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Pasaribu, Rowland Bismark - 2017

This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...

Persistent link: https://www.econbiz.de/10012942864

An Econometric Panel-Midas Model of Asset Returns in the Brazilian Stock Market

Moura Costa da Silva, Aline; de Medeiros, Otavio Ribeiro - 2018

The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design … estimated using the MIDAS (Mixed Data Sampling) regression methodology, which supports estimation of regressions with variables …

Persistent link: https://www.econbiz.de/10014112120

The Intertemporal Relation between Expected Returns and Conditional Correlations between Precious Metals and the Stock Market

Sakemoto, Ryuta - 2018

This study explores whether conditional correlations between precious metals and stock markets impact upon expected returns on precious metals. The empirical evidence presents that there is no significant trade–off between conditional correlations and expected returns. This study reveals that...

Persistent link: https://www.econbiz.de/10012919487

Chapter 19 Asset prices, consumption, and the business cycle

Campbell, John Y. - In: Handbook of macroeconomics : volume 1, part C, (pp. 1231-1303). 1999

This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which...

Persistent link: https://www.econbiz.de/10014024221

Test of the Fama-French three-factor model in Crotia

Dolinar, Denis - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 101-112

comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average …

Persistent link: https://www.econbiz.de/10009787020

Testing the CAPM for the Brazilian stock market using multivariate GARCH between 1995 and 2012

Godeiro, Lucas Lúcio; Silva, Cesar R. da; Rodrigues, … - In: Journal of finance and investment analysis 2 (2013) 2, pp. 15-39

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in …. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for …

Persistent link: https://www.econbiz.de/10009746028

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

market price of risk. We show empirically that a conditional CAPM that accounts for time variation in equity nonlinearity …

Persistent link: https://www.econbiz.de/10012910108

Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange

Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220

still not clear. Poland is the most economically developed country in Central and Eastern Europe. A thorough analysis is … of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency … ratios, which were computed using the CAPM, Fama–French and Carhart models. The empirical study described in the article …

Persistent link: https://www.econbiz.de/10012303197

Five Objections Against Using a Size Premium When Estimating the Required Return of Capital with the Capital Asset Pricing Model

Prat, Ramon - 2016

Adding a size-premium to the CAPM is not an uncommon resort in small companies valuations. The objective of the premium … price. Nevertheless, the use of a premium compromises the economic and statistical basis which sustain the CAPM. I present …

Persistent link: https://www.econbiz.de/10012981738

The Investor-Base Hypothesis of Stock Return Volatility : Empirical Evidence

Jankensgård, Håkan - 2016

A conjecture in the literature holds that a large and diversified investor base leads to lower volatility by improving the quality of the price signal. In this paper this hypothesis is examined using unique Swedish ownership data. The data does not support the conjecture. Instead, volatility...

Persistent link: https://www.econbiz.de/10013004842