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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
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Mutual influence of exchange assets: analysis and estimation
Kozmenko, Serhiy; Plastun, Oleksiy - Volkswirtschaftliche Fakultät, … - 2011
This paper examines the dynamic of prices for different exchange assets in relation to the dynamics of other exchange instruments. The analysis shows that in certain periods there exists a strong connection between the exchange assets(direct or indirect) but it is rather unstable. The...
Persistent link: https://www.econbiz.de/10011260013
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Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011
We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...
Persistent link: https://www.econbiz.de/10011261127
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EMU sovereign spreads and macroeconomic news
Arru, Daniela; Iacovoni, Davide; Monteforte, Libero; … - Volkswirtschaftliche Fakultät, … - 2012
We investigate the relationship between macroeconomic news and sovereign spreads in the euro area at weekly frequency. Our focus lies in the role played by macroeconomic announcements. To this aim we augment a standard GARCH model with a synthetic measure for macroeconomic surprises obtained by...
Persistent link: https://www.econbiz.de/10009654204
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Measuring market liquidity: an introductory survey
Gabrielsen, Alexandros; Marzo, Massimiliano; Zagaglia, Paolo - Volkswirtschaftliche Fakultät, … - 2011
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous...
Persistent link: https://www.econbiz.de/10009397162
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Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania
Stefanescu, Razvan; Dumitriu, Ramona - Volkswirtschaftliche Fakultät, … - 2010
Very often the crisis induces changes in the linkages between the financial variables. This paper explores, through a Vector Autoregression model and Granger Causality tests, the impact of the global crisis on the relation between the Romanian stock prices and the interest rates. We found this...
Persistent link: https://www.econbiz.de/10009495131
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Using sentiment to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647230
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
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Integration and contagion in US housing markets
Cotter, John; Gabriel, Stuart; Roll, Richard - Volkswirtschaftliche Fakultät, … - 2011
This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a multi-factor model of U.S. housing market integration. It then identifies...
Persistent link: https://www.econbiz.de/10009367964
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Olive: a simple method for estimating betas when factors are measured with error.
Meng, Ginger; Hu, Gang; Bai, Jushan - Volkswirtschaftliche Fakultät, … - 2007
We propose a simple and intuitive method for estimating betas when factors are measured with error: ordinary least squares instrumental variable estimator (OLIVE). OLIVE performs well when the number of instruments becomes large, while the performance of conventional instrumental variable...
Persistent link: https://www.econbiz.de/10009367968