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Application of Chow, Cusum and rolling window in testing stability of systematic risk of companies listed in WIG-ESG in 2019-2022

Mikołajek-Gocejna, Magdalena - In: Journal of banking and financial economics 20 (2023), pp. 1-29

The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...

Persistent link: https://www.econbiz.de/10014515083

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

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

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

De and re-levering betas with risky debt

Krause, Marko Volker - In: Business research 12 (2019) 2, pp. 703-720

De- and re-levering betas is important to obtain discount rates for assets that are not publicly traded. A de- and re-levering procedure is around for the case of risk-free debt. The procedure for risky debt is much less clear even under very simplifying assumptions. In this paper, I concretize...

Persistent link: https://www.econbiz.de/10012256377

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

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

Downside beta and downside gamma : in search for a better capital asset pricing model

Kazmi, Madiha; Noreen, Umara; Jadoon, Imran Abbas; … - In: Risks : open access journal 9 (2021) 12, pp. 1-14

capital asset pricing model. These models are CAPM's beta, beta replaced by skewness (gamma), CAPM's beta with gamma, downside … beta CAPM (DCAPM), downside beta replaced by downside gamma, and CAPM with downside gamma. The problems of the high …

Persistent link: https://www.econbiz.de/10012794199

Do extreme market value ratios mean that the market is informationally inefficient? : a study of the Warsaw Stock Exchange

Karasiński, Jacek; Zduńczak, Patryk - In: Journal of economics & management 43 (2021) 1, pp. 206-224

Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach -...

Persistent link: https://www.econbiz.de/10013166614

Testing asset pricing models with individual stocks : an instrumental variables approach

Candemir, Işıl; Karahan, Cenk C. - In: Borsa Istanbul Review 24 (2024) 5, pp. 952-965

This study empirically tests time-varying asset pricing models in an emerging market with individual stocks. We employ a recently proposed instrumental variables (IV) technique that uses individual stocks as test assets while consistently estimating ex-post risk premiums. This method differs...

Persistent link: https://www.econbiz.de/10015141770