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Bach, Christian - School of Economics and Management, University of Aarhus - 2011

Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations … that the standard CAPM and the Fama-French 3 factor based approaches to risk adjustment substantially overestimate the cost … of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the …

Persistent link: https://www.econbiz.de/10009293656

A Behavioural Finance Explanation of a Gearing-ß Inverse Association Referencing Weill’s Liquidity Result (in English)

Lusk, Edward J.; HALPERIN, Michael; Yue, Li - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 3-4, pp. 168-177

positively related to the equity ß of the Sharpe/Lintner CAPM. They find for a sample of the S&P 500 firms that have been on that …’s results for transitional economies, the authors suggest that liquidity may provide an explanation for this anomalous ß … gearing with ß and (2) consider the possibility of managing liquidity as a way to affect ß. …

Persistent link: https://www.econbiz.de/10005698627

Validity of capital asset pricing model: evidence from Karachi stock exchange

Syed ali, Raza; Syed tehseen, jawaid; Imtiaz, arif; … - Volkswirtschaftliche Fakultät, … - 2011

applied to find the difference between actual and expected returns. Results show that capital asset pricing model (CAPM … that the investors should more focus on CAPM results for short term as compare to long term investments in KSE. …

Persistent link: https://www.econbiz.de/10009220664

Determinants of the Greek stock-bond correlation

Migiakis, Petros M - In: Economic Bulletin (2010) 33, pp. 79-90

the Greek stock-bond correlation are explained by several risk factors, related to liquidity and market’s uncertainty …

Persistent link: https://www.econbiz.de/10008852247

Death and jackpot: Why do individual investors hold overpriced stocks?

Conrad, Jennifer; Kapadia, Nishad; Xing, Yuhang - In: Journal of Financial Economics 113 (2014) 3, pp. 455-475

Campbell, Hilscher, and Szilagyi (2008) show that firms with a high probability of default have abnormally low average future returns. We show that firms with a high potential for default (death) also tend to have a relatively high probability of extremely large (jackpot) payoffs. Consistent...

Persistent link: https://www.econbiz.de/10010906192

Efficient Markets and the Law: A Predictable Past and an Uncertain Future

Hu, Henry T.C. - In: Annual Review of Financial Economics 4 (2012) 1, pp. 179-214

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced—or has failed to influence—federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH has...

Persistent link: https://www.econbiz.de/10010603964

Assessing the non-financial investment profitability with variable discount rate

Gwozdz, Katarzyna - Instytut Badañ Gospodarczych (IBG) - 2015

assumption of using the constant discount rate is erroneous. The possibility of using different techniques of risk premium … valuation is also mentioned. The research allows to select the risk premium valuation to assess the non-financial investment …

Persistent link: https://www.econbiz.de/10011271506

The Colombian Stock Market: 1930-1998

Pareja, Ignacio Vélez - MASTER CONSULTORES - 1999

This article explores the behavior of the stock market in Colombia with the information given by the Bolsa de Bogota Index (Indice de la Bolsa de Bogota, IBB). The index is analyzed from January, 1930 to December, 1998. The inflation rate covers the same period; the inflation rate as measured by...

Persistent link: https://www.econbiz.de/10010827952

Size and liquidity effects in Nigeria: an industrial sector study

Hearn, Bruce - In: Journal of Developing Areas 48 (2014) 3, pp. 1-30

This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital … asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market … of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector …

Persistent link: https://www.econbiz.de/10011213044

Liquidity-adjusted conditional capital asset pricing model

Wang, Jinan; Chen, Langnan - In: Economic Modelling 29 (2012) 2, pp. 361-368

-adjusted conditional three-moment CAPM respectively based on theory of stochastic discount factor. The liquidity-adjusted conditional two … cost, the systemic risk premium and the liquidity risk premium. The liquidity-adjusted conditional three-moment CAPM shows …This paper derives a liquidity-adjusted conditional two-moment capital asset pricing model (CAPM) and a liquidity …

Persistent link: https://www.econbiz.de/10010573329

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