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Market Risk in Demutualized Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas
Worthington, Andrew; Higgs, Helen - In: Global Economic Review 35 (2006) 3, pp. 239-257
This article examines market risk in four demutualized and self-listed stock exchanges: the Australian Stock Exchange … concerns that demutualized and self-listed exchanges entail new market risks that merit regulatory intervention, the betas of … the exchanges, with mean time-varying betas of 0.56 for the Deutsche Borse, 0.66 for the London Stock Exchange, 0.78 for …
Persistent link: https://www.econbiz.de/10005482388
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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...
Persistent link: https://www.econbiz.de/10009770247
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Regression-based estimation of dynamic asset pricing models
Adrian, Tobias; Crump, Richard K.; Mönch, Emanuel - In: Journal of financial economics 118 (2015) 2, pp. 211-244
Persistent link: https://www.econbiz.de/10011480393
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High-frequency factor models and regressions
Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
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Comovement revisited
Chen, Honghui; Singal, Vijay; Whitelaw, Robert F. - In: Journal of financial economics 121 (2016) 3, pp. 624-644
Persistent link: https://www.econbiz.de/10011590868
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Shareholder activism and equity price reactions
King, Timothy; Bozos, Konstantinos; Koutmos, Dimitrios - In: Economics letters 160 (2017), pp. 100-104
Persistent link: https://www.econbiz.de/10011903814
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New evidence on conditional factor models
Cooper, Ilan; Maio, Paulo - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 1975-2016
Persistent link: https://www.econbiz.de/10012140056
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Unconditional tests of linear asset pricing models with time-varying betas
Zhou, Ji; Paseka, Alexander - In: The financial review : the official publication of the … 52 (2017) 3, pp. 373-404
Persistent link: https://www.econbiz.de/10011734604
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Stock price reaction to profit warnings : the role of time-varying betas
Yin, Shuxing; Mazouz, Khelifa; Benamraoui, Abdelfahid; … - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 67-93
Persistent link: https://www.econbiz.de/10011979095
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Time-varying beta: a boundedly rational equilibrium approach
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - In: Journal of Evolutionary Economics 23 (2013) 3, pp. 609-639
The conditional CAPM with time-varying betas has been widely used to explain the cross-section of asset returns. However, most of the literature on time-varying beta is motivated by econometric estimation using various latent risk factors rather than explicit modelling of the stochastic...
Persistent link: https://www.econbiz.de/10010849038