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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005076992
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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 … predicts slightly higher discount rates than the CAPM. Empirical evidence supporting the CAPM cannot reject the RVT at a …
Persistent link: https://www.econbiz.de/10005076993
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A survey on risk-return analysis
Galagedera, Don U.A. - EconWPA - 2004
conditional on time-varying volatility. …
Persistent link: https://www.econbiz.de/10005561561
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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005561735
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An Interview with Franco Modigliani
Barnett, William A.; Solow, Robert - EconWPA - 2004
These are the page proofs of the interview of Franco Modigliani by William A. Barnett and Robert Solow. The interview was published in the journal, Macroeconomic Dynamics, in 2000. Since William Barnett is one of the two interviewers, he now is permitted, by Cambridge University Press, to make...
Persistent link: https://www.econbiz.de/10005125026
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Introduction to Market Microstructure
EKINCI, Cumhur - EconWPA - 2004
Persistent link: https://www.econbiz.de/10005134945
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Equity Premium and Consumption Sensitivity When the Consumer- Investor Allows for Unfavorable Circumstances
Chow, Gregory C. - EconWPA - 2003
of the permanent income hypothesis.The implications of the theory agree with empirical results reported here and …
Persistent link: https://www.econbiz.de/10005076751
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The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework
Altay, Erdinc - EconWPA - 2003
This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...
Persistent link: https://www.econbiz.de/10005076970
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Realized Volatility and Asymmetries in the A.S.E. Returns
Thomakos, Dimitrios D.; Koubouros, Michail S. - EconWPA - 2005
volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series … properties of the realized volatility series and on assessing the connection between realized volatility and returns. In … particular, we find strong evidence on the existence of a volatility feedback effect and the leverage effect, and on the …
Persistent link: https://www.econbiz.de/10005077019
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Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data
Galagedera, Don U.A.; Maharaj, Elizabeth A. - EconWPA - 2004
This paper investigates association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multi-scaling- a technique that decomposes a given return series into different timescales enabling investigation at different return intervals....
Persistent link: https://www.econbiz.de/10005125060