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Which beta is best? On the information content of option-implied betas

Baule, Rainer; Korn, Olaf; Saßning, Sven - Institut für Finanzmarktforschung, Wirtschafts- und … - 2013

-sectional information from all stocks in the market improves beta estimation significantly. We also find that option-implied betas generally …Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward …-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed …

Persistent link: https://www.econbiz.de/10010984854

FAIR VALUE TELEVISION: SALES VOLATILITY, BUSINESS RISK, AND FINANCIAL LEVERAGE

Meric, Gulser; Chih-Chieh (Jason) Chiu; Meric, Ilhan - In: Review of Business and Finance Studies 3 (2012) 1, pp. 85-94

Business risk and financial risk are among the most important concepts in corporate finance. The total risk of a corporation is the sum of its business risk and financial risk. Business risk is the risk of the corporation before the financing decision. It is the uncertainty inherent in the...

Persistent link: https://www.econbiz.de/10011205517

A note on empirical sample distribution of journal impact factors in major discipline groups

Mishra, SK - Volkswirtschaftliche Fakultät, … - 2010

What type of statistical distribution do the Journal Impact Factors follow? In the past, researchers have hypothesized various types of statistical distributions underlying the generation mechanism of journal impact factors. These are: lognormal, normal, approximately normal, Weibull, negative...

Persistent link: https://www.econbiz.de/10008636472

EQUITY HOME BIAS PUZZLE BETWEEN MACRO-FINANCE INTERFACE AND RISK-FACTORS INTERFERENCE

ARFAOUI, Mongi; ABAOUB, Ezzeddine - In: Journal of Applied Research in Finance Bi-Annually III (2011) 2, pp. 147-161

Through this article we shed light on equity home bias puzzle in the current global finance area. We aim to see where the problem lies and to highlight, theoretically and practically, its determining factors. In that framework, a sample of developed and developing markets is studied using annual...

Persistent link: https://www.econbiz.de/10010897998

Systematic and multifactor risk models revisited

Fliess, Michel; Join, Cédric - HAL - 2013

Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by several successful computer experiments.

Persistent link: https://www.econbiz.de/10010898688

Towards a new viewpoint on causality for time series

Fliess, Michel; Join, Cédric - HAL - 2014

Causation between time series is a most important topic in econometrics, financial engineering, biological and psychological sciences, and many other fields. A new setting is introduced for examining this rather abstract concept. The corresponding calculations, which are much easier than those...

Persistent link: https://www.econbiz.de/10010899129

Financial portfolio selection using the multifactor capital asset pricing model and imported options data

Dicle, Mehmet F. - In: Stata Journal 13 (2013) 3, pp. 603-617

the capital asset pricing model's Beta, other statistics that are common criteria for portfolio selection are calculated …

Persistent link: https://www.econbiz.de/10010691925

Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market

Khan, Safi Ullah; Abbas, Zaheer - In: Lahore Journal of Economics 18 (2013) 1, pp. 63-80

This paper examines the behavior of beta coefficients (systematic risk) for underlying stocks around the introduction … systematic risk for many of the control group stocks. This indicates that changes in beta estimates for SSFs-listed stocks might … Pakistan, and the capturing of the “bear” and “bull” market effects on stock betas in our estimation procedure could explain …

Persistent link: https://www.econbiz.de/10010699441

Introduction of Software Products and Services Through "Public" Beta Launches

Mehra, Amit; Shrimali, Gireesh - NET Institute - 2008

Public “Beta” launches have become a preferred route of entry into the markets for new software products and web site … based services. While beta testing of novel products is nothing new, typically such tests were done by experts within firm … boundaries. What makes public beta testing so attractive to firms? By introducing semi-completed products in the market, the firm …

Persistent link: https://www.econbiz.de/10005760643

The association between accounting and market-based risk measures

Toms, Steven; Salama, Aly; Nguyen, Duc Tuan - York Management School, University of York - 2005

The paper derives operating and financial measures of leverage and tests their association with market based measures of equity risk. It is the first such study to use purely accounting-based data to derive the leverage measures. In line with previous literature it conducts a new test on the...

Persistent link: https://www.econbiz.de/10005817083