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Market Risk in Demutualised Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas

Worthington, Andrew; Higgs, Helen - School of Economics and Finance, Business School - 2005

This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange …-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed … significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0 …

Persistent link: https://www.econbiz.de/10005416577

Conditionally parametric fits for CAPM betas

Abberger, Klaus - 2004

The CAPM model assumes stock returns to be a linear function of the market return. However, there is considerable evidence that the beta stability assumption commonly used when estimating the model is invalid. Nonparametric regression methods are used to examine the stability of beta...

Persistent link: https://www.econbiz.de/10010263422

Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence

Kurach, Radoslaw - In: Contemporary Economics 7 (2013) 2, pp. 55-66

The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

Persistent link: https://www.econbiz.de/10010436072

The Time-Varying Systematic Risk of Carry Trade Strategies

Soderlind, Paul; Ranaldo, Angelo; Christiansen, Charlotte - School of Economics and Political Science, Universität … - 2009

This paper suggests a factor model for carry trade strategies where the regression coefficients are allowed to depend on market volatility and liquidity. Empirical results on daily data from 1995 to 2008 show that a typical carry trade strategy has much higher exposure to the stock market and...

Persistent link: https://www.econbiz.de/10005036272