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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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Koreksi Bias Koefisien Beta
Pasaribu, Rowland Bismark Fernando - Volkswirtschaftliche Fakultät, … - 2009
This study aimed to clarify the value of the bias beta stocks listed on the Indonesia Stock Exchange and make corrections to the bias value using Scholes and Williams, Dimson, and Fowler and Rorke. Results of this study indicate that the stock beta is the value of bias, besides the results...
Persistent link: https://www.econbiz.de/10009651409
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Validity of capital asset pricing model: evidence from Karachi stock exchange
Syed ali, Raza; Syed tehseen, jawaid; Imtiaz, arif; … - Volkswirtschaftliche Fakultät, … - 2011
applied to find the difference between actual and expected returns. Results show that capital asset pricing model (CAPM … that the investors should more focus on CAPM results for short term as compare to long term investments in KSE. …
Persistent link: https://www.econbiz.de/10009220664
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Product differentiation and systematic risk: theory and empirical evidence
Bazdresch, Santiago - Volkswirtschaftliche Fakultät, … - 2011
Firms producing differentiated products have high margins and therefore low risk. As a result firms invest more into developing differentiated products when they perceive risk is high. Higher risk also implies higher product skewness towards more differentiated products and therefore higher...
Persistent link: https://www.econbiz.de/10009397195
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Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology
Cayton, Peter Julian A.; Mapa, Dennis S. - Volkswirtschaftliche Fakultät, … - 2012
Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses. Value-at-risk is a standard method of forecasting possible future losses in...
Persistent link: https://www.econbiz.de/10009647299
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The determinants of the Harare Stock Exchange (HSE) market capitalisation
Ilmolelian, Peter - Volkswirtschaftliche Fakultät, … - 2005
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10005787110
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The Undervaluation of Distressed Company's Equity
Schmidt, Frederik - Volkswirtschaftliche Fakultät, … - 2009
In a simple firm value model we consider the impact of the insolvency probability on the valuation of equity and debt, which are assumed to be not publicly traded. For the case of a distressed company, which usually has high debt and low equity, we can show that the impact becomes increasingly...
Persistent link: https://www.econbiz.de/10005837082
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Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2005
, deductively derived from the CAPM by several authors and widely used in applied corporate finance, should therefore be dismissed. …
Persistent link: https://www.econbiz.de/10005616790
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A time-scale analysis of systematic risk: wavelet-based approach
Khalfaoui Rabeh, K; Boutahar Mohamed, B - Volkswirtschaftliche Fakultät, … - 2011
The paper studies the impact of different time-scales on the market risk of individual stock market returns and of a given portfolio in Paris Stock Market by applying the wavelet analysis. To investigate the scaling properties of stock market returns and the lead/lag relationship between them at...
Persistent link: https://www.econbiz.de/10009151117
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An empirical study of corporate bond pricing with unobserved capital structure dynamics.
Maclachlan, Iain C - Volkswirtschaftliche Fakultät, … - 2007
This work empirically examines six structural models of the term structure of credit risk spreads: Merton (1974), Longstaff & Schwartz (1995) (with and without stochastic interest rates), Leland & Toft (1996), Collin-Dufresne & Goldstein (2001), and a constant elasticity of variance model. The...
Persistent link: https://www.econbiz.de/10008833284