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Does the equity premium puzzle persist during financial crisis? : the case of the French equity market

Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866

Persistent link: https://www.econbiz.de/10011912395

Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets

Hueng, C. James - In: International review of economics & finance : IREF 33 (2014), pp. 28-38

Persistent link: https://www.econbiz.de/10010531290

Long- and short-run components of factor betas : implications for stock pricing

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - In: Journal of international financial markets, … 74 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012803274

A study on risk return relationship of it and pharmaceutical stocks listed in nseusing capital asset pricing model

Rekha, S.; Vasanth, V.; Sivakami, P. - In: International journal of applied business and economic … 17 (2019) 2, pp. 23-28

Persistent link: https://www.econbiz.de/10012495657

Dynamic conditional beta

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

Contagion and downside risk in the REIT market during the subprime mortgage crisis

Chen, Ming-Chi; Tsai, Hsiu-Jung; Sing, Tien-foo; Yang, … - In: International journal of strategic property management 19 (2015) 1, pp. 42-57

Persistent link: https://www.econbiz.de/10011302960

Testing the CAPM for the Brazilian stock market using multivariate GARCH between 1995 and 2012

Godeiro, Lucas Lúcio; Silva, Cesar R. da; Rodrigues, … - In: Journal of finance and investment analysis 2 (2013) 2, pp. 15-39

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in …. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for …

Persistent link: https://www.econbiz.de/10009746028

Time-varying betas in Central and Eastern European markets: a bivariate BEKK GARCH approach

Anton, Sorin Gabriel; Ochem, Marie - In: International journal of economic policy in emerging … 6 (2013) 2, pp. 107-121

Persistent link: https://www.econbiz.de/10009790510

Back to the future betas : empirical asset pricing of US and Southeast Asian markets

French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13

. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of …

Persistent link: https://www.econbiz.de/10011526799

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

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