Results 21 to 30 of about 18,915,989 (297)
Time-varying beta risk of Turkish real estate investment trusts
, 2010 Bu makalede, Türkiye'de halka arz edilen gayrimenkul şirketlerinin (GYO'ların) sistematik riskinin -beta katsayısının- zamanla nasıl değiştiği son yedi yıla ait günlük ve haftalık veriler kullanılarak ampirik olarak test edilmiştir. Çalışmanın örneklem periyodunda Türkiye reel GSYÎH'daki büyüme oranında önemli bir yapısal kırılma gözlenmiştir.
Altinsoy, Gozde +2 more
openaire +3 more sources
International Journal of Financial Studies, 2017 In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables.
André Ricardo de Pinho Ronzani +2 more
doaj +1 more source
Testing for regime-switching CAPM on Zagreb Stock Exchange
Croatian Operational Research Review, 2014 The standard Capital Asset Pricing Model assumes that a linear relationship exists between the risk (beta) and the expected excess return of a stock. However, empirical findings have shown over the years that this relationship varies over time.
Tihana Škrinjarić
doaj +1 more source
Asset pricing in a multifactor setting
Borsa Istanbul Review, 2022 We mathematically show that, no matter how many factors are added to the capital asset pricing model (CAPM), beta will always matter. We also show that adding more factors to a single-factor CAPM requires market risk premiums to be modeled as time ...
Omer Cayirli +2 more
doaj +1 more source
Journal of Business Economics and Management, 2013 Abrupt and profound swings in economic activity can result in changes in systematic component of risk premia of capital market assets. This can translate into adjustments in risk perception by the market agents, which may lead to significant changes in ...
Vít Pošta, Zdeněk Pikhart
doaj +1 more source
TIME-VARYING BETA AND VOLATILITY IN THE KUALA LUMPUR STOCK EXCHANGE
Gadjah Mada International Journal of Business, 2004 The paper analyzes the relationship between beta risk and aggregate market volatility for 12sized-based portfolios for the case of Malaysia using daily data from January 1988 to December 2000.
Mansor Ibrahim
doaj +1 more source
Stock profiling using time–frequency-varying systematic risk measure
Financial Innovation, 2023 This study proposes a wavelets approach to estimating time–frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness ...
Roman Mestre
doaj +1 more source
Back to the Future Betas: Empirical Asset Pricing of US and Southeast Asian Markets
International Journal of Financial Studies, 2016 The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta ...
Jordan French
doaj +1 more source
Risks, 2018 The variance of stock returns is decomposed based on a conditional Fama⁻French three-factor model instead of its unconditional counterpart. Using time-varying alpha and betas in this model, it is evident that four additional risk terms must be ...
Chengbo Fu
doaj +1 more source
Forecasting the time-varying beta of UK firms: GARCH models vs Kalman filter method
, 2007 This paper forecast the weekly time-varying beta of 20 UK firms by means of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model.
Wu, Hao, Choudhry, Taufiq
core +2 more sources