The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....

The downside risk capital asset pricing model (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on...

The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks...

The equity premium (also called market risk premium, equity risk premium, market premium and risk premium), is one of the most important, discussed but elusive parameters in finance. The term equity premium is used to designate four different concepts (although many times they are mixed):...

Value and momentum portfolios exhibit strong opposite signed exposure to an aggregate risk factor based on low frequency fluctuations in the capital share. This strong opposite signed exposure helps explain why both strategies earn high average returns yet are negatively correlated. But the...

Three mutually uncorrelated economic disturbances that we measure empirically explain 85% of the quarterly variation in real stock market wealth since 1952. A model is employed to interpret these disturbances in terms of three latent primitive shocks. In the short run, shocks that affect the...

Este documento contiene un ranking de las gestoras realizado comparando la evolución de sus fondos desde 1990 hasta 2010, según los datos proporcionados por Inverco. Según este ranking, las mejores gestoras fueron: Bestinver, Mutua Madrileña y Merchbanc; las peores fueron: Caja Cataluña,...

Este documento contiene un ranking de 79 gestoras de fondos de inversión realizado comparando la evolución de sus fondos desde 1991 hasta 2010, según la información proporcionada por Inverco. Una gestora ha sido mejor que otra cuando sus fondos han obtenido menor diferencia con los mejores...

The WACC is just the rate at which the Free Cash Flows must be discounted to obtain the same result as in the valuation using Equity Cash Flows discounted at the required return to equity (Ke) The WACC is neither a cost nor a required return: it is a weighted average of a cost and a required...