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Empirical risk factors in realized stock returns
Novák, Jiří; Petr, Dalibor - 2009
Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...
Persistent link: https://www.econbiz.de/10010322253
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a …
Persistent link: https://www.econbiz.de/10010307494
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Combining equity country selection strategies
Zaremba, Adam - In: Contemporary Economics 11 (2017) 1, pp. 107-126
The recent increase in passive investment products has provided investors with easy access to international markets. The basic motivation of this paper is to offer new tools to investors who want to allocate assets across countries. This study investigates the performance of equity country...
Persistent link: https://www.econbiz.de/10011659908
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Investment style of Jordanian mutual funds
Hacini, Ishaq; Dahou, Khadra; Benbouziane, Mohamed - In: International Journal of Economic Sciences and Applied … 5 (2012) 2, pp. 113-127
a variable that account for momentum effect. These factors are used as benchmarks to investigate the investment style …
Persistent link: https://www.econbiz.de/10010289385
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012611108
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Risk Factors for the Swiss Stock Market
Ammann, Manuel; Steiner, Michael - In: Swiss Journal of Economics and Statistics 144 (2008) 1, pp. 1-35
The four risk factors controlling for the market, size, value and momentum effect have become a state …
Persistent link: https://www.econbiz.de/10011933164
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Revisiting the home bias puzzle: Downside equity risk
Campbell, Rachel A.; Kräussl, Roman - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10010298345
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Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators
Uhlenbrock, Birgit - 2009
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...
Persistent link: https://www.econbiz.de/10010298784
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne C.; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855710
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Cross-Section of asset returns: Emerging markets and market integration
Ajrapetova, Tamara - In: European Financial and Accounting Journal 13 (2018) 1, pp. 41-60
Asset pricing in its essence is a very controversial topic. Despite numerous research papers criticising traditional approaches, such as linear factor models, practitioners as well as academics repeatedly return to the milestone models such as the Capital Asset Pricing Model (CAPM), mainly due...
Persistent link: https://www.econbiz.de/10011937439