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Tests of Equity Market Anomalies for Select Emerging Markets
Sehgal, Sanjay; Subramaniam, Srividya; Deisting, Florent - In: The International Journal of Business and Finance Research 8 (2014) 3, pp. 27-46
compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for …
Persistent link: https://www.econbiz.de/10010960338
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Cashflow news, the value premium and an asset pricing view on European stock market integration
Nitschka, Thomas - Institut für Volkswirtschaftslehre, … - 2007
The decomposition of national CAPM market betas of European countries’ value and growth portfolio returns into cashflow …
Persistent link: https://www.econbiz.de/10005463544
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The volatility effect in emerging markets
Blitz, David; Pang, Juan; van Vliet, Pim - In: Emerging Markets Review 16 (2013) C, pp. 31-45
flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation …
Persistent link: https://www.econbiz.de/10010682555
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Betting against beta
Frazzini, Andrea; Pedersen, Lasse Heje - In: Journal of Financial Economics 111 (2014) 1, pp. 1-25
We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central predictions: (1) Because constrained investors bid up high-beta assets, high beta is associated with low alpha, as we find empirically...
Persistent link: https://www.econbiz.de/10010718732
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Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets
Sehgal, Sanjay; Jain, Sakshi; Morandiere, Pr Laurence … - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 53-78
as company characteristic(s) and prior return based portfolios. The CAPM is a poor descriptor of asset pricing as it …
Persistent link: https://www.econbiz.de/10011143924
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Evaluación del efecto tamaño de empresa en los mercados bursátiles de América Latina
Duarte, Juan Benjamín Duarte; León, Zulay Yesenia Ramírez - In: REVISTA ECOS DE ECONOMÍA (2013)
sección cruzada del efecto tamaño en el contexto del CAPM. Los resultados obtenidos revelan que existe un efecto invertido en …
Persistent link: https://www.econbiz.de/10010827975
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The Fama French Model or the Capital Asset Pricing Model: International Evidence
Alves, Paulo - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 79-89
This research paper attempts to evaluate the benefits of using the Fama and French Model by comparing them with those resulting from the use of the Capital Asset Pricing Model. Local, International, and European Monetary Union functional forms were considered, in an attempt to raise the...
Persistent link: https://www.econbiz.de/10010938516
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Size and liquidity effects in Nigeria: an industrial sector study
Hearn, Bruce - In: Journal of Developing Areas 48 (2014) 3, pp. 1-30
asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market …
Persistent link: https://www.econbiz.de/10011213044
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Testing Multi-Factor Asset Pricing Models in the Visegrad Countries
Borys, Magdalena Morgese - Center for Economic Research and Graduate Education and … - 2007
capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the …. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the … countries. We find, as expected, that the CAPM is not able to do this task. However, a four-factor model, including factors such …
Persistent link: https://www.econbiz.de/10005086627
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011
Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...
Persistent link: https://www.econbiz.de/10009372405