Results 21 to 30 of about 3,732,762 (303)
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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Generalized Systematic Risk [PDF]
American Economic Journal: Microeconomics, 2014 We generalize the concept of “systematic risk” to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different approaches. First is an equilibrium framework generalizing the Capital Asset Pricing Model, two-fund separation, and the security ...
Kadan, Ohad, Liu, Fang, Liu, Suying
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Market Power and Systematic Risk
SSRN Electronic Journal, 2021 AbstractWe examine the impact of product market competition on firms' systematic risk. Using a measure of total product market similarity, we document a strong negative relationship between market power and market betas. The effect more than triples in the most recent period of low competition.
Hollstein, Fabian +2 more
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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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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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The Systematic Risk at the Crisis - A Multifractal Non-uniform Wavelet Systematic Risk Estimation
Fractal and Fractional, 2021 The Capital Asset Pricing Model is a widely applied model to describe risky markets and to deduce their systematic risk. Its estimation, therefore, remains an important task in Econo-financial studies. Empirically, it focuses on the impact of return interval on the betas.
Mounir Sarraj, Anouar Ben Mabrouk
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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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Assessing research risks systematically: the net risks test [PDF]
Journal of Medical Ethics, 2007 Dual-track assessment directs research ethics committees (RECs) to assess the risks of research interventions based on the unclear distinction between therapeutic and non-therapeutic interventions. The net risks test, in contrast, relies on the clinically familiar method of assessing the risks and benefits of interventions in comparison to the ...
D, Wendler, F G, Miller
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