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DUAL BETAS ON THE
Lakhan, Ashwin - 2011
Since the study by Fama & French (1992) there has been an academic debate aboutthe usefulness of the Capital Asset Pricing Model (CAPM). Some researchersbelieve that the CAPM should be abandoned for a new model, like the dual betamodel, which provides a better explanation of share returns than...
Persistent link: https://www.econbiz.de/10009447510
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Interaction of size, book-to-market and momentum effects in Australia
O'Brien, M.; Brailsford, T.; Gaunt, C. - 2010
This study seeks to disentangle the effects of size, book-to-market and momentum on returns. Initial results show that each characteristic has a role in explaining returns, but that there is interaction between size and momentum, as well as between size and book-to-market. Three key findings...
Persistent link: https://www.econbiz.de/10009448081
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Estimation of Beta in a Simple Functional Capital Asset Pricing Model for High Frequency US Stock Data
Zhang, Yan - 2011
This project applies the methods of functional data analysis (FDA) to intra-daily returns of US corporations. It focuses on an extension of the Capital Asset Pricing Model (CAPM) to such returns. The CAPM is essentially a linear regression with the slope coefficient . Returns of an asset are...
Persistent link: https://www.econbiz.de/10009468694
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Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates
McElroy, M. B; Burmeister, E. - 1988
By replacing the unknown random factors of factor analysis with observed macroeconomic variables, the arbitrage pricing theory (APT) is recast as a multivariate nonlinear regression model with across-equation restrictions. An explicit theoretical justification for the inclusion of an arbitrary,...
Persistent link: https://www.econbiz.de/10009475494
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Re-examination of the historical equity risk premium in Australia
Brailsford, T.; Handley, J. C.; Maheswaran, K. - 2008
premium in Australia, and provides an improved understanding of the historical record. We document concerns about data quality …
Persistent link: https://www.econbiz.de/10009448485
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Cointegration of International Stock Markets: An Investigation of Diversification Opportunities
Khan, Taimur A - 2011
Abstract: This paper examines the long-run convergence of the United States and 22 other developed and developing countries. I use daily data and run the Johansen (1988) and the Gregory and Hansen (1996) test to show that stock markets of most countries have become cointegrated by 2010. I also...
Persistent link: https://www.econbiz.de/10009449301
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Risk factors in the UK stock market
Sufar, Saiful Bahri - 2000
This thesis examines risk factors in the UK Stock Market. This objective is achievedby testing the validity of the Capital Asset Pricing Model (CAPM) and the ArbitragePricing Theory (APT). The models were tested using data for the period between 1972to 1993.Test of the CAPM was conducted by...
Persistent link: https://www.econbiz.de/10009461178
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Valuasi Harga Wajar Saham Sektor Perbankan Yang Go Public Di BEI
Khairi, Sherly Emita - 2011
Investment on stock needs analyisis about valuation of stocks to calculate the intrinsic value of each stocks based on the its fundamental data. The aim of this research is to calculate the intrinsic stock prices of the two company which included in financial sectors and to see whether the...
Persistent link: https://www.econbiz.de/10009464345
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The mediating effects of perceived quality and risk on purchase intentions between prototypical and me-too brands
Quintal, Vanessa; Sims, Daniel - 2009
users comprised young adults, a survey was administered to a general student population at three universities in Australia …
Persistent link: https://www.econbiz.de/10009434779
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On-farm quality assurance in the redmeat industry of Australia
Kennedy, Anna - 2006
A series of on-farm quality assurance schemes for red meat producers across Australia were developed in the late 1990s … in Australia, indicating that the larger than average producers were implementing quality assurance. Based on previous … producers (22% of certified Flockcare producers) across Australia were initially approached. A total of 382 adopter surveys were …
Persistent link: https://www.econbiz.de/10009434786