Results 11 to 20 of about 1,223,971 (333)
Effects of time-varying $$\beta $$ β in SNLS3 on constraining interacting dark energy models [PDF]
, 2014 It has been found that, for the Supernova Legacy Survey three-year (SNLS3) data, there is strong evidence for the redshift evolution of the color–luminosity parameter $$\beta $$β.
Shuang Wang +3 more
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, 2017 This study clarifies the state of dynamic evolution of the international CAPM betas for Asia Pacific (excluding Japan) and Japanese stock returns: first, both for Asia Pacific and Japanese stock markets, the time-invariant international CAPM beta values ...
Chikashi Tsuji
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Asset pricing and prediction with time-varying betas [PDF]
, 2015 Η θεωρία της αποτίμησης των περιουσιακών στοιχείων βασίζεται σε μεγάλο βαθμό στις αρχές του υπολογισμού της παρούσας αξίας και της υπόθεσης των αποτελεσματικών αγορών. Το πρώτο σημαίνει ότι η τιμή ενός περιουσιακού στοιχείου, όχι απαραίτητα μετοχής, είναι συνάρτηση των αναμενόμενων μελλοντικών αποδόσεων προεξοφλημένων στα τρέχοντα δεδομένα.
Πέτρος Μεσσής
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Return prediction with time varying betas: a research in BIST
International Journal of Accounting and Finance, 2020 In the present study, dynamic versions of beta, which is the risk measure of investment instruments, have been employed to predict daily return of 30 random portfolios made of 154 stocks transacted in BIST ALL between dates 02.01.2003 and 29.08.2013. BIST 100 Index has been employed as the market portfolio.
Ayça Akyatan, Mustafa Çetin
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Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques [PDF]
, 1998 Robert Brooks +2 more
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Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold
Mathematics, 2021 This paper introduces a new methodology to estimate time-varying alphas and betas in conditional factor models, which allows substantial flexibility in a time-varying framework. To circumvent problems associated with the previous approaches, we introduce
Mehmet Balcilar +2 more
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Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland
, 2017 Barbara Będowska-Sójka
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Dynamic Beta, Time-Varying Risk Premium, and Momentum
, 2004 This article proposes a rational model to demonstrate that firm-specific risks can be priced in the equilibrium and can generate asset pricing anomalies such as momentum. In general, business risks at both the market level and firm level can affect a firm's investment decisions, and a firm usually has certain ability to forecast firm-level risks, such ...
Hong Zhang
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Dynamics of time-varying currency beta on Indian industries: A Markov switching approach
IIMB Management Review, 2023 We examine the dynamics of time-varying currency beta across Indian industries. Through the Markov regime switching model we try to check whether currency beta is also regime-dependent, similar to other financial variables.
Soumya Saha +2 more
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