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EVOLUCION DE LAS ESTRATEGIAS DE INVERSION EN ACCIONES (BORRADOR)

Rubio, Fernando - EconWPA - 2005

desarrollo del CAPM y APT; y, la actual, correspondiente a las anomalias del CAPM, la cual incluye el estudio del behavioural …

Persistent link: https://www.econbiz.de/10005134816

Extreme Moves in Foreign Exchange Rates and Risk Limit Setting

Dacorogna, Michel; Blum, Peter - EconWPA - 2003

Foreign exchange rates can be subject to considerable daily fluctuations (up to 5 percent within one day). This can, in certain cases, cause serious losses on open overnight positions. Given a maximum tolerable loss for a company, limits have to be set on open overnight positions in foreign...

Persistent link: https://www.econbiz.de/10005126103

Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns

Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …

Persistent link: https://www.econbiz.de/10005076992

Explaining the Beta, Size and Value Effects Under the Relative Value Theory

Alb, Silviu Iulian - EconWPA - 2004

. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant … predicts slightly higher discount rates than the CAPM. Empirical evidence supporting the CAPM cannot reject the RVT at a …

Persistent link: https://www.econbiz.de/10005076993

A survey on risk-return analysis

Galagedera, Don U.A. - EconWPA - 2004

This paper provides a review of the main features of asset pricing models. The review includes single-factor and multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models conditional on time-varying volatility.

Persistent link: https://www.econbiz.de/10005561561

CONTRASTACION DE METODOLOGÍAS PARA EL CÁLCULO DE BETA DE MERCADO: EL CASO DE ESPAÑA

Rubio, Fernando - EconWPA - 2004

diferencias en los betas obtenidos de cara a la utilización del CAPM. En conclusión, al parecer la metodología no incidiría en el … en el esquema del CAPM. ABSTRACT: The aim of this investigation is to contrast the two methodologies that have been … verify possible differences in the obtained betas with a view toward the utilization of the CAPM. In conclusion, it seems …

Persistent link: https://www.econbiz.de/10005561663

Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns

Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005

Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …

Persistent link: https://www.econbiz.de/10005561735

Intertemporally non-separable monetary-asset risk adjustment and aggregation

Barnett, William A.; Wu, Shu - EconWPA - 2004

Modern aggregation theory and index number theory were introduced into monetary economics by Barnett (1980). The widely used Divisia monetary aggregates were based upon that paper. A key result upon which the rest of the theory depended was Barnett’s derivation of the user-cost price of...

Persistent link: https://www.econbiz.de/10005412580

DATA MINING SOBRE EL BETA EN ESPAÑA

Rubio, Fernando - EconWPA - 2004

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …

Persistent link: https://www.econbiz.de/10005413097

CAPITAL ASSET PRICING MODEL (CAPM) Y ARBITRAGE PRICING THEORY (APT): UNA NOTA TÉCNICA

Rubio, Fernando - EconWPA - 2004

Capital Asset Pricing Model (CAPM) y el Arbitrage Pricing Theory (APT), los dos modelos de valuación de activos de capital … realidad. Además, se presentan aplicaciones prácticas del CAPM y un análisis de las principales diferencias entre ambos modelos. …

Persistent link: https://www.econbiz.de/10005413116