Search Results - subject:"time‐varying beta"

Testing the Stationarity of Beta for Automotive and Auto-Ancillary Sector Stocks in Indian Stock Market

Dash, Mihir; Sundarka, Silky Sonthalia - In: Journal of Applied Management and Investments 4 (2015) 2, pp. 76-81

Beta is the central concept in the CAPM model. If betas vary considerably across time, the CAPM model’s explanatory power would be undermined. The objective of the study is to test the stationarity of beta for automotive and auto-ancillary sector stocks in different market regimes in Indian...

Persistent link: https://www.econbiz.de/10011240769

Risk and return nexus in Malaysian stock market : empirical evidence from CAPM

Md. Isa, Abu Hassan; Puah, Chin-Hong; Yong, Ying-Kiu - In: Journal of international economic review 8 (2015) 1, pp. 51-62

Persistent link: https://www.econbiz.de/10011415110

Contagion and downside risk in the REIT market during the subprime mortgage crisis

Chen, Ming-Chi; Tsai, Hsiu-Jung; Sing, Tien Foo; Yang, … - In: International journal of strategic property management 19 (2015) 1, pp. 42-57

Persistent link: https://www.econbiz.de/10011302960

Level of efficiency in the UK equity market : empirical study of the effects of the global financial crisis

Choudhry, Taufiq; Jayasekera, Ranadeva - In: Review of quantitative finance and accounting 44 (2015) 2, pp. 213-242

Persistent link: https://www.econbiz.de/10011327633

Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.

Amisano, Gianni; Savona, Roberto - European Central Bank - 2008

Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...

Persistent link: https://www.econbiz.de/10005530881

Applications of Advanced Time Series Models to Analyze the Time-varying Relationship between Macroeconomics, Fundamentals and Pan-European Industry Portfolios ; Anwendungen moderner Zeitreihenverfahren zur Analyse zeitvariabler Zusammenhänge zwischen gesamtwirtschaftlichen Entwicklungen, Fundamentaldaten und europäischen Branchenportfolios

Mergner, Sascha - 2008

Persistent link: https://www.econbiz.de/10010353162

Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM

Isa, Md; Hassan, Abu; Puah, Chin-Hong; Yong, Ying-Kiu - Volkswirtschaftliche Fakultät, … - 2008

standard CAPM model with constant beta (Model I), the standard CAPM model with time-varying beta (Model II), the CAPM model … conditional on segregating positive and negative market risk premiums with time varying beta (Model IV). Empirical results … addition, this study also discovers that time varying beta provides better explanatory power. …

Persistent link: https://www.econbiz.de/10005031389

Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.

Amisano, Gianni; Savona, Roberto - 2008

Persistent link: https://www.econbiz.de/10011604927

Market efficiency during the global financial crisis: Empirical evidence from European banks

Choudhry, Taufiq; Jayasekera, Ranadeva - In: Journal of International Money and Finance 49 (2014) PB, pp. 299-318

This paper empirically investigates the asymmetric effect of news on the time-varying beta of selected banks from seven … and includes the current global financial crisis (2007–2013). The BEKK GARCH model is first employed to estimate the time-varying … beta and then linear regression is applied to investigate the asymmetric effect of news on the beta. The asymmetric effects …

Persistent link: https://www.econbiz.de/10011077093

Hedge fund systemic risk signals

Savona, Roberto - In: European Journal of Operational Research 236 (2014) 1, pp. 282-291

In this paper, we realise an early warning system for hedge funds based on specific red flags that help detect the symptoms of impending extreme negative returns and the contagion effect. To do this we use regression tree analysis to identify a series of splitting rules that act as risk signals....

Persistent link: https://www.econbiz.de/10010753492