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ASSET PRICING IN THE INDIAN CAPITAL MARKET: A STUDY OF POSITIVE AND NEGATIVE RETURN PERIODS
SINGLA, RAVI; PASRICHA, J. S. - In: Journal of Academic Research in Economics 4 (2012) 1 (March), pp. 90-101
Capital Asset Pricing Model (CAPM) predicts that expected returns on securities are a positive linear function of their … market betas and market beta alone is adequate to describe the cross section of expected returns. However there is a … controversy regarding the empirical validity of CAPM. The present research paper is an empirical assessment of this financial …
Persistent link: https://www.econbiz.de/10010598202
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Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta
Novak, Jiri - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 2, pp. 167-190
We make two methodological modifications to the method of testing CAPM beta and we show that these significantly affect … inferences about the association between CAPM beta and stock returns. While the conventional beta proxy is indeed largely … beta’s deficiencies do not seem to outperform beta. This suggests that weak empirical support for CAPM beta is likely …
Persistent link: https://www.econbiz.de/10011240299
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Growth options, option exercise and firms’ systematic risk
Koussis, Nicos; Makrominas, Michalis - In: Review of Quantitative Finance and Accounting 44 (2015) 2, pp. 243-267
to research and development (R&D) expenditure, we find that higher beta is associated with higher return volatility … significant decreases in beta. Dynamically estimated high-frequency betas appear to perform well in capturing variation in firm …
Persistent link: https://www.econbiz.de/10011155206
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Introduction to Risk Parity and Budgeting
Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013
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
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Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - In: Annals of Economics and Finance 1 (2000) 1, pp. 79-100
Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account … for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta … explaining the cross-section expected returns, but the size significance diminishes for longer horizons when $\beta$ is included …
Persistent link: https://www.econbiz.de/10009131590
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Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - China Economics and Management Academy, Central … - 1999
Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account … for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta … explaining the cross-section expected returns, but the size significance diminishes for longer horizons when $\beta$ is included …
Persistent link: https://www.econbiz.de/10009131620
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A Test of the Validity of Capital Asset Pricing Model in Istanbul Stock Exchange
BILGIN, Rumeysa; BASTI, Eyup - In: EuroEconomica (2011) 30, pp. 98-108
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
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CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
Da, Zhi; Guo, Re-Jin; Jagannathan, Ravi - In: Journal of Financial Economics 103 (2012) 1, pp. 204-220
We argue that the empirical evidence against the capital asset pricing model (CAPM) based on stock returns does not … returns on stocks need not satisfy the CAPM even when expected returns of projects do. We provide empirical support for our … arguments by developing a method for estimating firms' project CAPM betas and project returns. Our findings justify the …
Persistent link: https://www.econbiz.de/10010702354
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The Downside Risk and Equity Evaluation: Emerging Market Evidence
Chen, Jianguo; Chen, Dar-Hsin - In: Journal of Emerging Market Finance 3 (2004) 1, pp. 77-93
In this paper we employ several risk measures to evaluate the equity returns in emerging markets. We focus on a downside risk approach, in particular, with shortfall probability, expected shortfall, downside variance and downside deviation. Our results show that return variance is important in...
Persistent link: https://www.econbiz.de/10010772801
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Are Price Limits Priced? Evidence from the Taiwan Stock Exchange
Naughton, Tony; Veeraraghavan, Madhu - In: Journal of Emerging Market Finance 3 (2004) 3, pp. 249-267
In this article, a multifactor asset pricing model incorporating a price limit factor is developed to explain the cross section of asset returns following closely the mimicking portfolio methodology of Fama and French (1996). Differing regulatory environments in the Asian region suggest that...
Persistent link: https://www.econbiz.de/10010772807