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Fundamental driver of fund style drift
Galloppo, Giuseppe; Trovato, Giovanni - In: The journal of asset management 18 (2017) 2, pp. 99-123
Persistent link: https://www.econbiz.de/10011694987
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The stable long-run CAPM and the cross-section of expected returns
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/10010295722
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10010295747
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Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse
Stehle, Richard; Schulz, Anja; Schröder, Michael; … - 2003
Dieses Papier untersucht, inwieweit Multifaktormodelle nach Fama/French (1993) am deutschen Aktienmarkt die zeitliche Streuung von Renditen abbilden und Portfolio-Renditen im Querschnitt erklären können. Analog zu vergleichbar angelegten Studien am US-amerikanischen, kanadischen und britischen...
Persistent link: https://www.econbiz.de/10010297296
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Environmentally oriented energy policy and stock returns: an empirical analysis
Oberndorfer, Ulrich; Ziegler, Andreas - 2006
This paper analyzes the effect of environmental regulation on stock returns (as a measure of economic performance) for German energy corporations. By using event study methodology, we consider the last minute victory of the acting government in the 2002 German federal elections to the Lower...
Persistent link: https://www.econbiz.de/10010297850
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Der Einfluss ökologischer und sozialer Nachhaltigkeit auf den Shareholder Value europäischer Aktiengesellschaften
Schröder, Michael; Rennings, Klaus; Ziegler, Andreas - 2002
Dieses Papier betrachtet den Effekt der Umwelt- und Sozialperformance europäischer Unternehmen auf deren Shareholder Value. Der Shareholder Value wird dabei mit der durchschnittlichen monatlichen Aktienrendite zwischen 1996 und 2001 operationalisiert. Die Studie basiert auf zweistufigen...
Persistent link: https://www.econbiz.de/10010298089
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Realized beta: Persistence and predictability
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004
emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that …
Persistent link: https://www.econbiz.de/10010298288
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The Information Content and Redistribution Effects of State and Municipal Rating Changes in Mexico
Mendoza-Velázquez, Alfonso - 2009
State and Municipal governments on bond returns in Mexico. By employing a Capital Asset Pricing Model (CAPM) structure for …
Persistent link: https://www.econbiz.de/10010298598
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...
Persistent link: https://www.econbiz.de/10010307494
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Analysts' dividend forecasts, portfolio selection, and market risk premia
Breuer, Wolfgang; Feilke, Franziska; Gürtler, Marc - 2007
The most relevant practical impediment to an application of the Markowitz portfolio selection approach is the problem of estimating return moments, in particular return expectations. We analyze the consequences of using return estimates implied by analysts' dividend forecasts under the explicit...
Persistent link: https://www.econbiz.de/10010307943