Results 31 to 40 of about 1,094,941 (330)

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, Koray Kayalidere, Huseyin Aktas   +2 more
doaj   +1 more source

Goodness-of-Fit versus Significance: A CAPM Selection with Dynamic Betas Applied to the Brazilian Stock Market

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, Osvaldo Candido, Wilfredo Fernando Leiva Maldonado   +2 more
doaj   +1 more source

Systematic risk during 2008–2009 recession in emerging markets: some evidence from V3 and Baltic economies

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

The impact of time-varying risk on stock returns: an experiment of cubic piecewise polynomial function model and the Fourier Flexible Form model

Data Science in Finance and Economics, 2021
With fast evolving econometric techniques being adopted in asset pricing, traditional linear asset pricing models have been criticized by their limited function on capturing the time-varying nature of data and risk, especially the absence of data ...
Fangzhou Huang, Jiao Song, Nick J. Taylor   +2 more
doaj   +1 more source

The Stochastic Structure of the Time–Varying Beta: Evidence from UK Companies [PDF]

, 2002
Taufiq Choudhry
openalex   +2 more sources

Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models

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