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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 …€˜conditionalâ€™ 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

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

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

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

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

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

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

Size and liquidity effects in Nigeria: an industrial sector study

Hearn, Bruce - Volkswirtschaftliche Fakultät, … - 2013

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/10011108128

The Fama French Model or the capital asset pricing model: international evidence

Alves, Paulo - Volkswirtschaftliche Fakultät, … - 2013

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/10011108748

Centre Rules the Markets

Alves, Paulo; Ferreira, Miguel - Volkswirtschaftliche Fakultät, … - 2008

In this paper we evaluate the impact of the European Monetary Union based on the Fama and French three-factor model. Our research shows that the models based on EMU factors present worse explanatory power than models based on local and international factors, although international factors do not...

Persistent link: https://www.econbiz.de/10011109448