Narrow search
Showing 1 - 10 of 526
Cover Image
Can book-to-market and size be risk factors that predict economic growth in Asia's emerging economies?
Clements, Adam; Drew, Michael; Krpan, Ivan; … - 2009
We investigate whether the two 2 zero cost portfolios, SMB and HML, have the ability to predict economic growth for markets investigated in this paper. Our findings show that there are only a limited number of cases when the coefficients are positive and significance is achieved in an even more...
Persistent link: https://www.econbiz.de/10009483525
Cover Image
Akcijų portfelio formavimo teoriniai ir praktiniai aspektai
Karpienė, Vijolė - 2005
Concluding work in master degree, 72 pages, 7 pictures, 31 tables, 64 literary sources,5 appendixes, Lithuanian language. Research object – investments to the stock in stock market. The subject of research – processes of portfolio formation. Objective of the work – to form stock portfolio...
Persistent link: https://www.econbiz.de/10009478807
Cover Image
Conditional Betas, Higher Comoments and the Cross-Section of Expected Stock Returns
Xu, Lei - 2010
size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined …-factor asset pricing models. Models tested are the CAPM, the Fama-French three-factor model and a four-factor model including the … coefficients of coskewness and cokurtosis have the correct sign as predicted by the higher-moment CAPM theory but only cokurtosis …
Persistent link: https://www.econbiz.de/10009440933
Cover Image
Prices as Factors: Approximate Aggregation with Incomplete Markets
Telmer, Chris I; Zin, Stanley E. - 2000
kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …
Persistent link: https://www.econbiz.de/10009441191
Cover Image
Essays in cross-sectional asset pricing
Cederburg, Scott Hogeland - 2011
returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I … investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular … to refine and reassess the cross-sectional evidence against the CAPM.In the first chapter, I test the cross …
Persistent link: https://www.econbiz.de/10009466087
Cover Image
Case-Based Decision Theory and Financial Markets
Guerdjikova, Ani Vladimirova - 2004
Die Dissertation wendet die fallgestützte Entscheidungstheorie (Case-Based Decision Theory) vorgeschlagen von Gilboa and Schmeidler (1995) auf Entscheidungen in Finanzmärkten an. Betrachtet werden sowohl das individuelle Portfoliowahlproblem eines Investors, wie auch Märkte, in denen...
Persistent link: https://www.econbiz.de/10009476229
Cover Image
The Regulation of Stock Trading and its Enforcement in China
Shen, Tingting - 2004
The first public share issue in the PRC took place in 1994. By the early 21st century, in the space of less than two decades, the Chinese stock market has become the largest one in Asia, with the exception of Japan. Along with this rapid enlargement of the market, the Chinese stock trading...
Persistent link: https://www.econbiz.de/10009471788
Cover Image
Idiosyncratic volatility, aggregate volatility risk, and the cross-section of returns
Barinov, Alexander (1981; Schwert, G. William (1950
Thesis (Ph. D.)--University of Rochester. William E. Simon Graduate School of Business Administration, 2008.
Persistent link: https://www.econbiz.de/10009482974
Cover Image
Disentangling size from momentum in Australian stock returns
Brailsford, T.; O'Brien, M. A. - 2008
Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for larger portfolios, and that this finding explains the...
Persistent link: https://www.econbiz.de/10009448136
Cover Image
Oil Prices and Long-Run Risk
READY, ROBERT - 2011
I show that relative levels of aggregate consumption and personal oil consumption provide anexcellent proxy for oil prices, and that high oil prices predict low future aggregate consumptiongrowth. Motivated by these facts, I add an oil consumption good to the long-run risk model of Bansal and...
Persistent link: https://www.econbiz.de/10009438584