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Guermat, Cherif - In: Journal of Banking & Finance 46 (2014) C, pp. 31-42

It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are … has led many to express serious doubt on the testability of the CAPM. In this paper I show that the CAPM is indeed … the CAPM. The first step uses a simple combination of the coefficients of determination from both Ordinary Least Squares …

Persistent link: https://www.econbiz.de/10010907096

Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices

Perron, Pierre; Chun, Sungju; Vodounou, Cosme - In: Journal of Empirical Finance 20 (2013) C, pp. 42-62

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The discrete time representation of the...

Persistent link: https://www.econbiz.de/10011042120

Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

Persistent link: https://www.econbiz.de/10011258000

Эконометрический анализ динамики российских паевых инвестиционных фондов в кризисный и посткризисный периоды

Zaytsev, Alexander - Volkswirtschaftliche Fakultät, … - 2011

Using estimated CAPM-models portfolio risks of Russian mutual funds are analyzed. Two questions are considered: how did …

Persistent link: https://www.econbiz.de/10011260907

Recent Developments in Quantitative Finance: An Overview

Chang, Chia-Lin; Hu, Shing-Yang; Yu, Shih-Ti - Volkswirtschaftliche Fakultät, … - 2014

Quantitative finance combines mathematical finance, financial statistics, financial econometrics and empirical finance to provide a solid quantitative foundation for the analysis of financial issues. The purpose of this special issue on “Recent developments in quantitative finance” is to...

Persistent link: https://www.econbiz.de/10011113634

How past market movements affect correlation and volatility

Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of International Money and Finance 50 (2015) C, pp. 78-107

The influence of past stock price movements on correlations and volatilities is essential for understanding diversification and contagion in financial markets. We develop a model that makes the influence of past returns, aggregated into driving factors for correlations and volatilities,...

Persistent link: https://www.econbiz.de/10011116929

Finance at Fields

Grasselli, Matheus R (contributor); … - World Scientific Publishing Co. Pte. Ltd.

This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in...

Persistent link: https://www.econbiz.de/10011122719

Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2015

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic...

Persistent link: https://www.econbiz.de/10011207886

Maximum likelihood estimation of the equity premium

Wachter, Jessica A.; Avdis, Efstathios - National Bureau of Economic Research (NBER) - 2013

The equity premium, namely the expected return on the aggregate stock market less the government bill rate, is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the...

Persistent link: https://www.econbiz.de/10010796711

Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?

Aye, Goodness C.; Deale, Frederick W.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

This article evaluates the predictability of the equity risk premium in the United States by comparing the individual and complementary predictive power of macroeconomic variables which are popular in academia and technical indicators which are widely used by practitioners in the market using a...

Persistent link: https://www.econbiz.de/10010775490