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Capocci, Daniel - EconWPA - 2002

Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...

Persistent link: https://www.econbiz.de/10005134782

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

CONTRASTACION DE METODOLOGÍAS PARA EL CÁLCULO DE BETA DE MERCADO: EL CASO DE ESPAÑA

Rubio, Fernando - EconWPA - 2004

effectiveness of beta to explain the expected returns in the world of the CAPM. … 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 …

Persistent link: https://www.econbiz.de/10005561663

Het integraal kwantificeren van valutarisico’s

Haas, Ralph de - EconWPA - 2002

In dit artikel wordt ingegaan op het statistisch kwantificeren van valutarisico’s met behulp van meervoudige regressie-analyse. Centraal punt van deze methode is dat, teneinde een integrale kwantificering van valutarisico’s te bereiken, zowel het translatierisico als het economisch...

Persistent link: https://www.econbiz.de/10005561738

Galton's Error and the Under-Representation of Systematic Risk

LOS, CORNELIS A. - EconWPA - 2004

Our methodology of 'complete identification,' using simple algebraic geometry, throws new light on the continued commitment of Galton's Error in finance and the resulting misinformation of investors. Mutual funds conventionally advertise their relative systematic market risk, or 'betas,' to...

Persistent link: https://www.econbiz.de/10005134709

Relative Performance Evaluation Contracts and Asset Market Equilibrium

Kapur, Sandeep; Timmermann, Allan - EconWPA - 2004

We analyse the equilibrium consequences of performance-based contracts for fund managers. Managerial remuneration is tied to a fund's absolute performance and its performance relative to rival funds. Investors choose whether or not to delegate their investment to better-informed fund managers;...

Persistent link: https://www.econbiz.de/10005561719

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

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

A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs

Goswami, Gautam; Shrikhande, Milind; Wu, Liuren - EconWPA - 2002

We study the behavior of real exchange rates in a twocountry dynamic equilibrium model. In this model, consumers can only consume domestic goods but can invest costlessly in capital stocks of both countries. Nevertheless, transporting goods between the two countries is costly and, hence, the...

Persistent link: https://www.econbiz.de/10005076998

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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