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Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening
Du, Jiangze; Chen, Xizhuo; Gong, Jincheng; Lin, Xiao; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3997-4019
Persistent link: https://www.econbiz.de/10014429264
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Stock market return and risk profile in the European banking sector
Pažický, Martin - In: International journal of financial innovation in … 2 (2018) 2, pp. 99-127
Persistent link: https://www.econbiz.de/10011999420
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Fundamental sources of risk in frontier equity markets
Ouma, Wycliffe Nduga - In: African review of economics and finance : AREF : the … 15 (2023) 2, pp. 142-161
Persistent link: https://www.econbiz.de/10014637380
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Is the Growth-Value Anomaly Related to the Asset Growth Anomaly?
Kot, Hung Wan - 2017
errors generate low returns and possess strikingly higher distress risk. Gross profitability affects the growth-value anomaly …
Persistent link: https://www.econbiz.de/10012964451
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Is the Growth-Value Anomaly Related to the Asset Growth Anomaly?
Kot, Hung Wan - 2016
errors generate low returns and possess strikingly higher distress risk. Gross profitability affects the growth-value anomaly …
Persistent link: https://www.econbiz.de/10012982614
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Risk Premium Factor Valuation Model for Calculating the Equity Market Risk Premium and Estimating S&P 500 Market Values
Hassett, Stephen D. - 2011
to valuation with a simple but new approach to estimating the Market or Equity Risk Premium (ERP) that produces very good … growth equation: P = E / (C – G). Rather than using a fixed Equity Risk Premium, the model employs a new approach for … estimating the Equity Risk Premium, called the Risk Premium Factor. Using the current risk free rate and some simplifying …
Persistent link: https://www.econbiz.de/10013134480
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Anomalies
Li, Erica X. N. - 2010
We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and quantitatively. Our central insight is that optimal investment is an important driving force of these anomalies. The model simultaneously reproduces procyclical equity issuance...
Persistent link: https://www.econbiz.de/10013149934
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Fundamental Anomalies
Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021
This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...
Persistent link: https://www.econbiz.de/10013245422
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Beta Estimation with Stock Return Outliers : The Case of U.S. Pharmaceutical Companies
Theodossiou, Alexandra K. - 2009
relies on the CAPM model to define the return risk premium, and the OLS method to estimate the beta risk coefficient required …. The risk of trusting the OLS beta is especially high when estimation must rely on a small sample …
Persistent link: https://www.econbiz.de/10013159450
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Private Capital : Expected Return and Risk, Asset Allocation
Verbiest, Eddy H. - 2022
Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …
Persistent link: https://www.econbiz.de/10014238291