Narrow search
Showing 1 - 10 of 336
Cover Image
Idiosyncratic volatility and stock returns : a cross country analysis
Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281
Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the … Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully …) estimated conditional idiosyncratic volatility of individual stocks across 36 countries from 1973 to 2007, we find that …
Persistent link: https://www.econbiz.de/10003886161
Cover Image
Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework
Batten, Jonathan A.; In, Francis Haeuck - In: Applied financial economics 16 (2006) 12, pp. 881-892
Persistent link: https://www.econbiz.de/10003377842
Cover Image
Investor perceptions and volatility within a risk-return framework
Berger, Dave - In: Applied financial economics 20 (2010) 13/15, pp. 1003-1010
Persistent link: https://www.econbiz.de/10009010335
Cover Image
Time variation of CAPM betas across market volatility regimes
Abdymomunov, Azamat; Morley, James C. - In: Applied financial economics 21 (2011) 19/21, pp. 1463-1478
Persistent link: https://www.econbiz.de/10009356092
Cover Image
Implied risk aversion and volatility risk premiums
Yoon, Sun-joong; Byun, Suk Joon - In: Applied financial economics 22 (2012) 1/3, pp. 59-70
Persistent link: https://www.econbiz.de/10009419575
Cover Image
Time-varying betas of sectoral returns to market returns and exchange rate movements
Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168
Persistent link: https://www.econbiz.de/10010204788
Cover Image
Extreme returns in emerging stock markets : evidence of a MAX effect in South Korea
Nartea, Gilbert V.; Wu, Ji; Liu, Hong Tao - In: Applied financial economics 24 (2014) 4/6, pp. 425-435
Persistent link: https://www.econbiz.de/10010401960
Cover Image
The Black-Litterman model : the definition of views based on volatility forecasts
Duqi, Andi; Franci, Leonardo; Torluccio, Giuseppe - In: Applied financial economics 24 (2014) 19/21, pp. 1285-1296
Persistent link: https://www.econbiz.de/10010460181
Cover Image
ATM networks and cash usage
Snellman, Heli; Virén, Matti E. E. - In: Applied financial economics 19 (2009) 10/12, pp. 841-851
This article deals with the issue of how the market structure in banking affects the choice of the means of payment. In particular, the demand for cash is analysed from this point of view. The analysis is based on a simple spatial transactions model in which banks' optimization problem is...
Persistent link: https://www.econbiz.de/10003856648
Cover Image
Examining volatility spillover in Asian REIT markets
Lin, Pin-te - In: Applied financial economics 23 (2013) 22/24, pp. 1701-1705
Persistent link: https://www.econbiz.de/10010336274