Search Results - subject:"Global CAPM"

Estimating the market risk premium for valuations: arithmetic or geometric mean or something in between?

Kaserer, Christoph - In: Journal of Business Economics 92 (2022) 8, pp. 1373-1415

under a local CAPM perspective, while the opposite tends to be true under a global CAPM perspective. This leads us the …

Persistent link: https://www.econbiz.de/10015328842

Estimating the market risk premium for valuations : arithmetic or geometric mean or something in between?

Kaserer, Christoph - In: Journal of business economics : JBE 92 (2022) 8, pp. 1373-1415

Persistent link: https://www.econbiz.de/10013440060

Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy

Nitschka, Thomas - In: Journal of international money and finance 83 (2018), pp. 44-54

Persistent link: https://www.econbiz.de/10012000302

Foreign exchange risk and the term-structure of industry costs of equity

Krapl, Alain; Giaccotto, Carmelo - In: Journal of International Money and Finance 51 (2015) C, pp. 71-88

This paper makes two contributions to the literature. First, we build on the methodology of Ang and Liu (2004) to model the cost of capital term-structure for firms subject to foreign exchange (FX) risk. We emphasize the role of time-varying parameters such as FX risk and factor loadings....

Persistent link: https://www.econbiz.de/10011190171

Financial integration and the cost of capital : a study of the Brazilian equity market

Loncan, Tiago Rodrigues; Caldeira, João F. - In: International journal of economics and finance 7 (2015) 3, pp. 45-56

Persistent link: https://www.econbiz.de/10010508459

Foreign exchange risk and the term-structure of industry costs of equity

Krapl, Alain; Giaccotto, Carmelo - In: Journal of international money and finance 51 (2015), pp. 71-88

Persistent link: https://www.econbiz.de/10011475230