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Persistent link: https://www.econbiz.de/10011527498
This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...
Persistent link: https://www.econbiz.de/10012101166
Persistent link: https://www.econbiz.de/10012392216
This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...
Persistent link: https://www.econbiz.de/10014024924
Persistent link: https://www.econbiz.de/10011962478
Purpose – The purpose of this paper is to explore how hedge fund database biases developed during the 2007-2009 financial crisis. Design/methodology/approach – The sample consists of 8,935 hedge funds from the Lipper TASS Hedge Fund Database for the January 2002-September 2010 time period....
Persistent link: https://www.econbiz.de/10010691536
Purpose – The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach – The performance of a market timer can be measured through the 1966 Treynor and Mazuy model,...
Persistent link: https://www.econbiz.de/10010814874
We evaluate motives for share repurchases using a unified framework where a firm has a target capital structure and has equity that can be mispriced. We document that capital structure adjustments are a value-increasing motive for repurchases and that the extent to which adjusting capital...
Persistent link: https://www.econbiz.de/10011052908
This article shows that announcement of share repurchase programs on Polish market is used as a price catalyst when the spread between intrinsic and market value is large. The article presents determinants, conditions and results of 77 open market share repurchase programs conducted on Warsaw...
Persistent link: https://www.econbiz.de/10010781934
This study aims to investigate the market timing strategy in different market conditions (i.e. up, down, normal and in-financial-crisis situation) in the emerging market of Pakistan over the period 1995 to 2015. Furthermore, this study tests the validity of the capital asset pricing model (CAPM)...
Persistent link: https://www.econbiz.de/10013192143