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DATA MINING SOBRE EL BETA EN ESPAÑA
Rubio, Fernando - EconWPA - 2004
Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …
Persistent link: https://www.econbiz.de/10005413097
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CAPITAL ASSET PRICING MODEL (CAPM) Y ARBITRAGE PRICING THEORY (APT): UNA NOTA TÉCNICA
Rubio, Fernando - EconWPA - 2004
Capital Asset Pricing Model (CAPM) y el Arbitrage Pricing Theory (APT), los dos modelos de valuación de activos de capital … realidad. Además, se presentan aplicaciones prácticas del CAPM y un análisis de las principales diferencias entre ambos modelos. …
Persistent link: https://www.econbiz.de/10005413116
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CONTRASTACION DE METODOLOGÍAS PARA EL CÁLCULO DE BETA DE MERCADO: EL CASO DE ESPAÑA
Rubio, Fernando - EconWPA - 2004
diferencias en los betas obtenidos de cara a la utilización del CAPM. En conclusión, al parecer la metodología no incidiría en el … en el esquema del CAPM. ABSTRACT: The aim of this investigation is to contrast the two methodologies that have been … verify possible differences in the obtained betas with a view toward the utilization of the CAPM. In conclusion, it seems …
Persistent link: https://www.econbiz.de/10005561663
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Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha - EconWPA - 2005
This paper investigates the time-varying behavior of systematic risk for eighteen pan-European industry portfolios. Using weekly data over the period 1987-2005, three different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t- GARCH(1,1)...
Persistent link: https://www.econbiz.de/10005076972
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DURACION EFECTIVA DE BONOS PREPAGABLES. Una nota técnica
Rubio, Fernando - EconWPA - 2004
Este documento de trabajo analiza el Modelo de Valoración de Opciones basado en la Estructura de Tasas de Interés de Salomon Brothers. Con ello se calcula la duración efectiva de bonos prepagables.
Persistent link: https://www.econbiz.de/10005076983
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Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
Mergner, Sascha; Bulla, Jan - EconWPA - 2005
This paper investigates the time-varying behavior of systematic risk for eighteen pan-European sectors. Using weekly data over the period 1987- 2005, four different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t-GARCH(1,1) model, two Kalman...
Persistent link: https://www.econbiz.de/10005077020
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Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media
Schuster, Thomas - EconWPA - 2003
A widely held belief in financial economics suggests that stock prices always adequately reflect all available information. Price movements away from fundamentals are assumed to occur only infrequently, if at all. „False“ prices are supposed to be corrected by the counter-actions of...
Persistent link: https://www.econbiz.de/10005134753
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FACTORES DE RIESGO NO SISTEMATICO EN LA EXPLICACION DE LOS RETORNOS DE LAS ACCIONES EN EL MERCADO BURSATIL CHILENO
Rubio, Fernando - EconWPA - 2004
El presente trabajo pretende determinar si es posible desarrollar una estrategia de inversión exitosa en el mercado bursátil usando factores de riesgo no sistemático, tales como aquellos postulados por el análisis fundamental y el técnico. El trabajo se circunscribe así en el área de...
Persistent link: https://www.econbiz.de/10005134781
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Intellectual property and the valuation of biotechnology
Malki, Elli - EconWPA - 1997
The role of intellectual property (IP) as an important value determinant is widely recognized. This article tries to quantify the role of IP in companies valuation by comparing a sample of biotechnology companies (46 companies included in the Genetic Engineering News Index:GEN-Dex) to the...
Persistent link: https://www.econbiz.de/10005134870
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Time-Changed Levy Processes and Option Pricing
Carr, Peter; Wu, Liuren - EconWPA - 2002
As is well known, the classic Black­Scholes option pricing model assumes that returns follow Brownian motion. It is widely recognized that return processes differ from this benchmark in at least three important ways. First, asset prices jump, leading to non­normal return innovations. Second,...
Persistent link: https://www.econbiz.de/10005134892