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Application of Chow, Cusum and rolling window in testing stability of systematic risk of companies listed in WIG-ESG in 2019-2022

Mikołajek-Gocejna, Magdalena - In: Journal of banking and financial economics 20 (2023), pp. 1-29

The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...

Persistent link: https://www.econbiz.de/10014515083

Assessing the extent of exchange rate risk pricing in equity markets : emerging versus developed economies

Bonga-Bonga, Lumengo; Mpoha, Salifya - In: African journal of economic and management studies 16 (2025) 1, pp. 148-159

Persistent link: https://www.econbiz.de/10015414818

Chapter 15 Anomalies and market efficiency

Schwert, G. William - 2003

Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or inadequacies in the underlying asset-pricing model. After they are documented and analyzed in the academic...

Persistent link: https://www.econbiz.de/10014023856

Testing the accruals anomaly based on the speed of price adjustment

Choy, Siu Kai; Lobo, Gerald J.; Tan, Yongxian - In: The European journal of finance 28 (2022) 16, pp. 1664-1684

Persistent link: https://www.econbiz.de/10013532256

Mispricing and risk premia in currency markets

Bartram, Söhnke M.; Djuranovik, Leslie; Garratt, Anthony; … - 2023

Persistent link: https://www.econbiz.de/10014390295

Beyond Fama-French factors : alpha from short-term signals

Blitz, David; Hanauer, Matthias; Honarvar, Iman; … - In: Financial analysts journal : FAJ 79 (2023) 4, pp. 96-117

Persistent link: https://www.econbiz.de/10014427369

What drives the distress risk-return puzzle? : a perspective on limits of arbitrage

Sha, Yezhou; Bu, Ziwen; Wang, Zilong - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3574-3592

Persistent link: https://www.econbiz.de/10014429152

The other month effect : a re-examination of the "other January" anomaly

Darrat, Ali F.; Li, Bin; Chung, Richard - In: Review of Pacific Basin financial markets and policies 16 (2013) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10010233331

Macroeconomic factors and company value in the context of the Ohlson residual income valuation model : empirical findings from Greece

Vergos, Konstantinos; Christopoulos, Apostolos G.; … - In: International journal of sustainable economies … 2 (2013) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10010243601

Empirical asset pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller

Campbell, John Y. - In: The Scandinavian journal of economics 116 (2014) 3, pp. 593-634

Persistent link: https://www.econbiz.de/10010421869