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Capital market integration : evidence from the G7 countries
Morelli, David - In: Applied financial economics 19 (2009) 13/15, pp. 1043-1057
This article examines whether the capital markets of the G7 countries are integrated. Capital market integration is examined under the joint hypothesis of an international multifactor asset pricing model. International factors are extracted from a world portfolio using both maximum likelihood...
Persistent link: https://www.econbiz.de/10003885998
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Optimal market indices using value-at-risk : a first empirical approach for three stock markets
Andreu Sugranyes, Jordi; Torra, Salvador - In: Applied financial economics 19 (2009) 13/15, pp. 1163-1170
calculate Capital Asset Pricing Model (CAPM), few articles have studied how we should build, weigh or incorporate Modern …
Persistent link: https://www.econbiz.de/10003886015
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Idiosyncratic volatility and stock returns : a cross country analysis
Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281
Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully …
Persistent link: https://www.econbiz.de/10003886161
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Pragmatic problems in using beta for managerial finance applications
Aktas, Elvan; McDaniel, William R. - In: Applied financial economics 19 (2009) 16/18, pp. 1345-1354
. Our purpose is to explore a broad sample to demonstrate the frequency of cases where Capital Asset Pricing Model (CAPM … modifications to CAPM or other asset pricing models. …
Persistent link: https://www.econbiz.de/10003886173
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Realized betas and the cross-section of expected returns
Morana, Claudio - In: Applied financial economics 19 (2009) 16/18, pp. 1371-1381
Asset Pricing Model (CAPM) is found, where implementation is carried out in the realized beta framework proposed in this …
Persistent link: https://www.econbiz.de/10003886197
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Pricing of liquidity risk : empirical evidence from Finland
Vaihekoski, Mika - In: Applied financial economics 19 (2009) 19/21, pp. 1547-1557
This study investigates the pricing of liquidity risk in stock market using conditional Asset Pricing Models (APMs). The estimation is conducted in the Generalized Method of Moment (GMM) framework with a price of risk specification. The main interest is to find out whether liquidity is priced as...
Persistent link: https://www.econbiz.de/10003904294
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Estimates of the ICAPM with regime-switching betas : evidence from four pacific rim economies
Chen, Shyh-wei; Huang, Nai-chuan - In: Applied financial economics 17 (2007) 4/6, pp. 313-327
Persistent link: https://www.econbiz.de/10003446018
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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
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Trading futures spreads : an application of correlation and threshold filters
Dunis, C. L.; Laws, Jason; Evans, Ben - In: Applied financial economics 16 (2006) 12, pp. 903-914
Persistent link: https://www.econbiz.de/10003377844
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Do consumption-based asset pricing models explain return predictability?
Marquering, Wessel A. - In: Applied financial economics 16 (2006) 14, pp. 1019-1027
Persistent link: https://www.econbiz.de/10003377861