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Capital asset pricing model testing at Warsaw Stock Exchange : are family businesses the remedy for economic recessions?

Lipiec, Jacek - In: International Journal of Financial Studies : open … 2 (2014) 3, pp. 266-279

In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the …

Persistent link: https://www.econbiz.de/10010470522

An analysis of the relation between return and beta for portfolios of Turkish equities

Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8

of realized market-portfolio excessreturn, with the estimation of the security market plane (SMP) model. The study has … the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …

Persistent link: https://www.econbiz.de/10011450716

Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

Persistent link: https://www.econbiz.de/10011410917

Idiosyncratic volatility puzzle : the role of assets' interconnections

Panzica, Roberto Calogero - 2018 - This version: August 8, 2018

The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed on the network based on Granger causality test have lower expected...

Persistent link: https://www.econbiz.de/10011893131

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

Home Bias and Expected Returns : A Structural Approach

Wallmeier, Martin; Iseli, Christoph - 2022

We study the effect of the home bias on international asset pricing by extending the core-satellite approach of active asset allocation to an equilibrium analysis. In this framework, investors combine a common core portfolio with an active investment in their home asset. In equilibrium, the core...

Persistent link: https://www.econbiz.de/10013405489

Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model without factors, but with a continuum of securities...

Persistent link: https://www.econbiz.de/10012421289

Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?

Maiti, Moinak - In: Future Business Journal 5 (2019) 5, pp. 1-12

The present study focused on one of the important South Asian nations-Sri Lanka-to examine the role of idiosyncratic volatility in asset prices. A four-factor model with idiosyncratic volatility was designed for capturing the market, size, value and idiosyncratic risk yields better than Fama and...

Persistent link: https://www.econbiz.de/10012137461

Is There An Equity Duration Premium?

Walter, Dominik; Weber, Rüdiger - 2022

Equity duration is a measure of discount-rate sensitivity that is driven by both, stock-specific cash-flow timing and stock-specific discount-rate levels. Established measures of equity duration using market-price information derive their predictive power for returns from using market-implied...

Persistent link: https://www.econbiz.de/10013404700

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against … evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper … reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …

Persistent link: https://www.econbiz.de/10012237439