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The Cost of Equity for Global Banks : A CAPM Perspective from 1990 to 2009

King, Michael R. - 2013

1990-2009. This cost is estimated using the single-factor capital asset pricing model (CAPM), where expected stock returns …-free rates over this period, and (ii) a decline in the sensitivity of bank stock returns to market risk (the CAPM beta) in all … returns using the CAPM …

Persistent link: https://www.econbiz.de/10013095634

Discussion of Economic Benefits of Adopting IFRS or USGAAP - Has the Expected Cost of Equity Capital Really Decreased?

Schmidt PhD, Jacob H - 2023

In the context of increasing regulation and the introduction of harmonized accounting standards, the issue of costs and benefits of changes in accounting standards have been discussed by policy makers, market participants and companies. While it is widely assumed that the harmonisation in...

Persistent link: https://www.econbiz.de/10014349270

Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt

Schneider, Sebastian - 2001

Persistent link: https://www.econbiz.de/10001530439

Stress testing German banks against a global cost-of-capital shock

Düllmann, Klaus; Kick, Thomas - 2012

This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...

Persistent link: https://www.econbiz.de/10009509091

Stress Testing German Banks Against a Global Cost-of-Capital Shock

Düllmann, Klaus - 2016

Persistent link: https://www.econbiz.de/10012988830

Further Evidence on the Strategic Timing of Earnings News : Joint Analysis of Weekdays and Times of Day

Michaely, Roni - 2016

Using combinations of weekdays and times of day (before, during, and after trading hours) of earnings announcements, we examine whether managers attempt to strategically time these announcements. We document that the worst earnings news is announced on Friday evening and find robust evidence...

Persistent link: https://www.econbiz.de/10013004152

Accounting-Based Risk Measurement - Evidence for the German Market

Mehring, Oliver - 2022

accounting-based cost of equity. In contrast to the cost of equity produced by the CAPM, a significant positive correlation with …

Persistent link: https://www.econbiz.de/10013301438

Market Reaction to and Valuation of IFRS Reconciliation Adjustments : First Evidence from the UK

Horton, Joanne; Serafeim, George - 2013

This paper investigates whether there is market reaction to and value-relevance of information contained in the mandatory transitional documents required by IFRS 1 (2005). These documents detail the reconciliation adjustments necessary to a firm's previously reported UK GAAP accounts to achieve...

Persistent link: https://www.econbiz.de/10014056555

Active Fixed Income Illusions

Brooks, Jordan - 2020

Over the past 20 years, active fixed income (FI) managers have tended to deliver returns in excess of their benchmarks. This has generated a popular notion that active investing in fixed income markets is ‘easy'. Our aim is to assess the veracity of that notion. Across a broad set of popular...

Persistent link: https://www.econbiz.de/10012846697

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