Results 11 to 20 of about 1,406,689 (309)
Systematic risk and timescales [PDF]
Quantitative Finance, 2003 Abstract In this paper we propose a new approach to estimating the systematic risk (the beta of an asset) in a capital asset pricing model (CAPM). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis.
Gençay, R., Selçuk F., Whitcher, B.
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Multiscale systematic risk [PDF]
Journal of International Money and Finance, 2005 Abstract In this paper we propose a new approach to estimating systematic risk (the beta of an asset). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. The empirical results from different economies show that the relationship between the return of a portfolio and its beta ...
Gencay, R., Selcuk, F., Whitcher, B.
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Methodological aspects of evaluating a company’s investment attractiveness
RUDN Journal of Economics, 2021 The actual problems of choosing tools for risk assessment and predicted profitability (attractiveness) of an investment object are studied. There is a close relationship between the financial multipliers DIV/FCF, P/E Shiller, EV/EBITDA and risk ...
Yulia V. Nemtseva +1 more
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SSRN Electronic Journal, 2013 AbstractWe test for the presence of a systematic tail risk premium in the cross section of expected returns by applying a measure of the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help predict the future performance of stocks in extreme market downturns.
Maarten van Oordt, Chen Zhou
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Risk and Return in Agriculture: Evidence from an Explicit-Factor Arbitrage Pricing Model
Journal of Agricultural and Resource Economics, 1992 This article develops and estimates an explicit-factor Arbitrage Pricing Theory (APT) model in an endeavor to uncover (a) the systematic risk properties of returns to agricultural assets, (b) the relationship between agricultural returns and returns on ...
Bruce Bjornson, Robert Innes
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Systematic extreme downside risk [PDF]
Journal of International Financial Markets, Institutions and Money, 2019 Abstract We propose new systematic tail risk measures constructed using two different approaches. The first is a non-parametric measure that captures the tendency of a stock to crash at the same time as the market, while the second is based on the sensitivity of stock returns to innovations in market crash risk. Both tail risk measures are associated
Harris, Richard +2 more
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Are Country and Size Risks Priced in the Brazilian Stock Market? [PDF]
BAR: Brazilian Administration Review, 2017 When estimating a firm’s cost of equity for valuation and other purposes in emerging markets without (or with only partial) capital market integration, many practitioners include a premium for country risk.
Antonio Zoratto Sanvicente +2 more
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IMBALANCES IN THE FINANCIAL SYSTEM OF UKRAINE AND THEIR TRANSMISSION TO THE SYSTEMATIC RISKS IN THE MONETARY STABILITY [PDF]
Вісник Київського національного університету імені Тараса Шевченка. Серія Економіка, 2013 The article examines the current state and major imbalances in the financial market of Ukraine, which are the source of risk to the national economy and can significantly affect the monetary stability during the post-crisis period and the period of ...
O. Liubkina, M. Borovikova
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Risk Costs and the Choice of Market Return Index
Journal of Agricultural and Resource Economics, 1992 Six measures of returns are used to estimate the most "appropriate" market index for southeast Kansas farms. Results suggest that localized indices are more appropriate than state indices for use as the market index.
Koffi N. Amegbeto, Allen M. Featherstone
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Market perception of bank risk and securitization in Spain
Journal of Business Economics and Management, 2016 This paper examines the systematic risk in those banks that participated as issuers of securitization transactions in the Spanish market. Using event study methodol- ogy and allowing systematic risk to change gradually within the event window, this paper
Ana Iglesias-Casal +3 more
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