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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
The present study investigates the possible existence of a systematic relation between beta and excess-return for … portfolios of Turkish equities. In the process, no systematic relation is found between beta and realized portfolio excessreturn …-return and beta, conditioned upon the sign of realized market-portfolio excess-return. Moreover, an even stronger systematic …
Persistent link: https://www.econbiz.de/10011450716
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CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
Da, Zhi; Guo, Re-Jin; Jagannathan, Ravi - In: Journal of Financial Economics 103 (2012) 1, pp. 204-220
We argue that the empirical evidence against the capital asset pricing model (CAPM) based on stock returns does not … returns on stocks need not satisfy the CAPM even when expected returns of projects do. We provide empirical support for our … arguments by developing a method for estimating firms' project CAPM betas and project returns. Our findings justify the …
Persistent link: https://www.econbiz.de/10010702354
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A simple method for extracting the probability of default from American put option prices
Chang, Bo Young; Orosi, Greg - 2020 - Last updated: April 20, 2020
In this paper, we present a novel method to extract the risk-neutral probability of default of a firm from American put option prices. Building on the idea of a default corridor proposed in Carr and Wu (2011), we derive a parsimonious closed-form formula for American put option prices from which...
Persistent link: https://www.econbiz.de/10012216226
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The impact of government debt supply on bond market liquidity: An empirical analysis of the Canadian market
Gao, Jeffrey; Jin, Jianjian; Thompson, Jacob - 2018
This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is...
Persistent link: https://www.econbiz.de/10012014490
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Assessing the impact of demand shocks on the US term premium
Barnett, Russell; Zmitrowicz, Konrad - 2018
During and after the Great Recession of 2008-09, conventional monetary policy in the United States and many other advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks implemented large-scale asset purchase (LSAP) programs, more...
Persistent link: https://www.econbiz.de/10012029820
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The impact of government debt supply on bond market liquidity : an empirical analysis of the Canadian market
Gao, Jeffrey; Jin, Jianjian; Thompson, Jacob - 2018
This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is...
Persistent link: https://www.econbiz.de/10011878695
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Assessing the impact of demand shocks on the US term premium
Barnett, Russell; Zmitrowicz, Konrad - 2018
During and after the Great Recession of 2008-09, conventional monetary policy in the United States and many other advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks implemented large-scale asset purchase (LSAP) programs, more...
Persistent link: https://www.econbiz.de/10011873794
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What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
Alquist, Ron; Bauer, Gregory; Rios, Antonio Diez de los - Bank of Canada - 2014
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...
Persistent link: https://www.econbiz.de/10010960394
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Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries
Juan Pablo Domínguez H. - In: Economía 32 (2007) 23, pp. 63-90
Expected returns and risk assessment are important issues when evaluating capital investment projects. We use VARX-MGARCH models and asset pricing theory to model the expected rate of return in Brazil, Colombia, Mexico and Peru for late 2006. The main objective of this paper is to present an...
Persistent link: https://www.econbiz.de/10004994430
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Explaining the Beta, Size and Value Effects Under the Relative Value Theory
Alb, Silviu Iulian - EconWPA - 2004
. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant … cumulative returns. These returns depend not only on beta but also on the probability of survival and the growth rate. The … derived equations explain the beta, size and value effects previously documented by several authors. Surprisingly, the RVT …
Persistent link: https://www.econbiz.de/10005076993