns and inflation and by positive correlations between real equity returns and money growth. These patterns are closely matched quantitatively by an equilibrium monetary asset pricing model.
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Corporate Leverage from the Perspective of Return on Assets—Two-Level Deviations of Macro and Micro Leverage Ratios

Research Series on the Chinese Dream and China's Development Path, 2019
Zhengzhe Cai, Xinjie Luan, Ziying Li
semanticscholar   +1 more source