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Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM

Isa, Md; Hassan, Abu; Puah, Chin-Hong; Yong, Ying-Kiu - Volkswirtschaftliche Fakultät, … - 2008

This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for … standard CAPM model with constant beta (Model I), the standard CAPM model with time-varying beta (Model II), the CAPM model … conditional on segregating positive and negative market risk premiums with constant beta (Model III), as well as the CAPM model …

Persistent link: https://www.econbiz.de/10005031389

Evolution of security transaction tax in India

Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2012

Securities Transaction Taxes have received much attention over the last few years with countries and global organizations trying to control the level of speculations, especially since the Global Financial Crisis. This study examines the impact of an increase in the level of securities...

Persistent link: https://www.econbiz.de/10011107269

The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data

Bicchetti, David; Maystre, Nicolas - Volkswirtschaftliche Fakultät, … - 2012

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

Persistent link: https://www.econbiz.de/10011107807

Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I

Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2005

notions of disequilibrium NPV and economic profit are not equivalent if the standard NPV+CAPM is employed: NPV-minded agents … standard notion of disequilibrium (present) value, deductively derived from the CAPM by several authors, should therefore be …

Persistent link: https://www.econbiz.de/10011108248

U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters

Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

Persistent link: https://www.econbiz.de/10011109053

Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US

Lee, King Fuei - Volkswirtschaftliche Fakultät, … - 2011

This paper investigates the relationship between demographic changes and the long-run returns of dividend-yield investment strategies in the US. We hypothesise that in a world where components of wealth are mentally treated as being non-fungible, the preference for high dividend-paying stocks by...

Persistent link: https://www.econbiz.de/10011109097

Collateral choice and the fundamental theorem of asset pricing

Manuel, Luis; Muñoz, García - Volkswirtschaftliche Fakultät, … - 2012

In the classical quantitative finance literature it is assumed that there is a risk free rate at which hedgers can borrow and lend in the dynamic replication process of financial derivatives. In such a framework, under complete market conditions and absence of arbitrage opportunities, for a...

Persistent link: https://www.econbiz.de/10011109288

Fiancial Innovation, Structuring and Risk Transfer

Vanini, Paolo - Volkswirtschaftliche Fakultät, … - 2012

Industry, Portfolio Theory Swaps and Financial Markets: IRS, TRS, ALM, ISDA Retail Structured Products Real Estate Asset Class …

Persistent link: https://www.econbiz.de/10011109326

CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions.

Muñoz, García; Manuel, Luis - Volkswirtschaftliche Fakultät, … - 2013

In this paper we explore the components that should be incorporated in the price of an uncolateralized derivative. We assume that one counterparty will act as the derivatives hedger while the other will act as the investor. Therefore, the derivative's price will reflect the replication costs...

Persistent link: https://www.econbiz.de/10011110003

The dynamic relation between short sellers, option traders, and aggregate returns

Delisle, R. Jared; Lee, Bong Soo; Mauck, Nathan - Volkswirtschaftliche Fakultät, … - 2012

Contrary to existing event studies around option listing introductions, we show short selling and options trading are complements, rather than substitutes. Further, while a plethora of literature demonstrates both short sellers and option traders are informed traders, relatively little is known...

Persistent link: https://www.econbiz.de/10011110088