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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
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Is there value-added information in liquidity and risk premiums?
Hamon, Jacques; Jacquillat, Bertrand - Université Paris-Dauphine (Paris IX) - 1999
Size has become a significant factor in explaining returns. According to the size effect, smaller capitalization stocks on average outperform larger capitalization stocks over long periods of time. This paper first documents the traditional size effect on the French market for the 1986-1998...
Persistent link: https://www.econbiz.de/10010742285
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Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters
Sánchez, Andrés Mauricio Gómez; Gómez, José … - In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA (2015)
ABSTRACT This article investigates the relationship between ex-post Equity Risk Premium (ERP) on the Colombian stock market and the economic cycles observed in the country using methodologies based on the Hodrick-Prescott and Kalman filters. Accordingly, a short-term econometric model is put...
Persistent link: https://www.econbiz.de/10011185934
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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005076992
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Conservatism in Corporate Valuation
Bach, Christian - School of Economics and Management, University of Aarhus - 2011
of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the … consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation … based on the results of the respective models. The CCAPM model performs substantially better than the CAPM based model when …
Persistent link: https://www.econbiz.de/10009293656
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fama and macbeth revisited: A Critique
Salazar, Juan; Lambert, Annick - Volkswirtschaftliche Fakultät, … - 2010
The main conclusion of the FM study relies on the fact that the average of the slopes of 402 regressions of the monthly returns on 20 portfolios on theirs beta coefficients is positive. Considering this set of 402 slopes as a random sample drawn from the same normally distributed population, FM...
Persistent link: https://www.econbiz.de/10009397170
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Analysts' dividend forecasts, portfolio selection, and market risk premia
Breuer, Wolfgang; Feilke, Franziska; Gürtler, Marc - Department Wirtschaftswissenschaften, Technische … - 2007
risk premia with implied returns, because estimation techniques with good performance results are hardly suited to describe …
Persistent link: https://www.econbiz.de/10009646418
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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Panopoulou, Ekaterini; Koubouros, M.; Malliaropulos, D. - Department of Economics, National University of Ireland - 2005
This paper decomposes the overall market (CAPM) risk into parts re.ecting uncertainty related to the long-run dynamics … with assets.and market.s cash .ows and discount rates) and we employ a discrete time version of the I-CAPM to derive a four …
Persistent link: https://www.econbiz.de/10005198255
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Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004
Michailidis, G. - In: Applied Econometrics and International Development 9 (2009) 1
influence Greek stock market returns. The estimation procedure follows both the classic APT and the identification of the …
Persistent link: https://www.econbiz.de/10005012224
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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