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Persistent link: https://www.econbiz.de/10005037410
This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing …, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM …-based valuation violates value additivity. As a consequence, the standard use of CAPM for project valuation and decision making should …
Persistent link: https://www.econbiz.de/10005260104
foreign direct investment data, and the observed cross-sectional differences in earning yields and returns. …
Persistent link: https://www.econbiz.de/10011158362
The Fama–French pricing model with dynamic factors (DFPM) extracted via the Kalman filter from the six size and book-to-market portfolios has a good performance in understanding stock returns. Using international stock market data, we find that the DFPM significantly improves the...
Persistent link: https://www.econbiz.de/10011263626
We suggest a new measure of total ex-ante volatility (EAV) in stock returns, which includes traditional non-market (or idiosyncratic) risk and the unexpected component of market return. We find that the portfolio-level EAV measure exhibits strong predictive power for the cross-section of average...
Persistent link: https://www.econbiz.de/10010786511
practitioners devise innovative investment strategies to exploit profitable investment opportunities that have not been eliminated … because of transaction costs, investment indivisibilities, incomplete information, or the presence of other non …
Persistent link: https://www.econbiz.de/10009643014
Persistent link: https://www.econbiz.de/10008596993
This study presents four main contributions to the literature of behavior herding. Firstly, it extends the behavioral researches of herding of the investors on a developed market and mainly on a European market as a whole. Secondly, we are interested in examination of herding behavior at the...
Persistent link: https://www.econbiz.de/10010602028
Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way …, given her preference curves and an efficient frontier. On the other hand, the Capital Asset Pricing Model (CAPM) is … practitioners conclude that those models are just inapplicable theory. This is the most rational behavior one can expect. What can …
Persistent link: https://www.econbiz.de/10010762986
The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors demonstrate this endogeneity and discuss the impact of parameter changes on the mean-variance efficient...
Persistent link: https://www.econbiz.de/10005600630