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The relevance of coarse thinking for investors' willingness to pay: An experimental study

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2010

for a risky asset in a laboratory experiment. We find that thinking-by-analogy has a strong influence when the assets in …

Persistent link: https://www.econbiz.de/10008636541

The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility

Karkowska, Renata - Volkswirtschaftliche Fakultät, … - 2013

Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on the level of market volatility. Particularly important are the growing share of the links between hedge funds and other financial institutions. In order to demonstrate the...

Persistent link: https://www.econbiz.de/10011112004

Conditions for turning the ex ante risk premium into an ex post redemption for EU government debt

Colignatus, Thomas - Volkswirtschaftliche Fakultät, … - 2011

Basel III classifies government debt as risk free while actual interest rates in the European Union (EU) show large differences not only because of liquidity but mainly because of the risk of default, as also reflected in credit default swaps. Curiously such debt defaults may not happen so that...

Persistent link: https://www.econbiz.de/10009372590

Overconfidence, risk aversion and (economic) behavior of individual traders in experimental asset markets

Michailova, Julija - Volkswirtschaftliche Fakultät, … - 2010

each of the asset markets, were sufficient to cause this effect. In the second part of experiment, post hoc assessment of … risk aversion was implemented in a sample of former participants of the asset market experiment (32 persons). The presented …

Persistent link: https://www.econbiz.de/10008694158

Capital Asset Pricing Model and Stochastic Volatility: A Case study of India

Fung, Ka Wai Terence; Demir, Ender; Zhou, Lu - Volkswirtschaftliche Fakultät, … - 2014

Bansal and Yaron (2004) demonstrate, by calibration, that the Consumption-Based Capital Asset Pricing Model (CCAPM) can be rescued by assuming that consumption growth rate follows a stochastic volatility model. They show that the conditional equity premium is a linear function of conditional...

Persistent link: https://www.econbiz.de/10011113628

Firm Value and the mis-use of the CAPM for valuation and decision making

Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2005

This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani … and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV. As a consequence, CAPM-minded agents … disequilibrium NPV for decision-making is deductively drawn from the CAPM, its use for both valuation and decision should be rejected. …

Persistent link: https://www.econbiz.de/10004980381

Size and liquidity effects in Nigeria: an industrial sector study

Hearn, Bruce - Volkswirtschaftliche Fakultät, … - 2013

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

Persistent link: https://www.econbiz.de/10011108128

The Fama French Model or the capital asset pricing model: international evidence

Alves, Paulo - Volkswirtschaftliche Fakultät, … - 2013

This research paper attempts to evaluate the benefits of using the Fama and French Model by comparing them with those resulting from the use of the Capital Asset Pricing Model. Local, International, and European Monetary Union functional forms were considered, in an attempt to raise the...

Persistent link: https://www.econbiz.de/10011108748

Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame

Shahzad, Syed Jawad Hussain; Zakaria, Muhammad; Raza, Naveed - Volkswirtschaftliche Fakultät, … - 2014

Asset Pricing Model (CAPM) under different data frequencies, time frames and indices. It is found that there is no …

Persistent link: https://www.econbiz.de/10011109401

Centre Rules the Markets

Alves, Paulo; Ferreira, Miguel - Volkswirtschaftliche Fakultät, … - 2008

In this paper we evaluate the impact of the European Monetary Union based on the Fama and French three-factor model. Our research shows that the models based on EMU factors present worse explanatory power than models based on local and international factors, although international factors do not...

Persistent link: https://www.econbiz.de/10011109448