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Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly from worsening fundamentals, or indirectly from...
Persistent link: https://www.econbiz.de/10008533220
We test the implications of Flannery's (1986) and Diamond's (1991) models concerning the effects of risk and asymmetric information in determining debt maturity, and we examine the overall importance of informational asymmetries in debt maturity choices. We employ data on over 6,000 commercial...
Persistent link: https://www.econbiz.de/10005264071
A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist. This paper demonstrates that the cross-sectional...
Persistent link: https://www.econbiz.de/10008542375
-grade corporate bonds. These results are consistent with a CAPM framework in which business-cycle risk importantly affects risk …
Persistent link: https://www.econbiz.de/10005086977
Basel III classifies government debt as risk free while actual interest rates in the European Union (EU) show large differences not only because of liquidity but mainly because of the risk of default, as also reflected in credit default swaps. Curiously such debt defaults may not happen so that...
Persistent link: https://www.econbiz.de/10009372590
CAPM is one of the subjects that constitute fundamentals of modern finance theory. Although the research that test … validity of CAPM give conflicting results, CAPM is widely used especially in portfolio investments and capital budgeting. In … this study, we test validity of the CAPM in Istanbul Stock Exchange (ISE) by utilizing Fama and McBeth’s (1973 …
Persistent link: https://www.econbiz.de/10009385699
Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...
Persistent link: https://www.econbiz.de/10011259736
In the work, the subject of the discount rate assessment is presented. It is crucial as regards assessing the non-financial investment profitability. The discount rate is usually considered as constant one in the whole investment period, which seems to be the main problem. The constant discount...
Persistent link: https://www.econbiz.de/10011271506
Time-varying risk premiums and CAPM betas for several assets traded on the Prague Stock Exchange are estimated within a … used to estimate the two restrictions. The estimation of the CAPM restriction seems to be favorable to the theoretical …
Persistent link: https://www.econbiz.de/10010600839
Valuing a firm using the discounted cash flow method (DCF) requires the joint determination of the market value of its equity (MVE) together with the equity risk premium (ERP) the firm should earn, since the latter is part of the discount rate used in the calculation of the MVE. This paper...
Persistent link: https://www.econbiz.de/10009319260