Results 31 to 40 of about 1,223,971 (333)
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
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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
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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
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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
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Time-varying market beta: does the estimation methodology matter?
SORT. Statistics and Operations Research Transactions, 2014 This paper compares the performance of nine time-varying beta estimates taken from three different methodologies never previously compared: least-square estimators including nonparametric weights, GARCH-based estimators and Kalman filter estimators. The analysis is applied to the Mexican stock market (2003-2009) because of the high dispersion in betas.
Nieto, Belén +2 more
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A comparison of transmissibility of SARS-CoV-2 variants of concern
Virology Journal, 2023 Background The World Health Organization (WHO) has currently detected five Variants of Concern of SARS-CoV-2 having the WHO labels of ‘Alpha’, ‘Beta’, ‘Gamma’, ‘Delta’ and ‘Omicron’. We aimed to assess and compare the transmissibility of the five VOCs in
S. S. Manathunga +2 more
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Enhanced portfolio performance evaluation using adjusted dynamic conditional Jensen’s alpha: A time-sensitive risk approach [PDF]
Mathematics and Modeling in FinanceThis study presents an enhanced framework for portfolio performance evaluation by refining Jensens alpha to incorporate dynamic conditional beta. Traditional models rely on static beta assumptions, often overlooking the time-varying nature of portfolio ...
Hasan Bayati +3 more
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Entropy-based financial asset pricing. [PDF]
PLoS ONE, 2014 We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model.
Mihály Ormos, Dávid Zibriczky
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Comparative Economic Research, 2022 This paper examines the long‑term dependence between the Polish and German stock markets in terms of industry beta risk estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and German
Ewa Feder‑Sempach, Piotr Szczepocki
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Betas Misestimated: Confounding Effects of Time-Varying Risk Premia
SSRN Electronic Journal, 2012 Nuri Volkan Kayacetin
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