asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …

The paper describes and analyzes the application of the capital asset pricing model (CAPM) and the single-index model …. This model shows through the analysis techniques used to estimate the systematic risk per share compared to the market … portfolio. Also, the model quantifies the environment in which a company and its stocks exist, expressing it as risk, or a beta …

This paper deals with the use of the CAPM for capital budgeting purposes. Four different measures are deductively drawn …

Using data from 2003-2007, we calculate the systematic risk and cost of equity for firms listed on USE; Preliminary …

While the empirical literature has often documented a “default anomaly”, i.e. a negative relation between default risk … and stock returns, standard theory suggests that default risk should be priced in the cross-section. In this paper, we … components; we measure the systematic part as the sensitivity of the physical PD to an aggregate measure of default risk. While …

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 correlation patterns and thus in their contribution to aggregate risk …

momentum therefore serve as proxy composite macroeconomic risk factors. Conditional and unconditional cross-sectional asset …

studies on cross-sectional risk pricing …

A rational approach to investing is manifested through the realization of a higher yield for a given level of risk, and … the realization of a given yield by accepting lower risk levels. Through the investment process, the question that is … case, the European capital market is presented as an optimal risk portfolio created from ten selected EU equity indices of …