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  • Search: subject:"conditional capm"
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Year of publication
Subject
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Conditional CAPM 37 conditional CAPM 33 CAPM 29 Estimation 22 Schätzung 22 Capital income 17 Kapitaleinkommen 17 Theorie 16 Theory 16 Beta risk 10 Betafaktor 10 Börsenkurs 9 Share price 9 Portfolio selection 8 Portfolio-Management 8 ARCH model 7 ARCH-Modell 7 business cycle 7 Aktienmarkt 6 Stock market 6 Financial market 5 Finanzmarkt 5 ICAPM 5 Momentum 5 asset pricing 5 Asset pricing 4 Emerging economies 4 Estimation theory 4 Nonparametric method 4 Realized volatility 4 Schwellenländer 4 Schätztheorie 4 Time-varying beta 4 Value 4 Volatility 4 Volatilität 4 realized beta 4 time-varying beta 4 Factor analysis 3 Faktorenanalyse 3
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Online availability
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Free 32 Undetermined 23
Type of publication
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Article 38 Book / Working Paper 33
Type of publication (narrower categories)
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Article in journal 26 Aufsatz in Zeitschrift 26 Working Paper 5 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Article 1 research-article 1
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Language
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English 48 Undetermined 22 Portuguese 1
Author
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Andersen, Torben G. 4 Bollerslev, Tim 4 Diebold, Francis X. 4 Li, Yan 4 Antypas, Antonios 3 Caporale, Guglielmo Maria 3 Gubellini, Stefano 3 Kourogenis, Nikolaos 3 Pittis, Nikitas 3 Atakan, Alp E. 2 BONOMO, Marco 2 Bali, Turan G. 2 Casassus, Jaime 2 Cooper, Ilan 2 DeLisle, James R. 2 Ellouz, Siwar 2 Engle, Robert F. 2 GARCIA, René 2 Garcia, René 2 Grissom, Terry V. 2 Higuera, Freddy 2 Jin (Ginger) Wu 2 Maio, Paulo 2 Prono, Todd 2 Shutova, Evgeniya 2 Su, Liangjun 2 Tang, Yi 2 Wu, Jin 2 Xu, Yuewu 2 Yang, Liyan 2 Abdymomunov, Azamat 1 Ahmed, Muhammad Farid 1 Aiube, Fernando Antônio Lucena 1 Akdeniz, Levent 1 Al Refai, Hisham M. 1 Altay-Salih, Aslihan 1 Arisoy, Yakup Eser 1 Atakan YalÃffın 1 Baruch, Shmuel 1 Baídya, Tara Keshar Nanda 1
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Institution
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İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi 10 Center for Financial Studies 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Département de Sciences Économiques, Université de Montréal 2 Instituto de Economía, Facultad de Ciencia Económicas y Administrativas 2 American Association of Wine Economists - AAWE 1 Departamento de Economia, Faculdade de Economia, Administração e Contabilidade 1 Department of Economics and Business, Universitat Pompeu Fabra 1 Department of Economics, University of Pennsylvania 1 International Centre for Economic Research (ICER) 1 School of Economics, Singapore Management University 1 School of Management, Yale University 1 Sloan School of Management, Massachusetts Institute of Technology (MIT) 1
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Published in...
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Koç University-TUSIAD Economic Research Forum Working Papers 10 Journal of empirical finance 3 Management science : journal of the Institute for Operations Research and the Management Sciences 3 CFS Working Paper Series 2 CIRANO Working Papers 2 Cahiers de recherche 2 Documentos de Trabajo / Instituto de Economía, Facultad de Ciencia Económicas y Administrativas 2 International Journal of Managerial and Financial Accounting 2 Journal of Empirical Finance 2 Management Science 2 Research in international business and finance 2 Afro-Asian Journal of Finance and Accounting : AAJFA 1 Applied Financial Economics 1 CESifo Working Paper 1 CESifo working papers 1 CFS Working Paper 1 Cambridge working papers in economics 1 Cambridge-INET working papers 1 Discussion papers on business and economics 1 Economic modelling 1 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1 Emerging Markets Finance and Trade 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Energy economics 1 Eurasian Economic Review 1 Eurasian economic review : a journal of the Eurasia Business and Economics Society 1 ICER Working Papers - Applied Mathematics Series 1 Insurance / Mathematics & economics 1 International review of financial analysis 1 Journal of Financial Economics 1 Journal of Property Investment & Finance 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of financial and quantitative analysis : JFQA 1 Journal of property investment & finance 1 Managerial finance 1 PIER Working Paper Archive 1 Review of Pacific Basin financial markets and policies 1 Review of Quantitative Finance and Accounting 1 Review of quantitative finance and accounting 1 Revista Brasileira de Finanças : RBFin 1
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Source
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RePEc 37 ECONIS (ZBW) 29 EconStor 4 Other ZBW resources 1
Showing 21 - 30 of 71
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A comparative computational and behavioral analysis of real estate performance : Anchoring on the post-financial crisis
DeLisle, James R.; Grissom, Terry V. - In: Journal of Property Investment & Finance 35 (2017) 3, pp. 290-320
Purpose The purpose of this paper is to investigate changes in the commercial real estate market dynamics as a function of and conditional to the shifts in market state-space environment that can influence agent responses. Design/methodology/approach The analytical design uses a comparative...
Persistent link: https://www.econbiz.de/10014899007
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Does the equity premium puzzle persist during financial crisis? : the case of the French equity market
Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866
Persistent link: https://www.econbiz.de/10011912395
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A comparative computational and behavioral analysis of real estate performance : anchoring on the post-financial crisis
DeLisle, James R.; Grissom, Terry V. - In: Journal of property investment & finance 35 (2017) 3, pp. 290-320
Persistent link: https://www.econbiz.de/10011706900
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Stock Return Predictability and Oil Prices
Casassus, Jaime; Higuera, Freddy - Instituto de Economía, Facultad de Ciencia Económicas … - 2011
conditional CAPM framework based on oil price shocks. Our model displays high statistical signi cance and a better t than all the …
Persistent link: https://www.econbiz.de/10009399390
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Time varying behavior of share returns in Australia : 1988-2004
Lum, Yew-Choe; Islam, Sardar M. N. - In: Review of Pacific Basin financial markets and policies 19 (2016) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011490553
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Testing the risk-return tradeoff in the emerging market of Jordan : what role for financial crises?
Al Refai, Hisham M.; Eissa, Mohamed Abdelaziz - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 2, pp. 183-198
Persistent link: https://www.econbiz.de/10011719685
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RAISE YOUR GLASS: WINE INVESTMENT AND THE FINANCIAL CRISIS
Masset, Philippe; Weisskopf, Jean-Philippe - American Association of Wine Economists - AAWE - 2010
beta coefficient. The use of a conditional CAPM model allows us to clarify the time-variance of alphas and betas depending …
Persistent link: https://www.econbiz.de/10008543638
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Social Image in Public Goods Provision with Real Effort
Filiz-Ozbay, Emel; Ozbay, Erkut Y. - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2010
We study public goods game where the contribution efforts are observable. When the players are observed, they contribute more and free-riding diminishes significantly. On the other hand, presence of an audience does not affect the performance of players if there is no strategic aspect of the...
Persistent link: https://www.econbiz.de/10008490371
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Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange
Yalcýn, Atakan; Ersahin, Nuri - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2010
This paper tests whether the conditional CAPM accurately prices assets utilizing data from the Istanbul Stock Exchange … introduced in Lewellen and Nagel (2006). Our results show that the conditional CAPM fairs no better than the static counterpart …
Persistent link: https://www.econbiz.de/10008492941
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Can Turkish Recessions Be Predicted?
Pagan, Adrian - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2010
There is much scepticism about the ability to predict recessions. Harding and Pagan (2010b)have argued that this is because the definition of a recession involves the signs of future growth rates of economic activity and there is little predictability of these from the past. Turkey represents an...
Persistent link: https://www.econbiz.de/10008682142
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