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Is the CAPM dead or alive in the Brazilian market?
Yoshino, Joe Akira; Santos, Edson Bastos e - In: Review of applied economics 12 (2016) 1/2, pp. 127-142
Persistent link: https://www.econbiz.de/10011672514
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The smallest stocks are not just smaller : global evidence
Moor, Lieven de; Sercu, Piet - In: The European journal of finance 21 (2015) 1/3, pp. 51-70
Persistent link: https://www.econbiz.de/10010519976
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Gene Fama’s Impact : a quantitative analysis
Schwert, George William; Stulz, René M. - 2014
This paper provides a quantitative perspective on Gene Fama's influence on the scholarly community. He has more than …,792. Gene Fama has published highly-cited papers in six decades. His most impactful theoretical work took place earlier than his … most impactful empirical work. While Gene Fama's most impactful empirical asset pricing work was published in the Journal …
Persistent link: https://www.econbiz.de/10010483663
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Mandelbrot, Fama and the emergence of econophysics
Salazar, Boris - In: Cuadernos de economía 35 (2016) 69, pp. 637-662
Persistent link: https://www.econbiz.de/10011649334
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Fama : the politics of talk and reputation in medieval Europe
Fenster, Thelma S. (contributor) - 2003 - 1. print.
Persistent link: https://www.econbiz.de/10004893014
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Pattern classification on specifics of public sector investments and budgeting principles
Bernat, Lukáš; Michlová, Radka; Mitwallyová, Helena - In: International journal of economic sciences : IJoES 12 (2023) 1, pp. 32-54
Persistent link: https://www.econbiz.de/10014288304
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Efficient market theorists in the early nineteenth century : the Earl of Lauderdale (1759-1839) and Yamagata Bantō (1748-1821)
Takatsuki, Yasuo; Hisamatsu, Taro - 2022
Persistent link: https://www.econbiz.de/10013531073
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SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH
Peñaranda, Francisco; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004
We propose new approaches to test for spanning in the return and stochastic discount factor mean-variance frontiers, which assess if either the centred or uncentred mean and cost representing portfolios are shared by the initial and extended sets of assets. We show that our proposed tests are...
Persistent link: https://www.econbiz.de/10005827073
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Asset pricing implications of benchmarking: A two-factor CAPM
Gómez, Juan-Pedro; Zapatero, Fernando - Department of Economics and Business, Universitat … - 2001
In this paper we consider the equilibrium effects of an institutional investor whose performance is benchmarked to an index. In a partial equilibrium setting, the objective of the institutional investor is modeled as the maximization of expected utility (an increasing and concave function, in...
Persistent link: https://www.econbiz.de/10005827505
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Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach
Peñaranda, Francisco; Sentana, Enrique - Department of Economics and Business, Universitat … - 2008
We propose new spanning tests that assess if the initial and additional assets share the economically meaningful cost and mean representing portfolios. We prove their asymptotic equivalence to existing tests under local alternatives. We also show that unlike two-step or iterated procedures,...
Persistent link: https://www.econbiz.de/10005827516