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In this paper the author compared 13stock exchange indexes of American, British and German markets and determined their impact on Polish Wig and WIG20 indexes. The analysis proved that the British FTSE100 and FTSE250 as well as the German DAX had the biggest influence on the Warsaw indexes. The...
Persistent link: https://www.econbiz.de/10009959710
has strong implications for modern asset allocation theory which takes the presence of regime switching into account as …
Persistent link: https://www.econbiz.de/10010079541
documented momentum' profits to some risk factors using as benchmark the CAPM and the Fama and French three-factor model. The … factors seem accounting for the Tunisian momentum profits. -- momentum effect ; emerging stocks' markets ; CAPM model ; Fama …
Persistent link: https://www.econbiz.de/10010009069
The purpose of this research is try to create Capital Asset Pricing Model (CAPM) alternative model at Indonesia Stock … support the previous researches which are done by many scholars, and give opportunities to VaR build alternative CAPM model …
Persistent link: https://www.econbiz.de/10010009093
This study proposes a process for observing evidence of insider trading in the Athens Stock Exchange (ASE). This is performed by building an environment which, based upon previous research, common sense and information technology, may be used for observing such evidence. It is designed to be...
Persistent link: https://www.econbiz.de/10010098104
This paper shows that most admired companies generate admirable stock performance relative to the market. The current study analyses risk premiums and risk-adjusted excess returns of a portfolio of firms ranked as the most admired companies in the United States from 2006 to 2011. The results...
Persistent link: https://www.econbiz.de/10010118415
This paper theoretically examines the impact of conservatism on the asset price in an asset market allowing for strategic interactions among traders. Due to the trades coming from conservatism traders contain less informational content, the asset price is shown to be less informative in the...
Persistent link: https://www.econbiz.de/10010148065
This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...
Persistent link: https://www.econbiz.de/10010148283
multiple event-windows that are employed and therefore, the null hypothesis, which supports the irrelevance theory as …
Persistent link: https://www.econbiz.de/10009958058
The main objective of this paper is to determine if it is possible to find within the credit market any restrictions, for instance to credit concessions and its commercial conditions to more little firms or to those that do not have a strong relationship whit their usual banks, and, if the...
Persistent link: https://www.econbiz.de/10009958316