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This paper examines the hypothesis that the predictable components of U.K. shares and bonds are related to business conditions. Financial market variables, such as maturity and default premia, are constructed in an attempt to capture different components of business-conditions risk. The...
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[fre] The Efficiency of CAC Stock. Price Forecasts. A Survey Based Perspective. . Dans cet article, nous nous proposons d'analyser les problèmes relatifs à l'anticipation des cours boursiers en utilisant les réponses à une enquête qualitative sur l'indice général CAC. Nous examinons la...
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The seminal study by Fama and MacBeth in 1973 initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate as to whether beta is a valid measure of risk was reanimated by Fama and French and subsequent studies. Rather than focusing on exogenous...
Persistent link: https://www.econbiz.de/10005471909
Using multiple equation Generalized Method of Moments (GMM) system estimation procedures and monthly data at the three maturity horizons of 6, 9 and 12 months, the paper explores whether conditional spreads between futures and spot rates on five contracts traded on LIFFE have a common...
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Using a Markov Switching Model, the hypothesis that <italic>ex post</italic> commercial sector risk premiums have stable mean values within a time-varying framework is investigated. The probabilities of shifting expected values and the transitional probabilities of remaining in a high (low)-risk state at each...
Persistent link: https://www.econbiz.de/10010975412
It is well known that the CAPM beta is not stable over time. We investigate the nature of the time-variation in betas using monthly Australian data from 1979 to 1994 for 23 sectors. We discuss beta estimates for sub-periods and tests of the statistical adequacy of the market model used to...
Persistent link: https://www.econbiz.de/10010748884