Results 31 to 40 of about 3,732,762 (303)
Comparison of a Modified and Classic Fama-French Model for the Polish Market
Folia Oeconomica Stetinensia, 2017 This paper shows a comparison of the results of return, risk, and risk price simulation by a modified and classic Fama-French model. The modified model defines the new ICAPM state variable as a function of the structure of a company’s past financial ...
Urbański Stanisław
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Investigating the Relationship between Default Risk and Earning Response Coefficient (ERC) [PDF]
بررسیهای حسابداری و حسابرسی, 2014 One of the factors that previous studies have identified as an influential factor in Earning Response Coefficient (ERC) is default risk. The purpose of this study is to investigate the relationship between default risk and Earnings Response Coefficient ...
Ali Ebrahimi Kordlar +1 more
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Risk transfer with CDOs and systemic risk in banking [PDF]
, 2006 Large banks often sell part of their loan portfolio in the form of collateralized debt obligations (CDO) to investors. In this paper we raise the question whether credit asset securitization affects the cyclicality (or commonality) of bank equity values.
Krahnen, Jan Pieter, Wilde, Christian
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Sprzężenia zwrotne i ryzyko systemowe kredytów denominowanych w Polsce
Problemy Zarządzania, 2015 On January 15th 2015, when the Swiss National Bank (SNB) suddenly announced that it would no longer hold the Swiss franc at a fixed exchange rate with the euro, there was panic.
Ireneusz Dąbrowski
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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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Measuring the effect of the North Korea-U.S. summit on the South Korean stock market
Cogent Economics & Finance, 2019 We examine the effects of the North Korea-U.S. summit and related events on the South Korean stock market over the period March 2018 to June 2018.
Huy Pham +4 more
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Multiscale test of CAPM for three Central and Eastern European stock markets
Journal of Business Economics and Management, 2013 This paper examines the systematic risk and validity of the basic capital asset pricing model of Sharpe (1964), Lintner (1965) and Mossin (1966) in three Central and Eastern European stock markets (i.e. Slovenia, Hungary and Czech Republic).
Silvo Dajčman +2 more
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Systematic Review: Cybersecurity Risk Taxonomy [PDF]
, 2017 In cybersecurity,the identification of risks is a fundamental part because this activity is not unique to cybersecurity and it is hardto know what the risks in this areaare. This study aims to identify if there are some risk taxonomies in cybersecurity.For this, a systematic review of the studies published from 1990to 2017 was carried out.
Rea Guamán, Ángel Marcelo +3 more
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Continuous and Jump Betas: Implications for Portfolio Diversification
Econometrics, 2016 Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed
Vitali Alexeev +2 more
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Empirical Analysis of Turkish Banking Sector Institutional and Macroeconomic Determinants of Risks
İstanbul İktisat DergisiThis research examines the macroeconomic and institutional sources of individual, systemic, and systematic risks in the Turkish banking sector. The period between 2008:Q3 and 2019:Q3 of the nine deposit banks selected for this purpose were estimated ...
Hikmet Akyol, Selim Başar
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