Narrow search
Showing 1 - 10 of 21,975
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
EMU and European Stock Market Integration
Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 1999
The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...
Persistent link: https://www.econbiz.de/10005788933
Cover Image
An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
Cheng, Ai-ru; Jahan-Parvar, Mohammad R.; Rothman, Philip - Volkswirtschaftliche Fakultät, … - 2009
international CAPM; the constant-parameter intertemporal CAPM; and a Markov-switching intertemporal CAPM which allows for the degree … most strongly integrated with world nancial markets; (2) in most other MENA markets examined there is primarily local …
Persistent link: https://www.econbiz.de/10005789590
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 …
Persistent link: https://www.econbiz.de/10005463544
Cover Image
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
Cover Image
CONTRASTACION DE METODOLOGÍAS PARA EL CÁLCULO DE BETA DE MERCADO: EL CASO DE ESPAÑA
Rubio, Fernando - EconWPA - 2004
effectiveness of beta to explain the expected returns in the world of the CAPM. … diferencias en los betas obtenidos de cara a la utilización del CAPM. En conclusión, al parecer la metodología no incidiría en el … en el esquema del CAPM. ABSTRACT: The aim of this investigation is to contrast the two methodologies that have been …
Persistent link: https://www.econbiz.de/10005561663