index, the estimated slope in the market model show strong switching behaviour. In these three securities the low risk state … is more persistent than the high-risk state. For each security we estimate the conditional probabilities that the … security is in the high (low) risk state given the market is in the high (low) volatility regime and show that this information …

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 …

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. …

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. …

A man is a key subject of economics and economic theory. “A man is irrational” - this opinion can be made from Allais … paradox, risk aversion and other well-known fundamental problems. For a long time, this opinion was a barrier to proper … solution of these problems and the development of the economic theory. A radically new approach has been proposed. It considers …

infringements. It gives promises for both solving fundamental problems of economic theory and creation of new directions and fields …

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 …

introduces a model of asymmetric information, that rationalizes our empirical findings. Different perceived risk makes foreign …