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A comparative analysis of the explanatory power of the CAPM and the Fama-French three-factor model on cross-sectional variation of returns on stocks trading on the official market...

Besimi, Fatmir; Bisheva, Ana - In: Economy, business & development : an international journal 2 (2021) 1, pp. 1-11

Abstract: The amount of literature on factors that explain the cross-sectional variation in average returns is vast, however, the majority of these papers attempt to explain the variation of returns in developed and emerging markets. In that sense, the literature lacks sufficient evidence...

Persistent link: https://www.econbiz.de/10015327272

The Bayesian method in estimating Polish and German industry betas : a comparative nalysis of the risk between the main economic sectors from 2001-2020

Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative economic research : Central and Eastern Europe 25 (2022) 2, pp. 45-60

estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and …

Persistent link: https://www.econbiz.de/10013334984

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10012598456

Role of size and risk effects in value anomaly : evidence from the Indian stock market

Sharma, Mehak; Jain, Anshul - In: Cogent economics & finance 8 (2020) 1, pp. 1-12

Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio (high PB ratios, Growth firms). In literature, this is known as the Value Anomaly. This anomaly is related to the third factor in the...

Persistent link: https://www.econbiz.de/10013179656

Stock profiling using time-frequency-varying systematic risk measure

Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … different asset allocation. We conclude that the standard CAPM assumes short-run investment. Then, investors should consider … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. …

Persistent link: https://www.econbiz.de/10014289044

CAPM verification using overnight and daytime returns

Kang, Dae Jin; Kim, Soo-hyun - In: Journal of derivatives and quantitative studies : … 28 (2020) 4, pp. 209-227

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual stock market returns. Accordingly, this study analyzes daily returns by splitting it into overnight and daytime returns. The study analysis empirically confirms a positive...

Persistent link: https://www.econbiz.de/10012592728

Inflation and infrastructure sector returns in emerging markets : panel ARDL approach

Magweva, Rabson; Sibanda, Mabutho - In: Cogent economics & finance 8 (2020) 1, pp. 1-17

This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in the long and short run. It employed a panel autoregressive distributed lag (PARDL) model applying the mean group (MG), pooled mean group (PMG) and dynamic fixed effects (DFE)...

Persistent link: https://www.econbiz.de/10012219374

Stock market volatility response to COVID-19 : evidence from Thailand

Suthasinee Suwannapak; Surachai Chancharat - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-9

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the interlinkages, and the conditional correlations...

Persistent link: https://www.econbiz.de/10014284290

Financial risk and better returns through smart beta exchange-traded funds?

Bowes, Jordan; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-30

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance of SB ETFs benchmarked to traditional cap-weighted market...

Persistent link: https://www.econbiz.de/10012622400

When to bet against beta? : ask Google

Piccoli, Pedro - In: Borsa Istanbul Review 25 (2025) 2, pp. 374-387

In this paper, I document that investor attention negatively predicts betting against beta returns. Using Google Search Volumes toward US market indices as my proxy to attention, I find that this relation holds after controlling for competitive factors and different search terminologies and in...

Persistent link: https://www.econbiz.de/10015337410