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La nouvelle finance et la gestion des portefeuilles
Aftalion, Florin - 2008 - 3. éd.
Persistent link: https://www.econbiz.de/10003654279
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Beta Risk and Regime Shift in Market Volatility
Shami, Roland; Galagedera, Don U.A. - EconWPA - 2004
In this paper, we relate the returns in the thirty securities in the Dow Jones index to regime shifts in stock market volatility. We apply a Markov switching process of order one to market volatility and examine the variation in the securities' returns in different volatility regimes. We test...
Persistent link: https://www.econbiz.de/10005134927
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Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities
Galagedera, Don U.A.; Shami, Roland - EconWPA - 2004
In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...
Persistent link: https://www.econbiz.de/10005413049
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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005076992
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An Analysis of Hedge Fund Performance
Capocci, Daniel - EconWPA - 2002
Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...
Persistent link: https://www.econbiz.de/10005134782
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DATA MINING SOBRE EL BETA EN ESPAÑA
Rubio, Fernando - EconWPA - 2004
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 …
Persistent link: https://www.econbiz.de/10005413097
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CAPITAL ASSET PRICING MODEL (CAPM) Y ARBITRAGE PRICING THEORY (APT): UNA NOTA TÉCNICA
Rubio, Fernando - EconWPA - 2004
Capital Asset Pricing Model (CAPM) y el Arbitrage Pricing Theory (APT), los dos modelos de valuación de activos de capital … realidad. Además, se presentan aplicaciones prácticas del CAPM y un análisis de las principales diferencias entre ambos modelos. …
Persistent link: https://www.econbiz.de/10005413116
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Analysis of UAE Bank Stocks
Rao, Ananth - EconWPA - 2003
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 …
Persistent link: https://www.econbiz.de/10005413135
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A survey on risk-return analysis
Galagedera, Don U.A. - EconWPA - 2004
This paper provides a review of the main features of asset pricing models. The review includes single-factor and multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models conditional on time-varying volatility.
Persistent link: https://www.econbiz.de/10005561561
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CONTRASTACION DE METODOLOGÍAS PARA EL CÁLCULO DE BETA DE MERCADO: EL CASO DE ESPAÑA
Rubio, Fernando - EconWPA - 2004
diferencias en los betas obtenidos de cara a la utilización del CAPM. En conclusión, al parecer la metodología no incidiría en el … en el esquema del CAPM. ABSTRACT: The aim of this investigation is to contrast the two methodologies that have been … verify possible differences in the obtained betas with a view toward the utilization of the CAPM. In conclusion, it seems …
Persistent link: https://www.econbiz.de/10005561663