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The conditional pricing of systematic and idiosyncratic risk in the UK equity market
Cotter, John; O'Sullivan, Niall; Rossi, Francesco - 2014
Persistent link: https://www.econbiz.de/10010343568
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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
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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 crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of …
Persistent link: https://www.econbiz.de/10011526799
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Validity of Capital Asset Pricing Model & Stability of Systematic Risk (Beta) : An Empirical Study on Indian Stock Market
maji, krishnendu - 2010
The capital asset pricing model (CAPM) is the standard risk-return model used by most academicians and practitioners …. The underlying concept of CAPM is that investors are rewarded for only that portion of risk which is not diversifiable … (January 2005 to December 2008) for the analysis. The studies provide evidence against the CAPM hypothesis. And finally, the …
Persistent link: https://www.econbiz.de/10013136045
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Does momentum trading generate extra downside risk?
Dobrynskaja, V. V. - In: The Quarterly Journal of Finance : QJF 12 (2022) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10013367660
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Beta and returns revisited : evidence from the German stock market
Elsas, Ralf - 1999
Persistent link: https://www.econbiz.de/10013444867
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Comparing the market risk premia forecasts in JSE and NYSE equity markets
Oikonomikou, Leoni Eleni - 2016 - Corrected version: March 2016
This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...
Persistent link: https://www.econbiz.de/10011454082
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Time-Varying Behavior of Stock Prices, Volatility Dynamics and Beta Risk in Industry Sector Indices of the Shanghai Stock Exchange
Koutmos, Dimitrios - 2014
This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the Shanghai Stock Exchange. It finds that market beta risk is priced in the time-series movements of stock prices and responds positively to rises in non-diversifiable risk. The asset...
Persistent link: https://www.econbiz.de/10013053876
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Volatility Risk and the Value Premium : Evidence from the French Stock Market
Arısoy, Yakup Eser - 2016
This paper documents that systematic volatility risk is an important factor that drives the value premium observed in the French stock market. Using returns on at-the-money straddles written on the CAC 40 index as a proxy for systematic volatility risk, I document significant differences between...
Persistent link: https://www.econbiz.de/10013008746
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630