Narrow search
Showing 1 - 10 of 22,959
Cover Image
Tests of Equity Market Anomalies for Select Emerging Markets
Sehgal, Sanjay; Subramaniam, Srividya; Deisting, Florent - In: The International Journal of Business and Finance Research 8 (2014) 3, pp. 27-46
compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for …
Persistent link: https://www.econbiz.de/10010960338
Cover Image
Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005076992
Cover Image
Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...
Persistent link: https://www.econbiz.de/10005346022
Cover Image
fama and macbeth revisited: A Critique
Salazar, Juan; Lambert, Annick - Volkswirtschaftliche Fakultät, … - 2010
significantly differs from zero. Then they took this result as a proof in favour of the theory that there is in the real world a … favour of the theory that the market portfolio is efficient. In this article, we present several tests and arguments that put …
Persistent link: https://www.econbiz.de/10009397170
Cover Image
Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Panopoulou, Ekaterini; Koubouros, M.; Malliaropulos, D. - Department of Economics, National University of Ireland - 2005
This paper decomposes the overall market (CAPM) risk into parts re.ecting uncertainty related to the long-run dynamics … with assets.and market.s cash .ows and discount rates) and we employ a discrete time version of the I-CAPM to derive a four …
Persistent link: https://www.econbiz.de/10005198255
Cover Image
A new Model for Stock Price Movements
Venier, Guido - Volkswirtschaftliche Fakultät, … - 2007
and to discuss the implications for economic theory with respect to market efficiency and option pricing. …
Persistent link: https://www.econbiz.de/10005836494
Cover Image
Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models
DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003
We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...
Persistent link: https://www.econbiz.de/10005133089
Cover Image
Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004
Michailidis, G. - In: Applied Econometrics and International Development 9 (2009) 1
multifactor pricing models. In the framework of the Arbitrage Pricing Theory (APT), this paper estimates the set of factors that …
Persistent link: https://www.econbiz.de/10005012224
Cover Image
Pricing Implications of Shared Variance in Liquidity Measures
Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2006
in a theoretical liquidity-CAPM model and in a linear pricing framework. Our results suggest a surprising fragility of …
Persistent link: https://www.econbiz.de/10005190567
Cover Image
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 … relatively well integrated stock markets among the core European countries and reflects basic asset pricing theory. One (national …
Persistent link: https://www.econbiz.de/10005463544