Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra...

The need to develop securities market has, following the recent international financial crises, increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong interest in ensuring the stable growth of...

Risk exposure can be efficiently optimized in practical situations, using a new apporach to identification of investor's risk aversion.

We propose a quantum-like description of markets and economics. The approach has roots in the recently developed quantum game theory. Quantum Zeno paradoxes and noncomutative quantum mecanics are also discussed.

Recently, the continuous double auction, i.e. the trading mechanism used in the majority of the financial markets, is the subject of an extensive study. In the present paper, a model of the continuous double auction with the completely random flow of the limit orders is studied. The main result...

This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov-switching models. Different measures of the stance of monetary policy are adopted. Empirical evidence from monthly returns on the standard & Poor 500 (S&P 500) price index suggests that monetary...

We analyze and compare the intradaily patterns of two French and three American stocks with a special emphasis to the first trading hour (Presentation at the INSEEC Colloquium 2005)

El caso analiza al inversor internacional George Soros y su entorno. Se pretende mostrar una serie de operaciones financieras que reflejen sus estrategias de inversión. Adicionalmente, se pretende que los alumnos asuman la figura del Administrador de un HEDGE FUND, especializado en inversiones...

This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and...

En el campo de las Finanzas, uno de los tópicos de investigación más importantes en los últimos años, ha sido la Valuación de Activos de Capital. Esta pretende determinar los factores que explican la tasa de retorno de tales activos. El Capital Asset Pricing Model (CAPM) y el Arbitrage...