Similar Search Results

Incomplete markets, Transaction Costs and Liquidity Effects.

Jouini, E.; Koehl, P.F.; Touzi, N. - 1995

Persistent link: https://www.econbiz.de/10005641003

Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration

Balvers, Ronald J.; Wu, Yangru - Hong Kong Institute for Monetary Research (HKIMR), … - 2005

If transitory profitable trading opportunities exist, filter rules are used to mitigate transaction costs. We use a dynamic programming framework to design an optimal filter which maximizes after-cost expected returns. The filter size depends crucially on the degree of persistence of trading...

Persistent link: https://www.econbiz.de/10005558149

Ombres et lumières des ETF

Hamon, Jacques - Université Paris-Dauphine (Paris IX) - 2013

Exchange Traded Funds (ETF) are designed to track a benchmark. ETF facilitate asset management and contribute to reduce management fees and transaction costs, they are traded like stocks at current price on continuous markets and meet an increasing success. Initially, anETFwas a stock...

Persistent link: https://www.econbiz.de/10010707604

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

Algunos conceptos sobre la evaluación de portafolios de inversión

Ayala, Alfonso - Volkswirtschaftliche Fakultät, … - 2011

, we show the fundamentals of conditional evaluation that can provide us additional elements in comparison with CAPM …

Persistent link: https://www.econbiz.de/10011258193

FINDING THE DISCOUNT RATE FOR A PRIVATE FIRM USING PUBLIC COMPARABLES

Livingston, Lynda S. - In: Review of Business and Finance Studies 5 (2014) 1, pp. 37-49

Determining the cost of equity is one of the most difficult problems in corporate finance. In this paper, we present a simple estimation example using an internet start-up company. We use public firm comparables for beta, making adjustments for leverage using Harris and Pringleâ€™s (1985)...

Persistent link: https://www.econbiz.de/10011205511

ADDING MARKOWITZ AND SHARPE TO PORTFOLIO INVESTMENT PROJECTS

Livingston, Lynda S. - In: Business Education and Accreditation 5 (2013) 2, pp. 79-95

Introductory investments courses revolve around Harry Markowitzâ€™s modern portfolio theory and William Sharpeâ€™s Capital Asset Pricing Model. Nonetheless, the textbook versions of these seminal contributions tend to obscure their economic insights, focusing instead on their...

Persistent link: https://www.econbiz.de/10011206009

Dynamic correlation structure and security risk

Vozlyublennaia, Nadia; Meshcheryakov, Artem - In: Journal of Economics and Business 73 (2014) C, pp. 48-64

We investigate the relationship between changing correlation structure of returns, security risk, and mean return. According to our results, securities that were highly correlated with the market-wide risk factors in the past are likely to have high systematic and idiosyncratic risk at present....

Persistent link: https://www.econbiz.de/10010777158

Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)

Annaert, Jan; Mensah, Lord - In: Explorations in Economic History 52 (2014) C, pp. 22-43

We use pre-World War I Brussels Stock Exchange (BSE) data to investigate the relation between average stock returns and market beta, size, momentum, dividend yield and total risk on the cross-section of stock returns. Based on portfolio sorts and Fama–MacBeth regressions, we find no...

Persistent link: https://www.econbiz.de/10011042812

Testing Multi-Factor Asset Pricing Models in the Visegrad Countries

Borys, Magdalena Morgese - Center for Economic Research and Graduate Education and … - 2007

capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … countries. We find, as expected, that the CAPM is not able to do this task. However, a four-factor model, including factors such …

Persistent link: https://www.econbiz.de/10005086627