This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital … asset pricing model (CAPM) including size premiums and a time-varying parameter model for the North African emerging markets … of Algeria, Egypt, Morocco and Tunisia. The evidence suggests that size and liquidity effects are least significant in …

In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …

Neoclassical analysis of the labor market and its institutions. A systematic development of the theory of labor supply …

Established in 1988, the Shingo Prize for Operational Excellence recognises organisations in the USA, Mexico and Canada …

effect). This study has practical implications for regulators, corporations and investors, both in the USA and abroad. …

offshore outsourcing.The objectives of this research are:1. To analyze the differences between the theory and the practice …

of the relevance of the theory and analysis to developing economies. …

coefficients of coskewness and cokurtosis have the correct sign as predicted by the higher-moment CAPM theory but only cokurtosis … 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 …

kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …Recent developments in intertemporal asset pricing theory focus on two sets of fundamental determinants of asset …, most empirical applications, as well as the best practice in the financial industry, ignore much of what theory has to say …

model derived from Rosen’s hedonic price theory. Two different stock market models are developed to estimate the model, a … basic firm’s stock market model and a modified Capital Assets Pricing Model (CAPM). The explanatory variables include risk …