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Risque De Défaut Et Valeur Des Actions : Grand Oublié Ou Révolution Culturelle? (Risk of Default and Value of Shares: A Cultural Revolution?)

Clere, Roland - 2018

forecasts in case of survival, with the CAPM. At the same time, the CAPM and the default risk largely justify observed bond …

Persistent link: https://www.econbiz.de/10012932220

After Modigliani, Miller and Hamada; A New Way to Estimate Cost of Capital? (Après Modigliani, Miller et Hamada : une nouvelle façon d’estimer le coût du capital?)

Clere, Roland - 2017

English Abstract: In this article we discuss the impact of financial debt on shareholder value using a new approach that aims: i) to explain the effect that leverage from debt has on a stock's systematic risk, or what we shall call here “the systematic cost of leverage,” and ii) to account...

Persistent link: https://www.econbiz.de/10012967463

A la recherche des facteurs déterminants de l'intégration internationale des marchés boursiers : une analyse sur données de panel

Arouri, Mohamed - In: Economie appliquée : archives de l'Institut de … 59 (2006) 4, pp. 105-141

Persistent link: https://www.econbiz.de/10003404615

Tests du CAPM pour le marché des actions suisses

Isakov, Dušan - 1997

Persistent link: https://www.econbiz.de/10000972392

Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...

Persistent link: https://www.econbiz.de/10005100629

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

Persistent link: https://www.econbiz.de/10005100677

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including … dans le contexte du modèle du CAPM (Capital Asset Pricing Model), permettent de considérer diverses classes de …

Persistent link: https://www.econbiz.de/10005100885