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Granger Causality and the Capital Asset Pricing Model

Dash, Mihir - In: Journal of Applied Management and Investments 3 (2014) 2, pp. 68-73

significance of beta, and undermine the foundations of the CAPM. …At the heart of the CAPM lies the concept of systematic risk. The systematic risk of a security is that component of … the total risk of the security that is explained by market risk. This study investigates the econometrics of the CAPM. In …

Persistent link: https://www.econbiz.de/10010839654

DOES THE CAPITAL ASSET PRICING MODEL REALLY WORK?

Ben-David, Nissim; Ben-David, Evyatar - In: Journal of Prediction Markets 5 (2011) 1, pp. 26-30

– April 1st 2010. The correlation coefficient between return and Beta is 0.47. Although we find that the econometric relation … between return and Beta is statistically significant, it seems that higher Beta in many cases does not represent higher …

Persistent link: https://www.econbiz.de/10010850150

The value added of hedge fund styles in multi-asset portfolios: A new approach based on bull and bear market betas

Heidorn, Thomas; Kaiser, Dieter; Lucke, Daniel - In: Review of Accounting and Finance 12 (2013) February, pp. 44-59

possible to substitute traditional assets with hedge fund indices based on their exposures (beta) in varying market …

Persistent link: https://www.econbiz.de/10010814978

How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis

Hatemi-J, Abdulnasser; Roca, Eduardo; Al-Shayeb, Abdulrahman - In: Economic Modelling 37 (2014) C, pp. 137-142

We investigate the extent by which real estate markets are integrated with the world market. We apply a case-wise bootstrap analysis — a method that is robust to non-normality and increased volatility that characterises financial markets, especially during periods of distress. We also take...

Persistent link: https://www.econbiz.de/10011048779

Bank regulation, risk and return: Evidence from the credit and sovereign debt crises

Hoque, Hafiz; Andriosopoulos, Dimitris; Andriosopoulos, … - In: Journal of Banking & Finance 50 (2015) C, pp. 455-474

In this paper, we analyze whether regulation reduced risk during the credit crisis and the sovereign debt crisis for a cross section of global banks. In this regard, we examine distance to default (Laeven and Levine, 2008), systemic risk (Acharya et al., 2010), idiosyncratic risk, and systematic...

Persistent link: https://www.econbiz.de/10011118114

Corporate Governance and its Effect on Firm Value and Stock Returns of Listed Companies on the Athens Stock Exchange

Toudas, Kanellos; Bellas, Athanasios - In: European Research Studies Journal XVII (2014) 2, pp. 58-80

factor, which can be a “substitute” for market risk (beta), using uni- and multi-variate analyses. The conclusions call into …

Persistent link: https://www.econbiz.de/10011085525

Generación del valor a partir de la gerencia del riesgo sistemático

Vives, Jaime Andrés Vargas; Merchán, Juan Sergio Cruz - In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA (2015)

la maximización del valor del activo a través de estrategias de reducción del riesgo sistemático (beta). En síntesis, los … risk (beta) reduction strategies. In summary, the results of this study contradict one of the central principles of modern …

Persistent link: https://www.econbiz.de/10011185929

Capital Structure versus Rating

Marinič, Pavel - In: Český finanční a účetní časopis 2007 (2007) 3, pp. 79-83

Economic rising request a new types and form and resources for financing needs and investing. Clear chance appears use of rating in financials decisions. Rating impacts capital structure and has influence final decision on acceptance of capital investment and capital structure. Anticipation of...

Persistent link: https://www.econbiz.de/10011195002

An Empirical Test of CAPMâ€”The Case of Indian Stock Market

Basu, Debarati; Chawla, Deepak - In: Global Business Review 11 (2010) 2, pp. 209-220

(CAPM), to ascertain their validity, efficiency and efficacy in different markets in explaining asset prices. Such tests … market is always less analyzed but more volatile and thus, more interesting. The article, thus, applies the fundamental CAPM … February 2008â€”to verify the efficiency and efficacy of the model and finds that CAPM fails completely in the Indian context …

Persistent link: https://www.econbiz.de/10011139638

Managing Working Capital Efficiency in Capital Goods Sector in India

Kaur, Harsh Vineet; Singh, Sukhdev - In: Global Business Review 14 (2013) 2, pp. 343-355

Efficient management of working capital is an important indicator of sound health of an organization. It means management of various components of working capital in such a way that an adequate amount of working capital is maintained for smooth running of a firm and for fulfillment of twin...

Persistent link: https://www.econbiz.de/10011139643