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The non-linear trade-off between return and risk: a regime-switching multi-factor framework
Cotter, John; Salvador, Enrique - Geary Institute, University College Dublin - 2014
This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation between return and risk, favourable evidence can be...
Persistent link: https://www.econbiz.de/10010944726
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Asset prices and exchange risk: Empirical evidence from Canada
Samson, Lucie - In: Research in International Business and Finance 28 (2013) C, pp. 35-44
Asset prices have been found to respond to unpredicted changes in macroeconomic variables in a number of studies. This paper focuses on the relationship between economic factors and the stock market for a small open economy, namely Canada. Exchange risk is observed to have a significant impact...
Persistent link: https://www.econbiz.de/10010616908
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Liquidity risk and stock returns around the world
Liang, Samuel Xin; Wei, John K.C. - In: Journal of Banking & Finance 36 (2012) 12, pp. 3274-3288
The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk globally. We find that local liquidity risk, in addition to the local market, value and size factors, demands a systematic premium across stocks in 11 developed markets. This local pricing...
Persistent link: https://www.econbiz.de/10010580924
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Analogy Making, Option Prices, and Implied Volatility
Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2013
We put forward a new option pricing formula based on the notion that people tend to think by analogies and comparisons. The new formula differs from the Black Scholes formula due to the appearance of a parameter in the formula that captures the risk premium on the underlying. The new formula,...
Persistent link: https://www.econbiz.de/10011112350
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CAPM in Up and Down Markets
Zhang, Jianhua; Wihlborg, Clas - In: Journal of Emerging Market Finance 9 (2010) 2, pp. 229-255
The pricing of equity in six European emerging capital markets is analysed using both the conventional CAPM and a â …€˜conditional’ CAPM wherein up and down markets are separated. International influences on the stock markets are also analysed. The … between beta and returns when up and down markets are separated. The international CAPM performs well in some markets that …
Persistent link: https://www.econbiz.de/10011137868
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The Fama French Model or the Capital Asset Pricing Model: International Evidence
Alves, Paulo - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 79-89
This research paper attempts to evaluate the benefits of using the Fama and French Model by comparing them with those resulting from the use of the Capital Asset Pricing Model. Local, International, and European Monetary Union functional forms were considered, in an attempt to raise the...
Persistent link: https://www.econbiz.de/10010938516
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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
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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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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
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The smallest stocks are not just smaller: US and international evidence
De Moor, Lieven; Sercu, Piet - Faculteit Economie en Bedrijfswetenschappen, … - 2011
Using an international Thomson Reuters Datastream database where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset pricing test results. We also...
Persistent link: https://www.econbiz.de/10009415885