Similar Search Results

The Fama French Model or the Capital Asset Pricing Model: International Evidence

Alves, Paulo - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 79-89

This research paper attempts to evaluate the benefits of using the Fama and French Model by comparing them with those resulting from the use of the Capital Asset Pricing Model. Local, International, and European Monetary Union functional forms were considered, in an attempt to raise the...

Persistent link: https://www.econbiz.de/10010938516

Centre Rules the Markets

Alves, Paulo; Ferreira, Miguel - Volkswirtschaftliche Fakultät, … - 2008

In this paper we evaluate the impact of the European Monetary Union based on the Fama and French three-factor model. Our research shows that the models based on EMU factors present worse explanatory power than models based on local and international factors, although international factors do not...

Persistent link: https://www.econbiz.de/10011109448

DATA MINING SOBRE EL BETA EN ESPAÑA

Rubio, Fernando - EconWPA - 2004

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …

Persistent link: https://www.econbiz.de/10005413097

Cashflow news, the value premium and an asset pricing view on European stock market integration

Nitschka, Thomas - Institut für Volkswirtschaftslehre, … - 2007

The decomposition of national CAPM market betas of European countries’ value and growth portfolio returns into cashflow …

Persistent link: https://www.econbiz.de/10005463544

Size and liquidity effects in Nigeria: an industrial sector study

Hearn, Bruce - Volkswirtschaftliche Fakultät, … - 2013

asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …

Persistent link: https://www.econbiz.de/10011108128

The application of the capital asset pricing model on the Croatian capital market

Tomić, Bojan - Volkswirtschaftliche Fakultät, … - 2013

The paper describes and analyzes the application of the capital asset pricing model (CAPM) and the single-index model … problem of applying the CAPM model is the market index with negative returns during the observation period. …

Persistent link: https://www.econbiz.de/10011110636

Validita modelu CAPM na akciovém trhu USA

Širůček, Martin; Šoba, Oldřich; Němeček, Jaroslav - Volkswirtschaftliche Fakultät, … - 2014

The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock … Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical … by using the model of Security Market Line (SML) verify the validity of CAPM model by assets pricing. According to Alfa …

Persistent link: https://www.econbiz.de/10011201277

ARE DOWNSIDE HIGHER ORDER CO-MOMENTS PRICED? : EVIDENCE FROM THE FRENCH MARKET

Hafsa, Houda; Hmaied, Dorra - In: The International Journal of Business and Finance Research 6 (2012) 1, pp. 65-81

This study examines the role of downside higher order co-moments in asset pricing models when stock returns are not normal. We test the effect of higher order downside co-moments using a data set of daily returns of Société des Bourses Françaises 250 Index stocks during the period 1987-2009....

Persistent link: https://www.econbiz.de/10011206087

Size and liquidity effects in Nigeria: an industrial sector study

Hearn, Bruce - In: Journal of Developing Areas 48 (2014) 3, pp. 1-30

asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …

Persistent link: https://www.econbiz.de/10011213044

REEXAMINATION OF DYNAMIC BETAINTERNATIONAL CAPM: A SUR WITH GARCH APPROACH

SETIAWAN, Kusdhianto - In: Review of Economic and Business Studies (2012) 10, pp. 105-127

, International Capital Asset Pricing Model (CAPM) is reinvestigated under Seemingly Unrelated Regression (SUR) and SUR with GARCH …-variance efficient under no restriction on short selling and borrowing at riskless rate. CAPM fits well only on ex-post SUR test, but it … is rejected on SUR-GARCH for both ex-ante and ex-post test. However, this paper found that CAPM could be applied for most …

Persistent link: https://www.econbiz.de/10010739307