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The Constrainted Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth A.; … - Institute of Business and Economic Research (IBER), … - 1990
Persistent link: https://www.econbiz.de/10010843373
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Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM
Isa, Md; Hassan, Abu; Puah, Chin-Hong; Yong, Ying-Kiu - Volkswirtschaftliche Fakultät, … - 2008
This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for the period of January 1995 to December 2006. The test, using linear regression method, was carried out on four models: the standard CAPM model with constant beta (Model I), the...
Persistent link: https://www.econbiz.de/10005031389
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Chilean Stock Market Efficiency: A Dynamic Approach using Volatility Tests
Acuña, Andrés; Pinto, Cristián - Volkswirtschaftliche Fakultät, … - 2007
decisions. We analyze the observed and expected Chilean shares's volatility under an efficient stock market framework, in order …
Persistent link: https://www.econbiz.de/10005619423
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Evaluating company's performance using multiple discriminant analysis: the case of Shariah compliance companies
Dali, Nuradli Ridzwan Shah Mohd; Mudasir, Hamdi Hakeim; … - In: American Journal of Finance and Accounting 2 (2010) 2, pp. 143-154
There are many tools that can be used to measure/evaluate the performance of a company and one of the most popular tools is using the financial ratios. This paper will explore the use of a combination of two different techniques using the time series data of share and market prices collected...
Persistent link: https://www.econbiz.de/10008755388
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Introduction to Risk Parity and Budgeting
Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013
Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...
Persistent link: https://www.econbiz.de/10011259736
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The Volatility Effect: Lower Risk without Lower Return
Vliet, Pim van; Blitz, Blitz, D.C. - Erasmus Research Institute of Management (ERIM), … - 2007
We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread … of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this … volatility effect within the US, European and Japanese markets in isolation. Furthermore, we find that the volatility effect …
Persistent link: https://www.econbiz.de/10010731265
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Research & Development And Volatility Of Equity Returns In The French Market
Gharbi, Sami; Sahut, Jean-Michel; Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2014
This paper examines the link between research and development (R&D) and idiosyncratic volatility for a panel of large … idiosyncratic volatility higher. Our results show that R&D investment intensity should be considered as a determinant of the … idiosyncratic volatility and that R&D increases the riskiness of the firm. …
Persistent link: https://www.econbiz.de/10010754741
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Forward-Looking Beta Estimates:Evidence from an Emerging Market
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2008
Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas...
Persistent link: https://www.econbiz.de/10004961496
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The Changing Nature Of Market Risk
FRANZONI, Francesco
In the first three decades of CRSP data, value stocks have higher betas than growth stocks. Later on, the ranking is reversed and the gap in beta widens. What makes growth strategies nowadays bear more market risk than value strategies? What are the causes of the reversal in the ranking of...
Persistent link: https://www.econbiz.de/10005162950
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The Volatility Effect: Lower Risk without Lower Return
Blitz, D.C.; Vliet, P. van - Erasmus Research Institute of Management (ERIM), ERIM … - 2007
We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread … of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this … volatility effect within the US, European and Japanese markets in isolation. Furthermore, we find that the volatility effect …
Persistent link: https://www.econbiz.de/10005450948