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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

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

SECURITIES MARKETS AND SOCIAL CAPITAL INTEGRATION IN AFRICA: RISKS AND POLICY OPTIONS

NWAOBI, GODWIN - EconWPA - 2005

The need to develop securities market has, following the recent international financial crises, increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong interest in ensuring the stable growth of...

Persistent link: https://www.econbiz.de/10005561601

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

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

Optimization of Risk Exposure

Gretchikha, Alexei - EconWPA - 2002

Risk exposure can be efficiently optimized in practical situations, using a new apporach to identification of investor's risk aversion.

Persistent link: https://www.econbiz.de/10005134885

Quantum Market Games

Piotrowski, E. W.; Sladkowski, J. - EconWPA - 2001

We propose a quantum-like description of markets and economics. The approach has roots in the recently developed quantum game theory. Quantum Zeno paradoxes and noncomutative quantum mecanics are also discussed.

Persistent link: https://www.econbiz.de/10005407589

The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange

Kenourgios, Dimitris; Samitas, Aristeidis; … - EconWPA - 2005

This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and...

Persistent link: https://www.econbiz.de/10005413108

Variance Risk Premia

Carr, Peter; Wu, Liuren - EconWPA - 2004

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We theoretically and numerically show that the risk-neutral expected value of the return variance, also known as the variance swap rate, is well approximated by the value of a particular...

Persistent link: https://www.econbiz.de/10005413197