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  • Search: subject_exact:"Beta risk estimator"
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Year of publication
Subjects
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Beta risk 499 Betafaktor 499 CAPM 225 Theorie 131 Theory 131 USA 123 United States 123 Estimation 115 Schätzung 115 Capital income 99 Kapitaleinkommen 99 Aktienmarkt 60 Stock market 58 Deutschland 57 Germany 57 Portfolio selection 48 Portfolio-Management 48 Börsenkurs 47 Share price 47 Volatility 46 Volatilität 46 Risikoprämie 40 Risk premium 40 Risk 39 Cost of capital 38 Kapitalkosten 38 Risiko 38 Welt 27 World 27 Firm valuation 22 Unternehmensbewertung 22 Australia 19 Australien 19 Financial market 19 Finanzmarkt 19 Großbritannien 19 Time series analysis 19 United Kingdom 19 Zeitreihenanalyse 19 ARCH model 18
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Online availability
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Free 66 Undetermined 10
Type of publication
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Article 360 Book / Working Paper 139
Type of publication (narrower categories)
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Article in journal 321 Aufsatz in Zeitschriften 321 Graue Literatur 110 Non-commercial literature 110 Arbeitspapier 101 Working Paper 101 Article in book 25 Aufsatz im Buch 25 Dissertation 23 Hochschulschrift 23 Thesis 23 Collection of articles written by one author 6 Sammlung 6 Commentary 5 Kommentar 5 Forschungsbericht 3 Bibliographie enthalten 1 Bibliography included 1 Case study 1 Company information 1 Fallstudie 1 Firmeninformation 1 Survey 1 Übersichtsarbeit 1
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Language
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English 432 German 63 French 1 Hungarian 1 Italian 1 Spanish 1
Persons
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Brooks, Robert D. 15 Schwetzler, Bernhard 15 Faff, Robert W. 14 Lahmann, Alexander 13 Hammer, Benjamin 11 Campbell, John Y. 7 Franzoni, Francesco 6 Gollier, Christian 6 Vuolteenaho, Tuomo 6 Wu, Jin 6 Andersen, Torben G. 5 Bollerslev, Tim 5 Diebold, Francis X. 5 Tang, Gordon Y. N. 5 Zhang, Lu 5 Adrian, Tobias 4 Arnold, Sven 4 Dörschell, Andreas 4 Franken, Lars 4 Galagedera, Don U. A. 4 Guvenen, Fatih 4 Knif, Johan 4 Knoll, Leonhard 4 Kogan, Leonid 4 Lunde, Asger 4 Schulhofer-Wohl, Sam 4 Schulte, Jörn 4 Song, Jae 4 Yogo, Motohiro 4 Akdeniz, Levent 3 Altay-Salih, Aslihan 3 Choudhry, Taufiq 3 Cooper, Ian 3 Fama, Eugene F. 3 Fraser, Patricia 3 French, Kenneth Ronald 3 Gleißner, Werner 3 Hansen, Peter Reinhard 3 Herwartz, Helmut 3 Huang, Ho-chuan 3
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Institutions
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Rodney L. White Center for Financial Research 2 Centre for Actuarial Studies 1 Christian-Albrechts-Universität zu Kiel 1 Eric Cuvillier <Firma> 1 Federal Reserve Bank of New York 1 Harvard Institute of Economic Research 1 Helmut-Schmidt-Universität 1 Leibniz Universität Hannover 1 Springer Fachmedien Wiesbaden GmbH 1 Technische Universität Braunschweig 1 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 1 University of Chicago / Center for Research in Security Prices 1 Verlagshaus Monsenstein & Vannerdat OHG 1 Weierstraß-Institut für Angewandte Analysis und Stochastik 1
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Published in...
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Applied financial economics 16 Corporate finance : Finanzierung, Kapitalmarkt, Bewertung, Mergers & Acquisitions 15 Working paper 15 Corporate finance 13 The review of financial studies 11 The journal of finance : the journal of the American Finance Association 10 Journal of multinational financial management 9 Applied economics 8 The European journal of finance 8 Journal of international financial markets, institutions & money 7 International review of financial analysis 6 Journal of emerging market finance 6 Journal of financial and quantitative analysis : JFQA 6 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 6 Finanz-Betrieb : FB : Zeitschrift für Unternehmensfinanzierung und Finanzmanagement 5 Global finance journal 5 International review of economics & finance : IREF 5 Journal of banking & finance 5 Journal of empirical finance 5 Journal of financial economics 5 Journal of international money and finance 5 Research in finance 5 Working papers 5 European financial management : the journal of the European Financial Management Association 4 Journal of economics and business 4 Pacific-Basin finance journal 4 Review of quantitative finance and accounting 4 American business review 3 Australian economic papers 3 CESifo working papers 3 Discussion paper / Centre for Economic Policy Research 3 Discussion paper series 3 International journal of business 3 Managerial finance 3 Research paper series 3 Review of financial economics : RFE 3 The American economic review 3 The journal of asset management 3 Working paper / Department of Econometrics and Business Statistics, Monash University 3 Working paper series / School of Economics and Finance, Curtin University of Technology 3
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Sources
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ECONIS (ZBW) 499
Showing 1 - 50 of 499
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Worker betas : five facts about systematic earnings risk
Guvenen, Fatih; Schulhofer-Wohl, Sam; Song, Jae; Yogo, … - 2017
The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro, labor, and financial economics. Using administrative data, we document how the aggregate risk exposure of individual earnings to GDP and stock returns varies across gender,...
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Worker betas : five facts about systematic earnings risk
Guvenen, Fatih; Schulhofer-Wohl, Sam; Song, Jae; Yogo, … - 2017
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Worker betas : five facts about systematic earnings risk
Guvenen, Fatih; Schulhofer-Wohl, Sam; Song, Jae; Yogo, … - 2017
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Quantile relationships between standard, diffusion and jump betas across Japanese banks
Chowdhury, Biplob; Jeyasreedharan, Nagaratnam; Dungey, … - 2017
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Price of long-run temperature shifts in capital markets
Bansal, Ravi; Kiku, Dana; Ochoa, Marcelo - 2016
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Back to the future betas : empirical asset pricing of US and Southeast Asian markets
French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13
The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery...
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Der Betafaktor : theoretische und empirische Befunde nach einem halben Jahrhundert CAPM
Ziemer, Franziska - 2018 - 1. Auflage 2018
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Market beta and factor risk premia in financial markets
Hollstein, Fabian - 2015
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An international analysis of time varying beta risk in listed real estate securities
Morri, Giacomo; Romito, Federico - In: Journal of property investment & finance 35 (2017) 2, pp. 116-134
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Best practice for cost-of-capital estimates
Levi, Yaron; Welch, Ivo - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 2, pp. 427-464
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Short-term interest rates and stock market anomalies
Maio, Paulo; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 3, pp. 927-961
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On the demand for high-beta stocks : evidence from mutual funds
Christoffersen, Susan E. K.; Simutin, Mikhail - In: The review of financial studies 30 (2017) 8, pp. 2596-2620
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Kapitalkostenstudie 2016: Wertmessung - quo vadis?
Castedello, Marc; Schöniger, Stefan - In: Corporate finance : Finanzierung, Kapitalmarkt, … 8 (2017) 1/2, pp. 52-54
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Multiples und Beta-Faktoren für deutsche Branchen
Hammer, Benjamin; Schwetzler, Bernhard; Lahmann, Alexander - In: Corporate finance : Finanzierung, Kapitalmarkt, … 8 (2017) 3/4, pp. 117-121
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"Smart Beta" zwischen Fakt und Fiktion : wie smart sind alternative Indizes wirklich?
Doering, Philipp; Kaltofen, Daniel - In: Corporate finance : Finanzierung, Kapitalmarkt, … 8 (2017) 5/6, pp. 148-154
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Der Betafaktor und die Praxis : Anmerkungen zu Muschallik/Rowoldt, CF 2016 S. 363-368 und 418-424
Knoll, Leonhard - In: Corporate finance : Finanzierung, Kapitalmarkt, … 8 (2017) 5/6, pp. 182-184
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Multiples und Beta-Faktoren für deutsche Branchen
Hammer, Benjamin; Schwetzler, Bernhard; Lahmann, Alexander - In: Corporate finance : Finanzierung, Kapitalmarkt, … 8 (2017) 5/6, pp. 185-189
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Der Betafaktor und die Praxis : Stellungnahme zu den Anmerkungen von Leonhard Knoll
Muschallik, Marco; Rowoldt, Maximilian Peer - In: Corporate finance : Finanzierung, Kapitalmarkt, … 8 (2017) 5/6, pp. 184
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Worker betas : five facts about systematic earnings risk
Guvenen, Fatih; Schulhofer-Wohl, Sam; Song, Jae; Yogo, … - In: The American economic review 107 (2017) 5, pp. 398-403
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Time series models with an EGB2 conditional distribution
Caivano, Michele; Harvey, Andrew C. - 2014
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Factor structure in commodity futures return and volatility
Christoffersen, Peter F.; Lunde, Asger; Olesen, Kasper V. - 2014
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Two EGARCH models and one fat tail
Caivano, Michele; Harvey, Andrew C. - 2014
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Short-sale constraints and financial market outcomes
Rottke, Simon - 2016
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A bottom-up approach to unlevered risk in a financial and managerial perspective
Renzi, Antonio; Sancetta, Giuseppe; Orlando, Beatrice - In: Italy in a European context : research in business, …, (pp. 124-153). 2016
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The risk anomaly tradeoff of leverage
Baker, Malcolm; Hoeyer, Mathias F.; Wurgler, Jeffrey - 2016
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Does it pay to bet against beta? : on the conditional performance of the beta anomaly
Cederburg, Scott; O'Doherty, Michael - In: The journal of finance : the journal of the American … 71 (2016) 2, pp. 737-774
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Dissecting anomalies with a five-factor model
Fama, Eugene F.; French, Kenneth Ronald - In: The review of financial studies 29 (2016) 1, pp. 69-103
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Weekday effects in weekly beta factors
Vössing, Sabrina Christine - 2016 - 1. Auflage
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Kapitalkosten und Multiplikatoren für die Unternehmensbewertung : Unternehmens- und Branchenanalysen 2016/2017
Franken, Lars; Schulte, Jörn; Brunner, Alexander; … - 2016 - 4., erweiterte Auflage, mit regelmäßiger Daten-Aktualisierung der wichtigsten Kapitalmarktdaten (bis einschließlich zum 30.09.2017)
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Motive für Unternehmenstransaktionen und der Einfluss auf das Unternehmensrisiko
Helms, Nils - In: Management in Kreditinstituten und Unternehmen - ein …, (pp. 395-424). 2016
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Estimating security betas using prior information based on firm fundamentals
Cosemans, Mathijs; Frehen, Rik; Schotman, Peter C.; … - In: The review of financial studies 29 (2016) 4, pp. 1072-1112
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An assessment of the real development prospects of the EU 28 frontier equity markets
Pop, C.; Bozdog, D.; Calugaru, A.; Georgescu, M. A. - In: Handbook of frontier markets : the African, European …, (pp. 117-146). 2016
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Speculative betas
Hong, Harrison G.; Sraer, David - In: The journal of finance : the journal of the American … 71 (2016) 5, pp. 2095-2144
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Risk reduction in a time series momentum trading strategy
Hong, KiHoon; Park, KiBong; Lee, Yong Woong - In: The journal of risk model validation 10 (2016) 4, pp. 55-70
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Estimating time-varying beta coefficients : an empirical study of US and ASEAN portfolios
French, Jordan - In: Research in finance 32 (2016), pp. 19-34
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Size, value, and momentum risk in the cross-section of average returns and volatility
Lindaas, Knut F.; Simlai, Prodosh - In: Research in finance 32 (2016), pp. 109-144
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Asset pricing with uncertain betas : a long-term perspective
Gollier, Christian - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
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The perils of performance measurement in the German mutual-fund industry
Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013
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Estimation of equity betas in an emerging stock market : the Nigerian case
Nwude, E. Chuke - In: Asian Journal of Empirical Research 3 (2013) 6, pp. 725-737
This paper addresses a very important topic in corporate finance that is not well treated in many developing stock markets with particular reference to Nigeria. Beta is a major component of the capital Asset Pricing Model (CAPM) used in the determination of the required rate of return on equity...
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Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - 2012
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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
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Asset pricing with uncertain betas : a long-term perspective
Gollier, Christian - 2012
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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...
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Time-varying betas of the banking sector
Adam, Tomáš; Benecká, Soňa; Jánský, Ivo - 2012
This paper analyses the evolution of systematic risk of banking industries in eight advanced countries using weekly data from 1990 to 2012. The estimation of time-varying betas is done by means of a Bayesian state space model with stochastic volatility, whose results are contrasted with those of...
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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
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Asset pricing with uncertain betas : a long-term perspective
Gollier, Christian - 2012
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Exchange rate risk exposure and the value of European firms
Parlapiano, Fabio; Alexeev, Vitali - 2012
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Duplik zu „Preise, Werte und Arbitragefreiheit"
Gleißner, Werner - In: Corporate finance : Finanzierung, Kapitalmarkt, … 6 (2015) 5, pp. 182
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Preise, Werte und Arbitragefreiheit : Erwiderung auf Gleißner
Kruschwitz, Lutz; Löffler, Andreas - In: Corporate finance : Finanzierung, Kapitalmarkt, … 6 (2015) 5, pp. 176-181
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Preis ist nicht Wert und Bewertung nicht Preisschätzung : verdeutlicht an der Kritik am Total Beta ; zugleich Stellungnahme zu Kruschwitz/Löffler, CF 2014 S, 263 (267)
Gleißner, Werner - In: Corporate finance : Finanzierung, Kapitalmarkt, … 6 (2015) 5, pp. 167-175
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