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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

Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model

Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119

Persistent link: https://www.econbiz.de/10011333691

Does beta explain global equity market volatility : some empirical evidence

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

Persistent link: https://www.econbiz.de/10009770247

Time-varying beta: a boundedly rational equilibrium approach

Chiarella, Carl; Dieci, Roberto; He, Xue-zhong - In: Journal of evolutionary economics : JEE 23 (2013) 3, pp. 609-639

Persistent link: https://www.econbiz.de/10009773913

The state-dependent time variation in the value premium

Sharaiha, Yazid M.; Johansson, Kristoffer Kittilsen - In: The journal of asset management 15 (2014) 2, pp. 150-161

Persistent link: https://www.econbiz.de/10010384768

Multifactor risk loadings and abnormal returns under uncertainty and learning

Salotti, Simone; Trecroci, Carmine - In: The quarterly review of economics and finance : journal … 54 (2014) 3, pp. 393-404

Persistent link: https://www.econbiz.de/10010492632

Regression-based estimation of dynamic asset pricing models

Adrian, Tobias; Crump, Richard K.; Mönch, Emanuel - In: Journal of financial economics 118 (2015) 2, pp. 211-244

Persistent link: https://www.econbiz.de/10011480393

Asset pricing with time-varying betas for stock traded on S&P 500

Messis, Petros; Zapranis, Achilleas - In: Applied economics 46 (2014) 34/36, pp. 4508-4518

Persistent link: https://www.econbiz.de/10010462694

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