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 …

extended to include market risk measurements for n countries. Exploiting a selection matrix based on the cash accounting … return-risk attribution accounting framework is applied to monthly return data of Hong Kong, Indonesia, Japan, Malaysia, the … of the Asian currency crisis of July - December 1997. The USA and Germany are included as alternative low risk strategic …

risk into a systematic and a country (industry) specific component. Contrary to most other studies, we explicitly allow … measures of industry and country-specific risk of up to 33 percent. After correcting for this bias, we find that under the … benefits. Finally, our results indicate that the surge in industry risk at the end of the 1990s was partly (but not fully …

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading … issue for financial risk management in emerging markets. …

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 …

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower … coefficient of relative risk aversion. …

Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower … coefficient of relative risk aversion. …

aggregation. The extension of that literature to risk with intertemporally non-separable preferences now has become available in a …

other countries, hedge their consumption basket against ex-change rate risk, realize diversification effects and take … not only subject to currency risk and political risk, but there are many institu-tional constraints and barriers …