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Beta risk and price synchronicity of bank acquirers’ common stock following merger announcements
Bozos, Konstantinos; Koutmos, Dimitrios; Song, Wei - In: Journal of International Financial Markets, … 27 (2013) C, pp. 47-58
This article demonstrates that the risk profile of acquiring banks’ common stock changes in the aftermath of a merger announcement when examining 177 large merger deals in the United States spanning from 1998 to 2010 and inclusive of the fifth and sixth merger waves. There is a tendency for...
Persistent link: https://www.econbiz.de/10010718952
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Beta Risk and Regime Shift in Market Volatility
Shami, Roland; Galagedera, Don U.A. - EconWPA - 2004
In this paper, we relate the returns in the thirty securities in the Dow Jones index to regime shifts in stock market volatility. We apply a Markov switching process of order one to market volatility and examine the variation in the securities' returns in different volatility regimes. We test...
Persistent link: https://www.econbiz.de/10005134927
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Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities
Galagedera, Don U.A.; Shami, Roland - EconWPA - 2004
In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...
Persistent link: https://www.econbiz.de/10005413049
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Asset Pricing : Zur Bewertung von unsicheren Cashflows mit zeitvariablen Diskontraten
Vorfeld, Michael - 2009
Persistent link: https://www.econbiz.de/10004947787
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A new Model for Stock Price Movements
Venier, Guido - Volkswirtschaftliche Fakultät, … - 2007
A new alternative diffusion model for asset price movements is presented. In contrast to the popular approach of Brownian motion it proposes deterministic diffusion for the modelling of stock price movements. These diffusion processes are a new area of physical research and can be created by the...
Persistent link: https://www.econbiz.de/10005836494
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ASSET PRICING IN THE INDIAN CAPITAL MARKET: A STUDY OF POSITIVE AND NEGATIVE RETURN PERIODS
SINGLA, RAVI; PASRICHA, J. S. - In: Journal of Academic Research in Economics 4 (2012) 1 (March), pp. 90-101
Capital Asset Pricing Model (CAPM) predicts that expected returns on securities are a positive linear function of their … controversy regarding the empirical validity of CAPM. The present research paper is an empirical assessment of this financial …
Persistent link: https://www.econbiz.de/10010598202
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Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta
Novak, Jiri - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 2, pp. 167-190
We make two methodological modifications to the method of testing CAPM beta and we show that these significantly affect … inferences about the association between CAPM beta and stock returns. While the conventional beta proxy is indeed largely … beta’s deficiencies do not seem to outperform beta. This suggests that weak empirical support for CAPM beta is likely …
Persistent link: https://www.econbiz.de/10011240299
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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
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The equity premium in a production economy; A new perspective involving recursive utility
Aase, Knut K. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2015
We study a rational expectations' competitive equilibrium in a production economy, i.e., a system of prices at which firms' profit maximizing production decisions and individuals' preferred affordable consumption choices equate supply and demand in every market. We derive the equilibrium price...
Persistent link: https://www.econbiz.de/10011252631