Results 41 to 50 of about 1,094,941 (330)
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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, 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
semanticscholar +1 more source
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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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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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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Time-Varying Betas in Foreign Exchange Returns: An IPCA Approach
Review of Quantitative Finance and AccountingHsuan Fu, Shu-Fu Lee, Jui‐Chung Yang
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International Journal of Financial Studies, 2016 The stock beta coefficient literature extensively discusses the proper methods for the estimation of beta as well as its use in asset valuation. However, there are fewer references with respect to the appropriate time horizon that investors should ...
Dimitrios Dadakas +3 more
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Time-Varying Betas Help in Asset Pricing: The Threshold CAPM [PDF]
Studies in Nonlinear Dynamics & Econometrics, 2003 University of Pittsburgh, Department of Economics, caner@pitt.eduStudies in Nonlinear Dynamics & Econometrics is produced by The Berkeley ElectronicPress (bepress). http://www.bepress.com/sndeCopyright c 2003 by the authors.All rights reserved. No part of this publication may be reproduced, stored in a retrievalsystem, or transmitted, in any form or by
Akdeniz L., Altay-Salih, A., Caner, M.
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Frontiers in Cardiovascular Medicine, 2022 BackgroundIt is unclear whether beta-blocker treatment is advantageous in patients with stable coronary artery disease (CAD) who underwent percutaneous coronary intervention (PCI). We evaluated the clinical impact of long-term beta-blocker maintenance in
Seung-Jun Lee +14 more
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