evident changes have occurred: risk-free rates in solid and developed financial markets (e. g. USA, Germany) have fallen, but … due to increased market volatility, the risk premiums have increased. The latter is especially evident in transition …

One of the most important concepts in investment theory is the relationship between risk and return. This relationship … that the expected return on an asset above the risk-free rate is linearly related to the non-diversifiable risk measured by … its beta. This study examines the Capital Asset Pricing Model (CAPM) and test it validity for the WAEMU space stock market …

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 capital. We empirically investigate the ability of several commonly proposed risk …

portfolios, and even for bonds and currencies, suggesting that beta is after all an important measure of systematic risk …. Furthermore, a robust risk–return trade-off exists on announcement days. Expected variance is positively related to future …

switching-regression framework. Threshold adjustment levels and capital asset pricing model risk parameters are estimated and … tested. Results indicate risk parameters differ for alternative regimes and are not constant over time. Accounting for … periods of temporary disequilibrium leads to notably more stable risk measurement estimates. …

evaluation of the equity capital cost with the CAPM on the Slovene financial market are shown. The Slovene capital market is a …

Modern aggregation theory and index number theory were introduced into monetary economics by Barnett (1980). The widely … used Divisia monetary aggregates were based upon that paper. A key result upon which the rest of the theory depended was … aggregation. The extension of that literature to risk with intertemporally non-separable preferences now has become available in a …