Showing 1 - 10 of 30,481
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
We investigate the relationship between changing correlation structure of returns, security risk, and mean return …. According to our results, securities that were highly correlated with the market-wide risk factors in the past are likely to … have high systematic and idiosyncratic risk at present. Correlations with the risk factors, however, are not directly …
Persistent link: https://www.econbiz.de/10010777158
We use pre-World War I Brussels Stock Exchange (BSE) data to investigate the relation between average stock returns and … market beta, size, momentum, dividend yield and total risk on the cross-section of stock returns. Based on portfolio sorts … and Fama–MacBeth regressions, we find no relationship between market beta, size or total risk and average returns …
Persistent link: https://www.econbiz.de/10011042812
capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … countries. We find, as expected, that the CAPM is not able to do this task. However, a four-factor model, including factors such …
Persistent link: https://www.econbiz.de/10005086627
The paper has two main objectives. The first is to test for the presence of the size and bookto- market value effects in the Visegrad countries. Such effects have been found in the United States and many other developed stock markets. The Visegrad countries consist of the Czech Republic,...
Persistent link: https://www.econbiz.de/10008536807
, endüstri riski ve firma riski bileşenlerine ayrılmıştır. Toplam risk içinde piyasa riskinin ağırlığı kriz dönemlerinde artmakta …. Yapılan analizlerde toplam risk içindeki en ağırlıklı bileşenin tüm dönemlerde firma riski olduğu belirlenmiştir. Bu durum …
Persistent link: https://www.econbiz.de/10005489619
uncertainty. It is difficult to find a field where the decision making process is risk-free. This statement is especially true in … case of financial investments according to which risk taking is rewarded. But it is also true that the financial market …-known theories of financial instruments' risk minimization is the modern portfolio theory, which is the collection of tools and …
Persistent link: https://www.econbiz.de/10010733838
We study the contingent claim valuation problem in a general discrete-time framework with transaction costs. We consider the cost of the replicating strategy for attainable contingent claims and the minimal cost of the dominating strategies and we derive an expected representation formula for...
Persistent link: https://www.econbiz.de/10005641164
the fund company to use its judgment to maximize risk-adjusted fund returns. A fund company, however, in its desire to …
Persistent link: https://www.econbiz.de/10005749047
The paper investigates the pricing of derivative securities with calendar-time maturities.
Persistent link: https://www.econbiz.de/10005133099