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The Constrainted Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth A.; … - Institute of Business and Economic Research (IBER), … - 1990
Persistent link: https://www.econbiz.de/10010843373
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Efficiency of the Chilean stock market: A dynamic approach using volatility tests
Acuña, Andrés; Pinto, Cristián - In: Lecturas de Economía (2009) 70, pp. 39-61
This article studies the Chilean Stock Market's efficiency. To corroborate efficiency, we use a partial equilibrium model for financial asset pricing. We contrast between observed and expected Chilean stock price volatility under an efficient stock market framework. For the statistical analysis,...
Persistent link: https://www.econbiz.de/10005009867
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Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM
Isa, Md; Hassan, Abu; Puah, Chin-Hong; Yong, Ying-Kiu - Volkswirtschaftliche Fakultät, … - 2008
This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for … standard CAPM model with constant beta (Model I), the standard CAPM model with time-varying beta (Model II), the CAPM model … conditional on segregating positive and negative market risk premiums with constant beta (Model III), as well as the CAPM model …
Persistent link: https://www.econbiz.de/10005031389
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Eficiencia del Mercado Accionario Chileno: Un Enfoque Dinámico usando Tests de Volatilidad
Acuña, Andrés; Pinto, Cristián - Volkswirtschaftliche Fakultät, … - 2007
In this paper we analyze the Chilean Stock Market's efficiency level. The efficiency concept, relates financial asset prices, the outcome from investment decisions, with all the information available to economic agents in their rational economic decision making process. To corroborate the stock...
Persistent link: https://www.econbiz.de/10005619423
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Evaluating company's performance using multiple discriminant analysis: the case of Shariah compliance companies
Dali, Nuradli Ridzwan Shah Mohd; Mudasir, Hamdi Hakeim; … - In: American Journal of Finance and Accounting 2 (2010) 2, pp. 143-154
There are many tools that can be used to measure/evaluate the performance of a company and one of the most popular tools is using the financial ratios. This paper will explore the use of a combination of two different techniques using the time series data of share and market prices collected...
Persistent link: https://www.econbiz.de/10008755388
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The Financial Crisis in Japan – Are There Similarities to the Current Situation?
Mayr, Johannes - In: CESifo Forum 9 (2008) 4, pp. 64-68
Persistent link: https://www.econbiz.de/10004998593
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Strategic returns to international diversification: an application to the equity markets of Europe, Japan, and North America
Ammer, John; Mei, Jianping - Federal Reserve Board (Board of Governors of the … - 1995
We undertake a decomposition of the risk factor loadings of fifteen national stock market returns from 1972 to 1990, using a variant of the Campbell-Shiller (1988) linearization. We find considerable variation among countries in the relative importance of a cash flow component and a discount...
Persistent link: https://www.econbiz.de/10005368494
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Performance-Effekte nach Directors' Dealings in Deutschland, Italien und den Niederlanden
Heidorn, Thomas; Meyer, Bernd; Pietrowiak, Alexander - Frankfurt School of Finance and Management - 2004
Directors' Dealings have been extensively analysed especially for U.S. and U.K. stock markets. This event study is meant to bridge the gap for Germany, Italy and the Netherlands. The question to be investigated is whether board members and other company insiders earn abnormal returns with market...
Persistent link: https://www.econbiz.de/10005027058
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EU Capital Requirements and the Level Playing Field.
Dale, R.; Wolfe, S. - Economics Division, University of Southampton - 1996
This paper examines the likely impact of Capital Adequacy Directive (CAD) on European Securities markets, focusing in particular on the competitive consequences for institutions engaged in the trading of equity securities.
Persistent link: https://www.econbiz.de/10005486633
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The Driving Force behind the Boom and Bust in Construction in Europe
Sun, Yan; Mitra, Pritha; Simone, Alejandro - International Monetary Fund (IMF) - 2013
economies within and outside Europe) for 1990-2011, we find that country’s geography, demographics, and economic conditions are …
Persistent link: https://www.econbiz.de/10010790411