Singer and Karnosky's (1995) exact and complete return attribution framework does not account for risk, since it … extend their exact accounting framework to include market risk measurements for n countries. The resulting n^2 x n^2 strategy … risk matrix exactly decomposes into a tensor sum of the n x n fundamental market risk matrices. Since the strategy risk …

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 …

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. …

and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The … general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing …

and better corporate governance mechanism reduces the risk of these companies. …

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. …

paradox, risk aversion and other well-known fundamental problems. For a long time, this opinion was a barrier to proper …