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Analysis of UAE Bank Stocks
Rao, Ananth - EconWPA - 2003
general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing … and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The …
Persistent link: https://www.econbiz.de/10005413135
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News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media
Schuster, Thomas - EconWPA - 2003
Numerous empirical studies have demonstrated that asset prices react rapidly, if at all, to news published in the mass media. In many cases, the information has been discounted and prices have already moved upon primary publication through news wires, press releases or firm announcements. Any...
Persistent link: https://www.econbiz.de/10005561573
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Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution
LOS, CORNELIS A. - EconWPA - 2004
In an earlier paper (Los, 1998a), the exact and complete return attribution framework of Singer and Karnosky (1995) was extended to include market risk measurements for n countries. Exploiting a selection matrix based on the cash accounting identities, the resulting degenerate portfolio choice...
Persistent link: https://www.econbiz.de/10005125061
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Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media
Schuster, Thomas - EconWPA - 2003
The business media play an active role in influencing stock prices. Statistically significant excess returns at the time of the publication of stock recommendations have been documented many times. Frequently these abnormal gains begin to accumulate long before the publication date. In most...
Persistent link: https://www.econbiz.de/10005134740
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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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Liquidation Triggers and the Valuation of Equity and Debt
Galai, Dan; Raviv, Alon; Wiener, Zvi - EconWPA - 2003
Net-worth covenants, as introduced by Black and Cox (1976), provide the firm’s bondholders with the right to force reorganization or liquidation if the value of the firm falls below a certain threshold. In the event of default, however, many bankruptcy codes stipulate an automatic stay of...
Persistent link: https://www.econbiz.de/10005561605
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LA INFORMACION CONTABLE Y LA VALUACION DE ACTIVOS DE CAPITAL EN EL SECTOR DE INVERSIONES CHILENO
Rubio, Fernando - EconWPA - 2004
Este trabajo pretende, utilizando una versión modificada del modelo de crecimiento continuo de Higgins para la valuación de activos de capital, obtener evidencia en cuanto a la relevancia de la información contable en la valuación del valor de mercado del patrimonio en la industria de...
Persistent link: https://www.econbiz.de/10005134899
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A survey on risk-return analysis
Galagedera, Don U.A. - EconWPA - 2004
This paper provides a review of the main features of asset pricing models. The review includes single-factor and multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models conditional on time-varying volatility.
Persistent link: https://www.econbiz.de/10005561561
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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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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