Narrow search
Showing 1 - 10 of 15,766
Cover Image
The pricing of financial assets in the physical world of finance
Apreda, Rodolfo - 2010
The pricing of financial assets, this paper contends, it does not consist only in assessing a technical value from a valuation model and then calibrating such value by looking at the market. In order to sharpen up this complex process we are going to handle, firstly, a valuation procedure that...
Persistent link: https://www.econbiz.de/10010323087
Cover Image
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...
Persistent link: https://www.econbiz.de/10011598484
Cover Image
Size premium, value premium and market timing: Evidence from an emerging economy
Rashid, Syed Haroon; Sadaqat, Mohsin; Jebran, Khalil; … - In: Journal of Economics, Finance and Administrative Science 23 (2018) 46, pp. 266-288
capital asset pricing model (CAPM) and Fama and French model. Design/methodology/approach This study considers monthly stock …
Persistent link: https://www.econbiz.de/10013192143
Cover Image
The Capital Asset Pricing Model: A New Empirical Investigation
Zarifhonarvar, Ali - 2023
capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this … area, this study discusses the theoretical background of the CAPM model. After explaining the relationship between … systematic risk and the relation of these coefficients to the CAPM model predictions are tested. Thus, after data sampling to …
Persistent link: https://www.econbiz.de/10013499610
Cover Image
Coherent Measures of Risk from a General Equilibrium Perspective
Csóka, Péter; Herings, Jean-Jacques; Kóczy, László Á. - 2006
-known spectral measure of risk is. We investigate the above mentioned six axioms using tools from general equi- librium (GE) theory …
Persistent link: https://www.econbiz.de/10010494343
Cover Image
Non-Negativity of Nominal and Real Riskless Rates, Arbitrage Theory, and the Null-Alternative Cash
Wilhelm, Jochen; Nietert, Bernhard - 2004
Pragmatic-world nominal riskless rates are non-negative. However, conventional arbitrage theory has yet to develop a …
Persistent link: https://www.econbiz.de/10010296997
Cover Image
Does inter-market competition lead to less regulation?
Draus, Sarah - 2010
This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public...
Persistent link: https://www.econbiz.de/10010303703
Cover Image
Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni; Foucault, Thierry - 2008
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10010303742
Cover Image
Sobre burbujas de precios de activos, expectativas y equilibrios
Dapena, José Pablo - 2007
De acuerdo a la literatura el precio de un activo (financiero o real) experimenta una burbuja si su precio de mercado se encuentra desajustado de manera persistente en el tiempo con respecto a su valor intrínseco o fundamental. En un contexto de racionalidad y eficiencia es difícil aceptar la...
Persistent link: https://www.econbiz.de/10010323175
Cover Image
Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies
Zou, Liang - 2000
This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security …
Persistent link: https://www.econbiz.de/10010324569