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Asset pricing and default risk
Breig, Christoph - 2011
Persistent link: https://www.econbiz.de/10008779050
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Time-varying market price of risk in the CAPM : approaches, empirical evidence and implications
Hafner, Christian M.; Herwartz, Helmut - In: Finance : revue de l'Association Française de Finance 19 (1998) 2, pp. 93-112
Persistent link: https://www.econbiz.de/10001476791
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Das CAPM mit zeitabhängigen Beta-Faktoren : eine empirische Untersuchung am deutschen Kapitalmarkt
Linnenbrink, Karin - 1998 - 1. Aufl.
Persistent link: https://www.econbiz.de/10000672629
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Time varying market price of risk in the CAPM approaches, empirical evidence and implications
Hafner, Christian M.; Herwartz, Helmut - 1999
Persistent link: https://www.econbiz.de/10001377689
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Zur Relevanz von CAPM-Anomalien für den deutschen Aktienmarkt
Stock, Detlev - 2002
Persistent link: https://www.econbiz.de/10001566990
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Irrational exuberance reconsidered : the cross section of stock returns
Külpmann, Mathias - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001755223
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The stable long-run CAPM and the cross-section of expected returns
Kurz-Kim, Jeong-Ryeol; Kurz-Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10001650360
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Multiscale systematic risk
Gençay, Ramazan; Selçuk, Faruk; Whitcher, Brandon - In: Journal of international money and finance 24 (2005) 1, pp. 55-70
Persistent link: https://www.econbiz.de/10002610542
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Time-varying market price of risk in the CAPM : approaches, empirical evidence and implications
Hafner, Christian M.; Herwartz, Helmut - 1999
functions of the risk premia. -- impulse response analysis ; Market price of risk ; Multivariate GARCH-Models ; CAPM …
Persistent link: https://www.econbiz.de/10009579172
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The stable long-run CAPM and the cross-section of expected returns
Kurz-Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10011431316