Similar Search Results

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

Incomplete markets, Transaction Costs and Liquidity Effects.

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

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

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

Size and Value Efects in the Visegrad Countries

Borys, Magdalena Morgese; Zemcik, Petr - Center for Economic Research and Graduate Education and … - 2009

The paper has two main objectives. The first is to test for the presence of the size and bookto- market value effects in the Visegrad countries. Such effects have been found in the United States and many other developed stock markets. The Visegrad countries consist of the Czech Republic,...

Persistent link: https://www.econbiz.de/10008536807

A Note on the Two-fund Separation Theorem

Wenzelburger, Jan - Volkswirtschaftliche Fakultät, … - 2008

This note contains two remarks on the traditional capital asset pricing model (CAPM) with one risk-free asset. Firstly … the risk aversion is generally necessary to guarantee existence of an equilibrium in the CAPM with one risk-free asset …

Persistent link: https://www.econbiz.de/10005260078

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

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

Can portfolio diversification increase systemic risk? evidence from the U.S and European mutual funds market

Dicembrino, Claudio; Scandizzo, Pasquale Lucio - Volkswirtschaftliche Fakultät, … - 2011

This paper tests the hypothesis that portfolio diversification can increase the threat of systemic financial risk. The paper provides first a theoretical rationale for the possibility that systemic risk may be increased by the proliferation of financial instruments that lead operators to hold...

Persistent link: https://www.econbiz.de/10009372565

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